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One of my system users notified me that most of my forex killer trade setups were generally good except those with the market sentiment percentage of 44 -56% or 56 -44%. On those days, the system was greatly underperforming. Hence, I went back to my trade history and checked on my past statistics. I totally agreed with him and thanks for the tip ! I found that the numbers are indeed astounding.
First, let me do a trade breakdown on days with either 44-56 or 56-44 on the major pairs:
Feb 15: 1 trade: -20 pips (-20 for the day) / Also coincided with yen-crosses sell-off
Feb 19: 4 trades: -15, +5 +60, -45 (+5) /Coincided with gbp/jpy stopped out
March: None
April 1: No trade
April 4: 4 trades: 45, +5, -45, +5 (+10) / Coincided with non-farm payroll day
April 15: 1 trade: -15 pips (-15) / Coincided with another gbp/jpy stopped out
April 16: 3 trades:-10, -50, -15 (-75) / Abnormal market movements
April 18: 3 trades: -70, -70, +40 (-100) / Coincided with another gbp/jpy wild day
Here are the facts:
(1) By the end of week 9, we have 7 days with 44-56% or 56-44%. 5 from this month alone, which has somehow affected this month performance.
(2) 10 out 16 trades are losers, only 2 out of 7 days are actually profitable
(3) Moreover, the biggest day win is only +10 pips, while the biggest day loss is -100 pips.
Looking at these facts, I am not that surprised now because these market sentiment values (of less than 60%) simply suggest that most of the markets are basically out of sync and not correlated well with each other. Obviously, this is not good for the system which exploits the underlying trend.
Based on the above statistics, I will perform my first optimisation of the system by setting non-tradable conditions on those days (with sentimet value between 44 -56) in future. I will observe the markets as usual and more trading statistics will be added here. In such days, markets are expected to be in crossroad and with increasing price volatility - see above - I used GBP/JPY market as an example. Now that I have checked, I could even score better results with the yen-crosses markets !
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1 comment:
You have an interesting site too. I used to be able to check on some past history charts on the forexfactory website, but couldn't find them now.
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