A sequel to the article LT Trend Sniper - A forex strategy that works, for my own future reference about the characteristics of the system.
Characteristics of the system
Optimization period 2000 - 2009
Out of sample testing 2010 - 2012
Total number of years 13
Results trade by trade
The results of this system live are tracked in the Results page
Related Articles:
LT Trend Sniper - A forex strategy that works
The Turtles Trading system automated (Expert Advisor for download)
Results Live - 2014
Results Live - 2015
Characteristics of the system
Optimization period 2000 - 2009
Out of sample testing 2010 - 2012
Total number of years 13
| Wins and Losses | |
| Wins | 40 |
| Losses | 30 |
| Max Win Pips | 1046 |
| Max Loss Pips | -492 |
| Max Win % | 13.68% |
| Max Loss % | -3.00% |
| Avg Winner | 4.51% |
| Avg Loser | -1.88% |
| Max consecutive wins | 4 |
| Max consecutive losses | 2 |
| Returns and Drawdown | |
| Avg Yearly return | 9.53% |
| Std. Deviation | 6.94 |
| 1 Std Dev. Away | 2.59% to 16.47% |
| 2 Std Dev. Away | -4.35% to 23.41% |
| Max DD | 8.77% |
| Adaptive criteria | |
| Longest Stop Loss | 610 pips |
| Smallest Stop Loss | 110 pips |
| Time in the market | |
| Avg Trade duration | 21 days |
| Largest Trade | 63 days |
| Shortest Trade | 1 day |
| Time in the market | 32% |
| Stop Condition | |
| Max Losses | 4 |
| Max Drawdown | 17.54% |
Results trade by trade
| Time | Type | Price | S / L | Pips | Return | Balance | Days |
| 2000.04.20 00:06 | sell | 0.94000 | 0.96107 | ||||
| 2000.05.15 00:02 | close | 0.91810 | 0.96107 | 219.0 | 3.12% | 103120.00 | 25 |
| 2000.08.30 00:04 | sell | 0.89260 | 0.90956 | ||||
| 2000.09.25 00:01 | close | 0.87990 | 0.90956 | 127.0 | 2.25% | 105436.55 | 26 |
| 2000.10.19 00:02 | sell | 0.83900 | 0.85783 | ||||
| 2000.11.01 00:01 | close | 0.84890 | 0.85783 | -99.0 | -1.58% | 103773.53 | 13 |
| 2000.12.15 00:01 | buy | 0.89290 | 0.86924 | ||||
| 2001.01.18 00:01 | close | 0.93590 | 0.86924 | 430.0 | 5.45% | 109431.51 | 34 |
| 2001.03.23 00:00 | sell | 0.88760 | 0.91024 | ||||
| 2001.04.04 00:01 | close | 0.89770 | 0.91024 | -101.0 | -1.34% | 107966.95 | 12 |
| 2001.05.14 00:01 | sell | 0.87600 | 0.89373 | ||||
| 2001.06.14 00:01 | close | 0.85560 | 0.89373 | 204.0 | 3.45% | 111693.73 | 31 |
| 2001.06.29 00:01 | sell | 0.84430 | 0.86100 | ||||
| 2001.07.11 00:01 | close | 0.85590 | 0.86100 | -116.0 | -2.08% | 109366.22 | 12 |
| 2001.08.13 00:01 | buy | 0.89390 | 0.87927 | ||||
| 2001.08.30 00:01 | close | 0.90840 | 0.87927 | 145.0 | 2.97% | 112618.05 | 17 |
| 2001.09.17 00:01 | buy | 0.92380 | 0.89867 | ||||
| 2001.10.01 00:01 | close | 0.91150 | 0.89867 | -123.0 | -1.47% | 110964.41 | 14 |
| 2001.11.20 00:01 | sell | 0.87820 | 0.89480 | ||||
| 2001.11.29 00:01 | close | 0.88810 | 0.89480 | -99.0 | -1.79% | 108979.08 | 9 |
| 2002.01.24 00:01 | sell | 0.87740 | 0.89047 | ||||
| 2002.02.08 00:01 | close | 0.87050 | 0.89047 | 69.0 | 1.58% | 110705.07 | 15 |
| 2002.04.25 00:01 | buy | 0.89270 | 0.88166 | ||||
| 2002.05.15 00:02 | close | 0.90280 | 0.88166 | 101.0 | 2.74% | 113743.44 | 20 |
| 2002.05.20 00:01 | buy | 0.92080 | 0.90336 | ||||
| 2002.07.05 00:01 | close | 0.97860 | 0.90336 | 578.0 | 9.94% | 125052.56 | 46 |
| 2002.07.10 00:01 | buy | 0.99320 | 0.97129 | ||||
| 2002.07.24 00:01 | close | 0.98950 | 0.97129 | -37.0 | -0.51% | 124419.03 | 14 |
| 2002.11.05 00:01 | buy | 0.99860 | 0.98480 | ||||
| 2002.11.20 00:01 | close | 1.00320 | 0.98480 | 46.0 | 1.00% | 125663.22 | 15 |
| 2002.12.13 00:01 | buy | 1.01880 | 1.00519 | ||||
| 2003.02.11 00:01 | close | 1.07160 | 1.00519 | 528.0 | 11.64% | 140288.53 | 60 |
| 2003.03.04 00:01 | buy | 1.08960 | 1.07041 | ||||
| 2003.03.14 00:01 | close | 1.07930 | 1.07041 | -103.0 | -1.61% | 138029.59 | 10 |
| 2003.04.30 00:01 | buy | 1.10790 | 1.08886 | ||||
| 2003.06.04 00:01 | close | 1.17410 | 1.08886 | 662.0 | 10.43% | 152427.00 | 35 |
| 2003.08.19 00:01 | sell | 1.11490 | 1.13573 | ||||
| 2003.09.08 00:01 | close | 1.11000 | 1.13573 | 49.0 | 0.71% | 153502.70 | 20 |
| 2003.09.30 00:01 | buy | 1.16180 | 1.13774 | ||||
| 2003.10.16 00:01 | close | 1.16160 | 1.13774 | -2.0 | -0.02% | 153464.42 | 16 |
| 2003.11.19 00:01 | buy | 1.19700 | 1.17399 | ||||
| 2004.01.16 00:01 | close | 1.25910 | 1.17399 | 621.0 | 8.10% | 165889.63 | 58 |
| 2004.02.12 00:01 | buy | 1.28460 | 1.25430 | ||||
| 2004.02.20 16:40 | s/l | 1.25430 | 1.25430 | -303.0 | -3.00% | 160912.94 | 8 |
| 2004.03.25 00:01 | sell | 1.21210 | 1.24253 | ||||
| 2004.04.02 00:01 | close | 1.23660 | 1.24253 | -245.0 | -2.42% | 157026.28 | 7 |
| 2004.04.06 00:01 | sell | 1.20020 | 1.23010 | ||||
| 2004.04.30 00:01 | close | 1.19650 | 1.23010 | 37.0 | 0.37% | 157609.23 | 24 |
| 2004.05.11 00:01 | sell | 1.18320 | 1.20876 | ||||
| 2004.05.25 10:23 | s/l | 1.20876 | 1.20876 | -255.6 | -3.00% | 152880.95 | 45 |
| 2004.07.09 00:00 | buy | 1.23930 | 1.21976 | ||||
| 2004.07.21 00:00 | close | 1.23260 | 1.21976 | -67.0 | -1.03% | 151308.32 | 12 |
| 2004.10.18 00:01 | buy | 1.24760 | 1.22977 | ||||
| 2004.12.13 00:00 | close | 1.31980 | 1.22977 | 722.0 | 12.15% | 169689.36 | 56 |
| 2004.12.24 00:00 | buy | 1.35050 | 1.32660 | ||||
| 2005.01.04 00:00 | close | 1.34620 | 1.32660 | -43.0 | -0.54% | 168773.46 | 11 |
| 2005.05.13 00:00 | sell | 1.26780 | 1.28544 | ||||
| 2005.06.20 00:00 | close | 1.21920 | 1.28544 | 486.0 | 8.27% | 182723.11 | 38 |
| 2005.06.24 00:00 | sell | 1.20310 | 1.22606 | ||||
| 2005.07.13 00:00 | close | 1.22400 | 1.22606 | -209.0 | -2.73% | 177733.24 | 19 |
| 2005.09.05 00:00 | buy | 1.25370 | 1.23350 | ||||
| 2005.09.12 04:50 | s/l | 1.23350 | 1.23350 | -202.0 | -3.00% | 172401.24 | 7 |
| 2005.11.07 00:00 | sell | 1.18030 | 1.20317 | ||||
| 2005.11.21 00:01 | close | 1.17800 | 1.20317 | 23.0 | 0.30% | 172921.38 | 14 |
| 2006.01.24 00:00 | buy | 1.22980 | 1.21127 | ||||
| 2006.01.27 19:17 | s/l | 1.21127 | 1.21127 | -185.3 | -3.00% | 167733.74 | 3 |
| 2006.04.19 00:00 | buy | 1.23650 | 1.21763 | ||||
| 2006.05.25 00:04 | close | 1.27550 | 1.21763 | 390.0 | 6.20% | 178133.77 | 36 |
| 2006.11.23 00:00 | buy | 1.29440 | 1.28081 | ||||
| 2006.12.15 00:00 | close | 1.31520 | 1.28081 | 208.0 | 4.59% | 186312.98 | 22 |
| 2007.03.19 00:00 | buy | 1.33190 | 1.31776 | ||||
| 2007.04.03 00:00 | close | 1.33670 | 1.31776 | 48.0 | 1.02% | 188210.37 | 15 |
| 2007.04.06 00:00 | buy | 1.34330 | 1.32974 | ||||
| 2007.05.04 00:00 | close | 1.35520 | 1.32974 | 119.0 | 2.63% | 193165.46 | 28 |
| 2007.07.11 00:00 | buy | 1.37690 | 1.36336 | ||||
| 2007.07.26 00:00 | close | 1.37250 | 1.36336 | -44.0 | -0.97% | 191282.31 | 15 |
| 2007.09.12 00:00 | buy | 1.38390 | 1.36799 | ||||
| 2007.10.09 00:00 | close | 1.40540 | 1.36799 | 215.0 | 4.05% | 199037.00 | 27 |
| 2007.10.19 00:00 | buy | 1.42860 | 1.41101 | ||||
| 2007.11.30 00:01 | close | 1.47460 | 1.41101 | 460.0 | 7.85% | 214652.18 | 11 |
| 2008.02.27 00:00 | buy | 1.50130 | 1.48137 | ||||
| 2008.03.24 00:00 | close | 1.54100 | 1.48137 | 397.0 | 5.98% | 227479.62 | 26 |
| 2008.03.27 00:06 | buy | 1.58360 | 1.54894 | ||||
| 2008.04.08 00:00 | close | 1.57030 | 1.54894 | -133.0 | -1.15% | 224860.91 | 12 |
| 2008.04.10 00:00 | buy | 1.58370 | 1.55354 | ||||
| 2008.04.25 00:00 | close | 1.56810 | 1.55354 | -156.0 | -1.55% | 221371.69 | 15 |
| 2008.08.08 00:00 | sell | 1.53240 | 1.55534 | ||||
| 2008.09.16 00:00 | close | 1.42780 | 1.55534 | 1046.0 | 13.68% | 251653.48 | 39 |
| 2008.10.03 00:01 | sell | 1.38010 | 1.42903 | ||||
| 2008.11.05 00:00 | close | 1.29950 | 1.42903 | 806.0 | 4.94% | 264089.58 | 63 |
| 2008.11.13 00:00 | sell | 1.24540 | 1.30649 | ||||
| 2008.11.25 00:00 | close | 1.29460 | 1.30649 | -492.0 | -2.42% | 257708.89 | 12 |
| 2009.03.04 00:00 | sell | 1.25415 | 1.28911 | ||||
| 2009.03.11 00:00 | close | 1.27056 | 1.28911 | -164.1 | -1.41% | 254079.88 | 7 |
| 2009.05.21 00:00 | buy | 1.37650 | 1.34391 | ||||
| 2009.06.09 00:00 | close | 1.39032 | 1.34391 | 138.2 | 1.27% | 257312.21 | 19 |
| 2009.08.04 00:00 | buy | 1.44211 | 1.41543 | ||||
| 2009.08.07 18:09 | s/l | 1.41543 | 1.41543 | -266.8 | -3.00% | 249592.84 | 3 |
| 2009.09.09 00:00 | buy | 1.44950 | 1.42488 | ||||
| 2009.09.25 00:00 | close | 1.46608 | 1.42488 | 165.8 | 2.02% | 254635.39 | 16 |
| 2009.10.09 00:00 | buy | 1.47930 | 1.45507 | ||||
| 2009.10.27 00:00 | close | 1.48651 | 1.45507 | 72.1 | 0.89% | 256908.51 | 18 |
| 2009.11.26 00:00 | buy | 1.51364 | 1.48789 | ||||
| 2009.11.27 08:23 | s/l | 1.48789 | 1.48789 | -257.5 | -3.00% | 249201.25 | 1 |
| 2009.12.16 00:00 | sell | 1.45364 | 1.47995 | ||||
| 2010.01.05 00:00 | close | 1.44122 | 1.47995 | 124.2 | 1.42% | 252730.42 | 20 |
| 2010.01.21 00:00 | sell | 1.41067 | 1.43750 | ||||
| 2010.03.01 00:00 | close | 1.36243 | 1.43750 | 482.4 | 5.39% | 266362.60 | 39 |
| 2010.03.24 00:00 | sell | 1.34908 | 1.36980 | ||||
| 2010.04.02 00:00 | close | 1.35859 | 1.36980 | -95.1 | -1.38% | 262694.97 | 9 |
| 2010.04.28 00:00 | sell | 1.31602 | 1.34143 | ||||
| 2010.06.15 00:00 | close | 1.22139 | 1.34143 | 946.3 | 11.17% | 292044.24 | 48 |
| 2010.08.09 00:00 | buy | 1.32900 | 1.30399 | ||||
| 2010.08.11 08:45 | s/l | 1.30399 | 1.30399 | -250.1 | -3.00% | 283282.91 | 2 |
| 2010.09.23 00:00 | buy | 1.34014 | 1.31380 | ||||
| 2010.10.20 00:00 | close | 1.37411 | 1.31380 | 339.7 | 3.87% | 294243.18 | 27 |
| 2010.11.04 00:00 | buy | 1.41255 | 1.37953 | ||||
| 2010.11.09 21:13 | s/l | 1.37953 | 1.37953 | -330.2 | -3.00% | 285415.89 | 5 |
| 2011.01.10 00:00 | sell | 1.28948 | 1.31399 | ||||
| 2011.01.12 20:34 | s/l | 1.31399 | 1.31399 | -245.1 | -3.00% | 276853.41 | 2 |
| 2011.03.03 00:00 | buy | 1.38653 | 1.36399 | ||||
| 2011.04.01 00:00 | close | 1.41734 | 1.36399 | 308.1 | 4.10% | 288206.37 | 29 |
| 2011.04.04 00:00 | buy | 1.42331 | 1.39872 | ||||
| 2011.04.19 00:00 | close | 1.42274 | 1.39872 | -5.7 | -0.07% | 288005.95 | 15 |
| 2011.04.21 00:00 | buy | 1.45233 | 1.42670 | ||||
| 2011.05.06 00:00 | close | 1.45409 | 1.42670 | 17.6 | 0.21% | 288599.26 | 15 |
| 2011.07.12 00:00 | sell | 1.40465 | 1.43417 | ||||
| 2011.07.21 16:04 | s/l | 1.43417 | 1.43417 | -295.2 | -3.00% | 279941.28 | 9 |
| 2011.09.09 00:00 | sell | 1.38847 | 1.41672 | ||||
| 2011.10.11 00:00 | close | 1.36357 | 1.41672 | 249.0 | 2.64% | 287343.63 | 32 |
| 2011.12.13 00:00 | sell | 1.31667 | 1.34452 | ||||
| 2011.12.27 00:00 | close | 1.30558 | 1.34452 | 110.9 | 1.19% | 290776.27 | 14 |
| 2011.12.29 00:00 | sell | 1.29369 | 1.31561 | ||||
| 2012.01.19 00:00 | close | 1.28551 | 1.31561 | 81.8 | 1.12% | 294031.59 | 21 |
| 2012.05.09 00:00 | sell | 1.29988 | 1.31684 | ||||
| 2012.06.07 00:00 | close | 1.25790 | 1.31684 | 419.8 | 7.43% | 315865.51 | 29 |
| 2012.07.09 00:00 | sell | 1.22663 | 1.24896 | ||||
| 2012.07.30 00:00 | close | 1.23023 | 1.24896 | -36.0 | -0.48% | 314337.82 | 21 |
| 2012.09.10 00:00 | buy | 1.28081 | 1.26343 | ||||
| 2012.09.25 00:00 | close | 1.29306 | 1.26343 | 122.5 | 2.11% | 320984.49 | 15 |
The results of this system live are tracked in the Results page
Related Articles:
LT Trend Sniper - A forex strategy that works
The Turtles Trading system automated (Expert Advisor for download)
Results Live - 2014
Results Live - 2015
Go to the bottom of this page in order to see the Legal Stuff
very appreciable work I must say that thanks.
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