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Optimization results daily frame since 1996

Here I will show the optimization results on the daily time frame since November 1996 untill today.

So here we see the combined performance of the system of all its possible parameters. As you know the basic parameter is the risk.

As you can see on EURUSD on the daily frame the system has been profitable over almost all possible settings.

I made the same analysis fot the brain trend. It is less profitable than the ASCtrend but it is has a more stable plateau of the good solutions but bigger drawdown.

The idea here is that for a particular system you need to have an idea how it performs under all parameters (here we have only one that we do modify). 


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  • JohnLast 2935 days ago

    It is important to know that there was no money management involved in those tests.

    The traded lot for an account of 10 000 was 0.1.

    This profit was obtained for 15 years (the starting was at the end of 1996, and 2012 is not finished yet, so we take 15 as simplification).

    The arythmetic mean for the ASCtrend expert gains is  4166 gain for 15 years. (the mean of the profits based on different settings)

    \bar{x} = \frac{1}{n}\sum_{i=1}^n x_i  =  \frac{1}{n} (x_1+\cdots+x_n)

    So it made 4166/15 gain per year, that equals 277.7 gain per year.

    And it makes 2.77 %:average return on capital per year.

  • JohnLast 2931 days ago

    So 2.77 % of average return is not that much, even it is lower if you compare with the barcley's hedge fund statistics.

    However this is achieved with no money management and leverage at all. 

    We used in thes tests 0.1 lot on 10000 account.ore example 1 t

    If you use a leverage, fore example 1 to 2.

    So 0.2 lots for 10000 account you will double the profit but you double the risk, at average you would have roughly  50 % drowdown.

    What I want to show how any spectacular profits go together with spectacular risks.

    At the current available trading technology you can't boost the profitability without boosting the risk.



  • JohnLast 2931 days ago

    This website was created with the users in mind. Especially the new traders, who think that trading is a job, and what they need to do is to learn how to decipher the MACD, CCI, MA etc. and other technical stuff.

    99 % of what you will find using Google are highly optimized articles that are written for SEO optimization, and that have nothing to do with real trading. 

    So trading is not a job, not unless you have 3/4 + years of experience.

    If it was so, banks would hire noobs to trade the billions, and they would delocalize the trading desks into chineese factories using common technical indicators. LOL. 

    Nothing of that happened. What happens is the competitions of sky rocket science and Sci Fi grade infrastructure.


    For those who count on the markets to take care of their retirement, take care. Buy and hold may not be an option for the forseeable future.