Great you are back. Although profitable, i wouldn’t want to risk a 40 percent drawdown for just 2.5% annual profit. You can have that return completely risk-free.
@harry_bonkers Bonds and treasuries have higher yield so yeah that would be risk free. Technically America's economy could fall but at that point younhave more than your max drawdown to worry about
@@blackmagick77 they have higher yield only if you lock your money for many years. Also, inflation will eat away a big chunk of your profits by the time you get paid the interest. You might as well invest that money elsewhere and accept the higher risk. Pros and Cons mate... While they are not as risky as the rest of the instruments, they are not the super greatest of options out there (at least not for me).
@@blackmagick77 You would also have to consider that they can just choose not to pay on the bonds. Which is common especially at the municipal level. Then you have to ask yourself. Are you going to sue the government who is the same government who chose not to pay you?
I love this stratergy, i use a MT4 indicator called The Golden Road, and i Buy Low and sell High with small amounts when the price is a long way from the Mean average and i doubled my trading account in 5months , i dont use a stop and once i place a trade i just wait for price to move back to the Mean, as i said small lots and plenty of patience and a account that gives you plenty of wiggle room :)
if possible, please back-test this strategy on 30 min candles or higher of any chart, //add two Weighted Moving Averages of length 5 and 6, if (WMA 5 > WMA 6) { (then open a long position closing price of every bullish candle and ignore all bearish candles) && (close the previous long position as soon as a new candle begins, doesn't matter if its in profit or loss); } else if (WMA 5 < WMA 6) { (then open a short position at the closing price every bearish candle and ignore all bullish candles) && (close the previous short position as soon as a new candle begins, doesn't matter if its in profit or loss); } Thank you so much, you have completely changed the way I thought about trading
Your video was really helpful. Your backtesting video is simply the best. It seems like there haven't been any new videos lately, but I hope new ones will be uploaded soon.
Coded this in an MQL5 EA. It works, but only for higher TFs (1H and above, best above 4H). Not very profitable for FX for those wondering. Since the first bar above/below the MA will have a variable size, the average profit per trade is quite low compared to the average loss (whether timeout or SL). My win rate varies between 60-70%.
Hi there! I really appreciate the work you do and believe you add a lot of value to the serious trading community. I'd like to suggest that you do a backtest of Linda Bradford Raschke's MACD strategy.
Backtest this super simple strategy thats profitable from the trades I have backtested. Bollinger Band Settings: 50 SMA Standard Deviation 2 Sell Example: Entry: On the first close above the Upper Bollinger Band Stop loss: 3 ATR Target: 0.5x the risk Vice versa for buys. This has gave me a 72% Winrate at the moment which is mind blowing for how simple it is too, so would be interesting to see how it performs in one of these 10,000+ Trade test videos
Fantastic video as usual. I’d love to see how profitable these strategies are when commissions (and other fees like swap for forex) are taken into account. But I realize that those vary among brokers and would thus be challenging to implement.
Great info, thanks for sharing the result. I wonder if you filter the 50SMA with an arctangent, so that you only take mean reversals when the SMA is horizontal, if it will improve the result, albeit at the risk of decreasing frequency..
Im a bit afraid this is a stupid question. Forgive the newbie! How does leverage impact the yearly roi of the forex strategy? With what leverage was this strategy tested? Thanks!
Hey @serious man last time I asked when next video it came out that very same day! I know I am not that lucky, just wanted to say keep it up. I would love to learn more, do you teach this stuff in a course?
Thanks for the question! On my channel page I actually do have tutorials on getting started with backtesting with python and a jupyter notebook (or google colab), and tutorials on setting up strategies with thinkorswim
@@seriousbacktester Tested this it doesn't work from last two years, though works over all because earlier it was profitable , Could you please retest it with this and last year data.
I might be missing something but on the first example you talk about 4 potential entries. If you did that with the current test wouldn't you run out of money? And not really see the real or full results of this strategy or do you just limit the amount of entries to 3?
Great Question....plus that's just one stock chart i'm showing! In the backtesting I'm testing over 2000 charts and finding hundreds of thousands of entries within the 5 year period (for stocks). So each day would have on average hundreds of possible entries. I'm going to test them all since they are all valid entries, but of course in real life nobody would actually execute them all.... so that's why i do the analysis at the end of the video, asking what would it look like if you chose a smaller more manageable number of entries. That involves choosing some trades and ignoring others, so I run that simulation 10,000 times to get a distribution of likely real world outcomes. Now what I don't do in that selection, and it would be a good improvement in future, is to ensure when i select the subset of trades is to check that none of them overlap. Haven't gotten around to coding that yet but its the logical next improvement to my testing
really impressive stuff. I'm also keen on coding and python and would also want to backtest the way you do. I am facing a challenge when it comes to fetching the tradingview data. please may you tell me how to do it. Thanks
could you do a backtest XAUUSD on the OANDA server using multiple ema 20 on (1-hour tf , 4-hour tf and daily). the entry rule is when the price is emerging up from the bottom of 4H ema and the 1H ema < 4H ema < daily (the short rule is the opposite). the SL is the last low or the 1.6 ATR. The TP is the last high of the 30-minute candle. when the order is on 1R, cut half of the order size. Thank you. the other thing that I am curious about is, what kind of indicator do you suggest to determine the trend of the market (trending or sideways), it will really help if you can identify and switch the strategy mode.
Maybe I'm missing the glaringly obvious here, but what does "candle closes in the top/bottom 20% of the body" mean? By definition, doesn't a bearish candle always close at the bottom of the body, and a bullish at the top?
Yes you're absolutely right, i've misspoken there and you're the first one to catch that! I mean to say the bottom 20% of the candle, including the wicks
The sma is going down in your own example. Surely you see how exiting above in an uptrend is Vastly more profitable. If not you will loose on average in downtrends unless you are taking more shirts than longs. I have a much more complex strategy that is also mean reverting and I have backtested this aspect of it extensively. Also Forex does not work very well because the concept of being over priced does not really apply.
@@freddurst4420 yes! For the bull case: of bulls have two gaps open consider a trend day. Also look at the amount of overlap between bars. Trading ranges have a lot of overlap. Also look at if the break outs get strong follow through, if so, likely second leg. And finally, both sides shouldn’t be getting 3 bar micro channels. The pullback should be like 50ish% if less. And on a trend dah, If the PB’s starting getting deeper after 3-4 legs, a trading range may be developing. Trend days have a sloped ema that the bars run parallel too. Not too deviated from ema “too far too fast” and most bars are above the ema. Pay attention to the average daily range and how big up or down the opening gap is. If it gaps up huge. There’s not a lot of the average daily range left, unless we have a 2x day. Lots of info, but remembering just a couple of those should help determine a trend day vs a TR day.
Honestly if you use Ict/smc this is kind of a no brainer that this works better than the normal use case. Why buy at a premium area and sell at a discount area?
Great question! I'm using a jupyter lab notebook for all this, as it's easy to execute different sections of code and make changes to run multiple simulations
What would you do if you didn't have a large number of trades to sample from? Let's say your backtest produced 1000 trades. Would it be better to simulate taking maybe a random 100 trades? Or randomize the sequence of all 1000 trades?
If you backtest a strategy on thousands of days, over tens or even hundreds of symbols and it's only taking 1000 trades, you're either in the market a lot, or probably produce a very small return. A thousand trades over such a long window is not good enough to be meaningful for backtesting. But if you have to, I'd use 100 trades for the distributions, that would be my minimum...
@@statistically_significant that's pretty typical of a trend following system. You can be in one trade for an entire year, right? That reduces your trade frequency significantly.
@@jayflaggs True, but the downside when being in the market a lot is, that you, by definition, probably don't have an above market return. But if you do, especially with stocks, it's important to look out for overfitting and survivor bias. For example, if you backtest Nasdaq companies today, they might have dipped in 2001, but they survived. The once that didn't, rarely show up in backtests.
a bit confused how you said 5 years but you had over 4k trades on the forex? that's certainly not daily candles.... maybe i missed something. Also I'm not sure if i saw if you accounted for commissions etc. great video overall, but just curious about those Edit: I think I understood, you're not doing just USD/NIS, you're running on multiple forex's
My sense is that this will not work for strongly trending assets like crypto or tech stocks but will work for mature assets like oil & gas or FX. For example, this will miss all the massive moves that happen in crypto. However, the low risk of blowing your account, and the simplicity of the rules are amazing.
yeah this seems extremely low, less than 6% account growth for how many trades are taken and how high the winrate is, the SPY index often does better than this completely passively
Even outside fees and commissions and broker madness, the strategies are not technically profitable. If S&P averages 7% per year and you average 5% per year you are 2% per year worse than doing nothing. As a rule of thumb the strategy should beat the do nothing average before being considered profitable. Hell even a savings account currently pays 4.9% so trading for that extra 0.1% profit over a basic savings account seems like a massive waste of time. I would even go so far as to argue that if the strategy doesn't beat the CCETFs (11-12%) it again should not be considered profitable because dumping your money in and doing nothing would provide a higher return.