With the latest “success” of the revised Short-Term Bollinger Reversion Strategy on USD/CAD, I thought of looking at how the system fares on another typically range-bound pair.
In this tweaked version of the original system, I made the following changes:
- Short: If the signal candle high is greater than or equal to the top Bollinger Band AND the signal candle close is less than the top Bollinger band AND RSI just crossed below 75 but is still above 50, short at the open of the next candle.
- Long: If the signal candle low is less than or equal to the bottom Bollinger Band AND the signal candle close is above the bottom Bollinger Band AND RSI just crossed above 25 but is still below 50, go long at the open of the next candle.
Exit rules are still the same:
- Initial stop loss: 50 pips above the signal candle high
- Initial profit target: Close half the position at the open of the next candle after the first touch of the middle band
- Full profit target: Close the rest of the position at the open of the next candle after the first touch of the opposite band
- Adjusted stop loss: Trail stop to entry after the initial profit target is triggered
Now here are the results for CAD/CHF from September to the first week of January:
This pair just gave USD/CAD a run for its money! It caught a 403.5-pip win or a gain of 8.07% for roughly the same period, and that’s even with the back-to-back stopped out trades early this month.
Anyway, the other metrics are lookin’ mighty fine, as the pair snagged a jaw-dropping 84.62% win rate. Its maximum winning streak of 11 consecutive positive positions for a total of 6.43% gains is also pretty impressive.
Its average win is significantly smaller than the average loss. Still, not such a bad expectancy given its stellar win rate!
However, CAD/CHF didn’t really catch any big hundred-pip gains, owing mostly to the lower average pip movement of this pair. I’m thinking that it could’ve scored larger wins percentage-wise with a tighter stop of around 20-30 pips. Think that adjustment for this particular pair is worth looking at?