New Sedona Results / New Ideas

I haven't posted anything in a while...been busy with work and more testing. Here are some updated results along with more pairs to trade. More pairs means more trades...that means more compounding growth, less risk per trade, less drawdown, and more money.

I've got some ideas on tweaking the system - specifically, I want to try exiting around 1700 EDT. The market has more liquidity at that point, which should give us a better spread. Better spreads are much more profitable, of course.

Another idea is to simply enter if a pair is at the top/bottom of its respective range (from 03:00 -> 19:00 GMT) at 19:00 GMT, and fade the breakout. This is based on the observation that often, a pair is at the top/bottom of the range around noon (EDT), and then fades in the opposite direction...more on this later.

I've reworked the analysis to a base 1% risk per trade. I'll post later about the effect on total drawdown of trading multiple pairs at once.
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levistamper@levistamper-pc ~/FX/RangeTrading/tmp
$ find . -name RANGE_\* -print -exec ../../analyze.pl --input={} --risk=100 \;
./RANGE_AUDUSD_stop30_lim15_m5_th3
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
percent win: 63.9013452914798
percent loss: 33.1838565022422
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.01
biggest dollar gain: 86.3246517502908
biggest dollar loss: -172.987130551836
biggest dollar drawdown: 448.988727292251
biggest dollar drawdown percentage: 2.97625333015716
highest dollar total: 17351.2550018084
average gain per trade: 15.8533415397233
account: 17070.5903267166



./RANGE_EURCHF.s22.l19.RD22.M5.TH3.csv
num_trades: 523
num_wins: 296
num_loss: 202
average win: 6.25337837837838
average loss: -5.85643564356436
average trade: 1.27724665391969
percent win: 56.5965583173996
percent loss: 38.623326959847
biggest win: 19
biggest loss: -22
biggest drawdown: 79
total pips: 668
risk: 0.01
biggest dollar gain: 115.389468009438
biggest dollar loss: -135.577107652617
biggest dollar drawdown: 483.38182753408
biggest dollar drawdown percentage: 3.5587097099232
highest dollar total: 13635.4488996307
average gain per trade: 6.70201813661573
account: 13505.15548545



./RANGE_EURGBP.s16.l12.RD22.M5.TH3.csv
num_trades: 591
num_wins: 370
num_loss: 197
average win: 6.98648648648649
average loss: -6.03045685279188
average trade: 2.36379018612521
percent win: 62.6057529610829
percent loss: 33.3333333333333
biggest win: 12
biggest loss: -16
biggest drawdown: 76
total pips: 1397
risk: 0.01
biggest dollar gain: 180.356337784545
biggest dollar loss: -241.346988030459
biggest dollar drawdown: 789.66239602401
biggest dollar drawdown percentage: 4.66133381016133
highest dollar total: 24227.8680423905
average gain per trade: 23.3062555939543
account: 23773.997056027



./RANGE_GBPUSD_stop70_lim30_m6_th3
num_trades: 245
num_wins: 156
num_loss: 89
average win: 21.9871794871795
average loss: -23.3483146067416
average trade: 5.51836734693878
percent win: 63.6734693877551
percent loss: 36.3265306122449
biggest win: 30
biggest loss: -70
biggest drawdown: 191
total pips: 1352
risk: 0.01
biggest dollar gain: 51.9280294251273
biggest dollar loss: -121.571762057387
biggest dollar drawdown: 279.72020084587
biggest dollar drawdown percentage: 2.70620206656761
highest dollar total: 12168.4682286215
average gain per trade: 8.60482461399816
account: 12108.1820304295



./RANGE_USDCAD_stop50_lim25_m5_th1
num_trades: 220
num_wins: 136
num_loss: 80
average win: 16.3529411764706
average loss: -15.2375
average trade: 4.56818181818182
percent win: 61.8181818181818
percent loss: 36.3636363636364
biggest win: 25
biggest loss: -50
biggest drawdown: 185
total pips: 1005
risk: 0.01
biggest dollar gain: 60.5500597449297
biggest dollar loss: -120.198046444834
biggest dollar drawdown: 447.727089481126
biggest dollar drawdown percentage: 3.64512534092014
highest dollar total: 12282.8996977126
average gain per trade: 10.0304911412044
account: 12206.708051065



./RANGE_USDJPY_stop30_lim15_m5_th3
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
percent win: 66.8686868686869
percent loss: 32.1212121212121
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.01
biggest dollar gain: 71.6015125861295
biggest dollar loss: -143.91904029812
biggest dollar drawdown: 811.058257399272
biggest dollar drawdown percentage: 7.49211865052526
highest dollar total: 14391.904029812
average gain per trade: 8.27388161458536
account: 14095.5713992198