I am presenting back test results for a simple price action based strategy. This is a "long-only" strategy
BUY SIGNAL
- If price goes down for three consecutive days
- If ATR (Average Trading Range) is lesser for three consecutive days
TYPICAL SETUP
A entry typical is shown below:
BACK TEST RESULTS
DataSet : SP500
Period : 15 years
Long Trades | |
---|---|
Net Profit | $18,457.37 |
Profit per Bar | $5.41 |
Total Commission | ($6,640.00) |
Number of Trades | 1,660 |
Average Profit | $11.12 |
Average Profit % | 0.26% |
Average Bars Held | 2.06 |
Winning Trades | 982 |
Win Rate | 59.16% |
Gross Profit | $69,689.33 |
Average Profit | $70.97 |
Average Profit % | 1.88% |
Average Bars Held | 1.95 |
Losing Trades | 678 |
Loss Rate | 40.84% |
Gross Loss | ($51,231.96) |
Average Loss | ($75.56) |
Average Loss % | -2.09% |
Average Bars Held | 2.21 |
Maximum Drawdown | ($2,383.78) |
Profit Factor | 1.36 |
Recovery Factor | 7.74 |
Payoff Ratio | 0.9 |
It is amazing to note a simple strategy as stated above,
- has a win rate of 60%
- is profitable over a long period of time
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