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Saturday, January 5, 2019

Automated Forex Strategies - 2018 Results

The year was a success with positive returns across the board. Not as great as past years, but decent above average returns nonetheless that easily beat the benchmark. The Barclay's Currency Traders Index shows a +4.76% return among audited Forex Trading firms in 2018. That's the bench-mark I use for my FX Trading activity, which is all automated.

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)

The return was a positive 13.40%. The EURUSD contributed +4.4% and Gold brought a +9%
Trade by Trade details:

With the Euro, 3 winning trades, 3 losing trades, one break-even result. As usual, the fact that winners are larger than losers on average saves the year. On August 21, the balance was +14.15% with the EURUSD currency alone! But then 3 consecutive losing trades came. It's just part of the game. I expect that a good trend will be caught any time now.

With Gold 4 trades. 2 wins 2 losses but again winners being much larger. A net +9% contribution to the portfolio.

So, in total, the LT Trend Sniper robot made 11 trades in 2018: 5 winners, 5 losers and 1 break-even. A couple of nice trends were caught: first in the Euro sell-off of late April - early June and then the Gold sell off-of mid July - August. The system easily beat the Barclay's Currency Traders Index benchmark.

Here are the updated results for the Sniper's Euro + Gold portfolio, covering now 19 years with a +14.7% 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 (+35.6%) and 2015 (+22.8%), then had a bad 2016 (-17.9%), a mediocre 2017 (-0.8%) but made a come back in 2018 with a +9% return that easily beats the benchmark. The system tends to suffer long periods of draw-downs that are eventually rewarded by massive bursts or profitability.

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 2018:

For previous years' results check out:
Automated FX strategies - 2014 Results
Automated FX strategies - 2015 Results
Automated FX strategies - 2016 Results
Automated FX strategies - 2017 Results 

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