It’s time to take a look at the numbers for this mechanical trading system for the past three months. I’ve got the total for the year, too!
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:
Ack, it’s a negative quarter for this one!
USD/CAD ended up with a 0.54% loss for Q4, even though it scored more winning trades than losing ones. Its average win was way smaller than the average loss, after all, and its maximum drawdown erased most of its big gains.
Here are the numbers for CAD/CHF:
This pair also found itself in the red with a 0.15% loss and a lower win rate.Its maximum winning streak wasn’t impressive at all, and it was roughly half the largest drawdown. As always, its average win in % is smaller than its average loss.
All in all, the Short-Term Bollinger Reversion Strategy 2.0 was down 0.69% or 34.5 pips in Q4 2019, erasing part of the 3.87% or 190.5 pips in gains for the previous quarter.
This brings the strategy to a yearly total of 7.67% or 354.5 pips, thanks mostly to the strong gains in the second quarter.