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:
Check out the 93.33% win rate on this one yo!That’s a massive improvement over the pair’s 40% win rate in Q2 2020.
This pair had only one loss throughout the entire quarter, winning 14 out of its 15 trades. Even though its average win is still lower than its average loss, its maximum winning streak of 5.25% is hella impressive.
Because of that, USD/CAD was able to close out with a 388.5-pip or 7.77% gain for the period.
Here are the numbers for CAD/CHF:
This pair’s performance paled in comparison to that of USD/CAD, as it bagged merely 53.5 pips or 1.07% for the period.That’s slightly lower than its 1.58% gain for Q2 and way behind its Q1 performance, but it’s a gain nonetheless.
It’s worth noting that its average win is slightly larger than its average loss, which suggests that CAD/CHF was able to trim most of its losses then.
All in all, the Short-Term Bollinger Reversion Strategy 2.0 was up 442 pips or 8.84% for Q3 2020, a larger win compared to Q2 and just slightly below Q1’s gains.