 TFOT Backtests
Attached, are two backtest reports. One for the EURUSD pair and one for the USDCAD pair. I requested the backtests cover the period Dec 20, 2001 to Dec 20, 2011 but the EURUSD backtest reports the ending period at Oct 10, 2011 but the backtest data stops at March 15, 2011. The USDCAD backtest report also stops short at Oct 10, 2011. I think this is a limitation of the number of ticks the report covers.
I optimized the MM risk at a maximum of 33% drawdown. The EURUSD pair achieved this at 8% risk. The EURUSD pair is clearly more profitable even though the USDCAD pair produces more trades. The optimal risk for the USDCAD is 5% (it produces more DD).
Both reports are in pdf format. I had to compress the USDCAD report because is exceeds the 976.6kb limit on pdf's.
Rick |