It’s time to take a look at the numbers for this mechanical trading system for the past three months. Did the strategy end up positive overall?
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 a 1% risk per trade in order to help me analyze total performance.
Since I’m running this strategy on a per pair basis, I crunched the numbers for USD/CAD first:
Nearly a 2% gain on this pair over just ten trades… Not too bad!However, looking closer at the numbers reveals that there were more losing trades than winning positions during the quarter.
The win rate isn’t also THAT impressive at 40% compared to that of the previous quarter.
Still, it’s worth noting that the average win is nearly twice as much as the average loss for the period. The maximum winning streak was also notably higher than the largest drawdown.
Here are the numbers for CAD/CHF:
It’s also a pretty good showing for this pair!CAD/CHF bagged a total of 1.58% for Q2, which ain’t too shabby but not as good as its Q1 performance.
Its win rate of 69.23% was better compared to that of USD/CAD in the same period, even though its max winning streak gain was lower compared to its biggest drawdown.
Still, the larger average loss ate up the gains from the notably smaller average gain in pips, contributing to a lower expectancy for this one.
All in all, the Short-Term Bollinger Reversion Strategy 2.0 was up 177.5 pips or 3.55% for Q2 2020. That’s much lower compared to the earlier period’s gains of more than 10% but still a pretty good run.