Strategy Overview
XAUUSD H1
Date: 8/27/2017 9:00:52 PM
Table of Contents
Description
Logic
Strategy Properties
Indicator Slots
Statistic Information
Additional Statistics
Description
Forex Strategy Builder found several hundred ambiguous bars during the backtest of this strategy. Such a situation may lead to inaccurate backtest result. To improve the reliability of the backtest you can use two tools - "Intrabar Scanner" and "Method Comparator".
An “ambiguous bar” is a bar that contains more than one orders and the backtesting algorithm is not able to determine for certain what the exact sequence of order execution was within the bar. This usually happens when we have more than one active order within the bar range. In this case the program doesn’t know which order to execute first. The sequence of the order execution is of great importance for correct strategy testing.
Forex Strategy Builder can use different methods to interpolate (calculate) the price route inside an ambiguous bar. Of all the available methods, the "Optimistic" one usually shows the best result (with some exceptions) and the "Pessimistic" one – the worst result (with some exceptions too).
You can compare the different methods and see the mean balance line by using the "Method Comparator". We can confidently assume that the mean balance line is the nearest scenario to the real one.
To improve the backtest accuracy you can use the "Scanner". It loads all available intrabar data (for shorter time frames in the same market) and uses it to calculate a more realistic route of the price within each bar.
It is also possible to combine the effect of the Scanner and the Comparator by switching on the automatic scan mode (from the Testing – Automatic scan menu). You should load the intrabar data from the scanner window in order to complete the auto scanning.
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Logic
Opening (Entry Signal)
Open a new long position or add to an existing position or reduce a short position at the closing price of the previous bar when the following logic condition is satisfied:
- Williams' Percent Range* (Simple, 48, 130) rises.
Open a new short position or add to an existing position or reduce a long position at the closing price of the previous bar when the following logic condition is satisfied:
- Williams' Percent Range* (Simple, 48, 130) falls.
Closing (Exit Signal)
Close an existing long position at the end of the week when the following logic condition is satisfied:
- the Gator Oscillator (Smoothed, Weighted, 20, 168, 80, 19, 16, 156) expands.
Close an existing short position at the end of the week when the following logic condition is satisfied:
- the Gator Oscillator (Smoothed, Weighted, 20, 168, 80, 19, 16, 156) expands.
Handling of Additional Entry Signals**
Entry signal in the direction of the present position:
- Add to the position no matter if it is at a profit or loss. Do not exceed the maximum allowed number of lots to open.
Entry signal in the opposite direction:
- Reduce the present position. If its amount is lower than or equal to the specified reducing lots, close it.
Trading Size
Always trade a constant number of lots.
- Opening of a new position - 0.1 lots.
- Adding to a position - 0.1 lots. Do not open more than 20 lots.
- Reducing a position - 0.1 lots from the current position.
Protection
The strategy does not provide a permanent loss limitation.
The strategy does not use a Take Profit.
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* Use the indicator value from the previous bar for all asterisk-marked indicators!
** The averaging rules apply to the entry signals only. Exit signals close a position. They cannot open, add or reduce one.
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Strategy Properties
Handling of Additional Entry Signals
Next same direction signal behavior - Adds to the position
Next opposite direction signal behavior - Reduces the position
Trading Size
Maximum number of open lots - 20
Number of entry lots for a new position - 0.1
In case of addition - number of lots to add - 0.1
In case of reduction - number of lots to close - 0.1
Protection
Stop Loss - None
Take Profit - None
Break Even - None
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Indicator Slots
The slots show the logic for the long positions only. computes the proper logic for the short positions.
Strategy Properties
Same direction signal Add
Opposite direction signal Reduce
Stop Loss None
Take Profit None
Break Even None
Previous Bar Closing
Enter the market at the previous Bar Closing
Base price Previous Bar Closing
Williams' Percent Range
WPR rises
Smoothing method Simple
Period of %R 48
Smoothing period 130
Level -20
Use previous bar value Yes
Logical group A
Signal shift 0
Signal repeat 0
Indicator symbol Default
Indicator period Default
Week Closing
Exit the market at the end of the week
Base price Close
Gator Oscillator
The Gator Oscillator expands
Smoothing method Smoothed
Base price Weighted
Jaws period 20
Jaws shift 168
Teeth period 80
Teeth shift 19
Lips period 16
Lips shift 156
Use previous bar value No
Logical group a
Signal shift 0
Signal repeat 0
Indicator symbol Default
Indicator period Default
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Statistic Information
Input Parameters Account Statistics
Profile name Default profile
Acceptance criteria Fulfilled
Data source name Tickmill demo Net balance 171265.85 USD
Strategy name d1 eur
Intrabar scanning Not accomplished
Chart XAUUSD H1
Ambiguous bars 0
Data bars 3766
Backtest quality 100.0000 %
Time of updating 2017-08-26 00:00
Profit per day 736.37 USD
Time of beginning 2017-01-06 05:00
Max consecutive losses 146
Spread 30.00 points
System quality number 2.66
Swap long -2.00 points
Sharpe ratio 0.08
Swap short -2.00 points
Average HPR 0.26 %
Commission 0.00 points
Profit factor 3.68
Slippage 0.00 points
Tested bars 3576
Interpolation method Pessimistic
Minimum balance 6281.63 USD
Initial Account 10000 USD
Maximum balance 191374.91 USD
Leverage 500
Max balance drawdown 20109.06 USD
Account exchange rate Not used
Max equity drawdown 38002.02 USD
Auto scan Switched off
Max equity drawdown 61.42 %
Trade until Margin Call Switched on
Max stagnation 70 days
Average profit 684.85 USD
Average loss -195.41 USD
Executed orders 3477
Win/loss ratio 0.51
Time in position 100%
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Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 10000.00 10000.00 10000.00
Account balance [USD] 171265.85 138045.13 43220.72
Net profit [USD] 161265.85 128045.13 33220.72
Net profit [%] 1612.66 1280.45 332.21
Gross profit [USD] 221549.45 145426.87 76122.57
Gross loss [USD] -60283.60 -17381.75 -42901.85
Profit factor 3.68 8.37 1.77
Annualized profit [USD] 254814.01 202322.39 52491.62
Annualized profit [%] 2548.14 2023.22 524.92
Minimum account [USD] 6281.63 9931.19 6281.63
Minimum account date 1/24/2017 1/30/2017 1/24/2017
Maximum account 191374.91 139258.08 63698.23
Maximum account date 8/3/2017 7/28/2017 5/9/2017
Absolute drawdown [USD] 3718.37 68.81 3718.37
Maximum drawdown [USD] 20109.06 10086.49 20477.50
Maximum drawdown [%] 61.42 8.14 32.15
Maximum drawdown date 1/6/2017 7/5/2017 8/25/2017
History bars 3766 3766 3766
Tested bars 3576 3576 3576
Bars with trades 1225 690 535
Bars with trades [%] 34.26 19.30 14.96
Number of trades 1264 709 555
Winning trades 647 492 155
Losing trades 617 217 400
Win/loss ratio 0.51 0.69 0.28
Maximum profit [USD] 41097.98 41097.98 21939.10
Average profit [USD] 342.43 295.58 491.11
Maximum loss [USD] -4005.01 -1035.60 -4005.01
Average loss [USD] -97.70 -80.10 -107.25
Expected payoff [USD] 127.58 180.60 59.86
Average HPR [%] 0.26 0.40 0.42
Geometric HPR [%] 0.22 0.37 0.26
Sharpe ratio 0.08 0.13 0.06