@all, I was curious to see how this strategy behaves for a longer time and wrote a program to backtest on BNF. Contrary to my belief, the strategy
produced exceptional results.
Following are the slightly modified rules I considered:
1. Use SupterTrend settings as suggested by Suri.
2. Use the entries as suggested by Suri.
3. When the stop is hit for the firstTrade, enter the next trade with (2 * lots) of the firstTrade. If the stop is hit again in this
trade, enter the next trade with (3 * lots). If the stop is hit again restart with the original lot size (1 * lots).
3. Do not enter when a trade is triggered in the same bar when a previous trade was closed.
4. No break in trades as suggested.
Following is the result:
Backtest Data: Jan 2011 to July 2016
Close positions at 3:20 PM.
Brokerage: 4 points.
StopLoss: 25, Target: 75
Number of Trades: 3827
Total Points (after brokerage): 47489
Monthly average number of trades: 56
Monthly average number of times stop hit: 33
Number of Losing months: 7
Number of Winning months: 61
Longest Losing streak: 18
Losing streak Drawdown: -960.0
Longest Winning streak: 8
Result for NF:
Brokerage: 2 points.
StopLoss: 10, Target: 30
Number of Trades: 3633
Total Points (after brokerage): 17051
Monthly average number of trades: 53
Monthly average number of times stop hit: 30
Number of Losing months: 12
Number of Winning months: 56
Longest Losing streak: 15
Losing streak Drawdown: -327.4
Longest Winning streak: 8
Do let me know if you need any other details or you think anything is incorrect above.
produced exceptional results.
Following are the slightly modified rules I considered:
1. Use SupterTrend settings as suggested by Suri.
2. Use the entries as suggested by Suri.
3. When the stop is hit for the firstTrade, enter the next trade with (2 * lots) of the firstTrade. If the stop is hit again in this
trade, enter the next trade with (3 * lots). If the stop is hit again restart with the original lot size (1 * lots).
3. Do not enter when a trade is triggered in the same bar when a previous trade was closed.
4. No break in trades as suggested.
Following is the result:
Backtest Data: Jan 2011 to July 2016
Close positions at 3:20 PM.
Brokerage: 4 points.
StopLoss: 25, Target: 75
Number of Trades: 3827
Total Points (after brokerage): 47489
Monthly average number of trades: 56
Monthly average number of times stop hit: 33
Number of Losing months: 7
Number of Winning months: 61
Longest Losing streak: 18
Losing streak Drawdown: -960.0
Longest Winning streak: 8
Result for NF:
Brokerage: 2 points.
StopLoss: 10, Target: 30
Number of Trades: 3633
Total Points (after brokerage): 17051
Monthly average number of trades: 53
Monthly average number of times stop hit: 30
Number of Losing months: 12
Number of Winning months: 56
Longest Losing streak: 15
Losing streak Drawdown: -327.4
Longest Winning streak: 8
Do let me know if you need any other details or you think anything is incorrect above.
BNF average monthly points - 718
NF average monthly points - 260
can you please do back testing for crude oil also.