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Saturday, January 20, 2018

Automated Forex Strategies - 2017 Results

Forex has been a tough arena in the last couple of years. Looking at Barclay's Currency Traders Index, it  shows a +0.01% among audited Forex Trading firms in 2017. That's the bench-mark I use for my FX Trading activity, which is all automated.

Once again I purchased high quality data from several brokers via forextester.com to run all these tests on the MetaTrader4 platform. Bid-Ask spread used of 2 pips in the simulations for currencies and 0.40 points in the case of Gold. These are normal spreads, nothing out of this world nowadays. The time zone in the quotes was adjusted to GMT+2 so that the trading weeks only have 5 daily candles (Monday through Friday), all of them full 24 hour candles, instead of the shortened Sunday night and shortened Friday.

LT Trend Sniper
From yours truly, the LT Trend Sniper system: my premium strategy designed for following 2 - 3 month long trends in instruments such as the Euro (EURUSD), the Sterling pound (GBPUSD), the Australian dollar (AUDUSD) and Gold  (although I personally only use it in the Euro and Gold)

Here's the Sniper with the EURUSD in 2017 with a "Moderate Risk" setting:
(Click on image to enlarge)










Seven trades, only two winners. Yet the winners were by far larger than the losers, managing to pull a +3.76% for the year. This is concerning EURUSD only.

In the case of Gold, it made 4 trades (1 winner and 3 losers) and showed a -3.37% performance for the year.

Combining both Euro and Gold in the same portfolio, the return was +0.38%
So, in total, the LT Trend Sniper robot made 11 trades in 2017, only 3 of them were winners. The system had a flat year and it still managed to beat the benchmark. Obviously, these are not spectacular results to brag about. I'm expecting to see the system come back to its historical +15% average annual returns and 50% winners.

Despite the mediocre results, the system still shows nice overall numbers when you compile its activity since it went live. Here's for example, the equity curve for EURUSD from January 2014 to January 2018 using the Moderate Risk setting:

A 44.9% return in the last four years of live trading with 27 trades (13 winners) and a respectable 2.80 profit factor. Max draw-down (peak to trough) of 9.4%, which is not bad for an 11% avg annual return in these years of live trading. This is with the Moderate Risk level. The Very Aggressive setting accumulated a 79% return in the same 4-year period (2014, 2015, 2016, 2017).

Here are the updated results for the Sniper's Euro + Gold portfolio, covering now 18 years with a +14.2% Average Annual Return (Moderate Risk setting):



The Turtles Trading System (Method 2)
The legendary Turtles Trading system doesn't need an introduction. Killed it in 2014 and 2015, then had a bad 2016 and now a mediocre 2017. No surprise here: The Turtles system has experienced 3-year long draw-downs in the past and it is one of the psychologically hardest systems out there to trade.

As mentioned in 2016, I eventually got to finish the prototype for Method 1 of the Turtles (much harder to program). The results when applied to currencies left a lot to be desired in respect with Method 2. It is profitable too, just not as attractive, and highly correlated (draw-downs of method 1 tend to coincide with those of method 2, and this is why the Turtles used "either or"). I didn't think the Method 1 Robot was even worth publishing.

Here are the results for the Turtles Trading system (method 2) applied to the EURUSD currency pair in 2017:

At one point it was up +9.2%, but it eventually finished the year at -0.8%.


For previous years' results of LT Trend Sniper, The Turtles and other sytems check out:
Automated FX strategies - 2014 Results
Automated FX strategies - 2015 Results
Automated FX strategies - 2016 Results


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