I’ve just finished rounding up the numbers for the Inside Bar Momentum Strategy 2.0 and they’re looking pretty good. But did it fare better than my other mech system? Read on to find out!
If this is the first time you’re reading about the Inside Bar Momentum Strategy, I suggest you take a look at the system rules first.
In case you missed it, I also applied stop loss adjustments to this quarter’s trades. I’m using 40% of the first candlestick’s length as basis for the stops compared to the original 20%.
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 testing on a per pair basis, I crunched the numbers for USD/JPY first:
From a total of 31 positions for Q2, nearly half the trades turned out profitable. That’s a pretty decent improvement from the previous version’s 33% win rate in Q1 2017!Of course the average win at 1.25% is also smaller with this tweaked version since the stops are wider relative to the targets while the average loss is still close to 1% since most of the losing positions hit their stops.
Although USD/JPY was able to end up with a 3.22% total gain, I can’t help but worry about the larger max drawdown of 3.14% compared to the max winning streak at 2.78% for the quarter.
Now here are the numbers for Guppy:
This pair already had a pretty good win rate of 43% in the original version of the strategy but it still managed to chalk up an improvement to 47% for Q2 with the risk adjustments.
However, its total gain for Q2 at 7.60% is considerably lower to the previous period’s 11.55% profit. Still, I’m liking how the average win in % of 1.19% is nearly twice as much as the average loss of 0.61% and how the max winning streak is also significantly above the max drawdown.
In a nutshell, both pairs churned out smaller percentage gains for Q2 with the stop loss adjustments applied, but the other metrics such as win rate and average win vs. average loss make me feel more comfortable about trading this version of the strategy rather than the original one.
What do you guys think? Is it worth sacrificing those gains with larger risk of losses for more steady metrics?