"Sedona System"

I found a system on Forex Factory that sounded promising. The idea is featured in a book by that Boris guy that works for FXCM, so I can't take credit for the idea. I can take credit for backtesting, though.

The idea:

during inactive hours, most pairs will bounce around in a range...this system will call for you to go short at the top of the range, and long at the bottom. Stops and exit parameters vary; I've tested a few and found some profitable settings.


Rules:

Draw a box around the high/low from 03:00 GMT - 19:00 GMT (around 8pm EDT to noon the next day). Place entry orders to go long at the bottom of the box, and short at the top. Exit all trades at their limit, or before the start of the JPY session (around 8pm EDT).

I added a volatility filter. Only trade when the range is > 0.6*(average range over last 22 days for the box). It works well without the filter, though.

I tested this on many pairs...here are some profitable results:

As you can see...this system is pretty nice. I'll be trying more pairs as I get more data. BTW, I've tested EUR/USD, and EUR/JPY. They don't work for some reason. USDCHF almost works, but not very well. The parameters below represent some of the better settings, but the systems works on a wide variety of settings.

All tests start with $10,000.00

$ ../analyze.pl --input=RANGE_GBPUSD_stop70_lim40_th3 --risk=300
num_trades: 245
num_wins: 154
num_loss: 91
average win: 23.5584415584416
average loss: -23.8571428571429
average trade: 5.9469387755102
biggest win: 40
biggest loss: -70
biggest drawdown: 171
total pips: 1457
risk: 0.03
biggest dollar gain: 307.699026170607
biggest dollar loss: -555.127109070683
biggest dollar drawdown: 862.320607157402
biggest dollar drawdown percentage: 7.20416405323425
average gain per trade: 33.9380339965376
account: 18314.8183291517

$ ../analyze.pl --input=RANGE_USDCAD_stop50_lim25_m6_th1 --risk=300
num_trades: 202
num_wins: 147
num_loss: 52
average win: 13.0952380952381
average loss: -15.1923076923077
average trade: 5.61881188118812
biggest win: 15
biggest loss: -35
biggest drawdown: 130
total pips: 1135
risk: 0.03
biggest dollar gain: 326.677936404871
biggest dollar loss: -711.640062993826
biggest dollar drawdown: 2628.09721789552
biggest dollar drawdown percentage: 10.7023450286276
average gain per trade: 79.2062591289465
account: 25999.6643440472

$ ../analyze.pl --input=RANGE_USDJPY_stop30_lim15_m5_th3 --risk=300
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.03
biggest dollar gain: 419.946973738377
biggest dollar loss: -852.492356688906
biggest dollar drawdown: 3835.68598796643
biggest dollar drawdown percentage: 21.2556989610852
average gain per trade: 33.4689049871766
account: 26567.1079686524


$ ../analyze.pl --input=RANGE_AUDUSD_stop30_lim15_m5_th3 --risk=300
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.03
biggest dollar gain: 751.002418280175
biggest dollar loss: -1510.43045183321
biggest dollar drawdown: 3230.1578933774
biggest dollar drawdown percentage: 8.78455074515168
average gain per trade: 85.8777746556087
account: 48301.4874964015

$ ../analyze.pl --input=RANGE_GBPJPY_stop60_lim30_m6_th5 --risk=300
num_trades: 214
num_wins: 149
num_loss: 63
average win: 26.744966442953
average loss: -30.3333333333333
average trade: 9.69158878504673
biggest win: 30
biggest loss: -60
biggest drawdown: 241
total pips: 2074
risk: 0.03
biggest dollar gain: 411.540823380571
biggest dollar loss: -757.487539338355
biggest dollar drawdown: 1863.44123995019
biggest dollar drawdown percentage: 11.46683187477
average gain per trade: 81.8419460369996
account: 27514.1764519179