This is an example of a strategy for trading EUR/USD currency pair in the daily timeframe developed by DLPAL S. The results are validated in a backward sample.
Below are the results of the search:
DLPAL S found a total of 7 strategies, 6 long and 1 short. Profit target and stop-loss are 150 pips, specified as 0.015 in a TRS file.
Below is equity curve in Amibroker with code generated by DLPAL S for all strategies combined:
The search started in 2012 because in forex market conditions change and we want to generate maximum alpha. Backtest period is from 01/02/2012 to 03/31/2017. Maximum drawdown is less than 15% for $20K initial capital per standard lot, Sharpe is 1.73 and CAR is about 30%. Below are the results of a Monte Carlo simulation,
There is 5% probability for a drawdown of about 40%. This is acceptable in forex trading with low initial capital.
How has this strategy performed on unseen data? Below is a backtests with data since 01/2002.
Sharpe ratio is 1.13 and performance is acceptable in 10 years of unseen data, which is actually a longer period than the in sample.
Conclusion is that the identified strategy by DLPAL may have some economic value. Further testing is required. This was just an example.
DLPAL S is only $575 for the first year and if the license is renewed for a second year at the same guaranteed price, then the license is converted to lifetime. Click here for more details.
If you have any questions or comments, happy to connect on Twitter: @priceactionlab
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.