After a strong run in Q3, was this mechanical trading strategy able to follow through with another stellar performance? Time to look at the numbers!
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 total performance.
Since I’m running this strategy on a per pair basis, I crunched the numbers for USD/CAD first:
This pair caught fewer than usual signals for the quarter but still managed to impress. Not only did it bag a decent 166.5 pips or 3.33% in gains, but it also was able to maintain a strong win rate of 83.33%.
Aside from that, its average win was slightly larger than its average loss while its maximum winning streak clocked in a pretty good 3.50% in gains.
Not too shabby! This pair was able to catch 146 pips or 2.92% in gains, also clocking in a stellar win rate of 72.73%.
Even though its average loss was larger than its average win, the maximum winning streak was significantly larger at 2.64% versus the maximum drawdown of 1.00%. In fact, this system seemed on track for no major losses until it hit that snag on the very last trade.
Adding those gains for the pairs amounts to a 6.25% win for the quarter. On a yearly basis, USD/CAD snagged a total of 6.45% in gains while CAD/CHF had a jaw-dropping 16.21% profit. Check out the quarterly reviews right here:
How do you think this strategy stacked up against my other mechanical systems in Q4?