Greetings earthlings! I’ve retreated into my pod for the past couple of days to crunch more numbers on this mechanical trading system. Here’s how it fared for the first quarter of 2018.
In this revised version of the Short-Term Bollinger Reversion Strategy, I’m waiting for RSI to cross above or below oversold or overbought levels to indicate a bit more momentum in the direction of the trade. Make sure you review the tweaks here!
And I know I haven’t really covered the position sizing rules for this system just yet but, for simplicity’s sake, I decided to assume 1% risk per trade in order to help me analyze performance.
Since I’m running this strategy on a per pair basis, I crunched the numbers for USD/CAD first:
Ack! Not so impressive, huh?
Although the pair managed to cap off the quarter on a positive note, other metrics aren’t looking so promising as it had a larger average loss in % vs. the average win in %. Its maximum drawdown is also larger than the maximum winning streak, but the win rate looks decent at 63.64%.
Compared to the earlier pair, CAD/CHF was actually able to end up with a greater overall gain of 3.46% for Q1 2018. Its average win of 0.45% is not that far off from the average loss of 0.5% while its max winning streak is also larger than the max drawdown.
To top it off, the pair was able to score a jaw-dropping eight-trade winning streak from mid-February towards the third week of March, which I barely see in either of my other trading systems.