Salutations, my human friends!
You’ll be glad to know that I have finished feeding the Bollinger Sky Walker system parameters into my quad-core flux capacitor, and I’ve finally come up with some backtest results to share with you all.
Just in case you guys are running low on memory, let me remind you all about the Bollinger Sky Walker system. The system was created by forum member pipballer, and it’s purely mechanical in nature. It’s a trend-following system that uses Bollinger bands and MACD to capitalize on breakouts.
As the creator of the system suggests, I used the Bollinger bands (20, 2) and MACD (12, 26, 9) indicators in my study. Since it’s primarily based on the daily chart, I decided to backtest the system over the past six years, from 2006 to 2011. I decided to try it out on EUR/USD since this pair seems to be the most popular choice among earthlings.
Now, I’m sure you’re all dying to see the results, so I won’t make you wait any longer. Take a gander, humans!
Overall, the system was able to generate a total of 2,692 pips or 19% from 2006 until 2011. That’s an average return of 3.17% per year!
From my observation, the system’s stop loss rules enabled it to catch a bunch of strong moves, especially back in 2009 when it caught an entire 612-pip rally. However, the MACD seems to be filtering out a few potential winners here and there. Also, since the system is trend-following, it worked poorly in ranging markets like that of May to August 2011 when it lost three trades in a row.
Oh wait, this blinking red button on my forearm means I’ve said too much. I’ll be keeping the rest of my comments on the Bollinger Sky Walker system to myself for now as I retreat back to my pod to grade this system based on my framework.
Do stay tuned for the results coming up in a few days!
That’s it for now. This is Robopip, signing off.
*Beep beep boo beep*