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Sunday, December 16, 2012

LT Trend Sniper Characteristics and Results

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

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

TimeType       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 



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