It’s time to take a look at the numbers for this mechanical trading system for the past three months. More positions were opened, but did it score more wins?
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:
Quite a decent run for this one!
USD/CAD ended up with a 167-pip or 3.34% gain for Q1. Surprisingly, its average win was equal to its average loss, unlike previous periods which usually get larger losses.It also saw an improved win rate compared to Q4 2019 and a much larger maximum winning streak versus maximum drawdown.
Here are the numbers for CAD/CHF:
Aha, it’s a much better performance for this pair!
CAD/CHF bagged a total of 6.88% or 344 pips for the quarter, with an average win larger than its average loss as well.Its maximum winning streak of 4.81% also blew the max drawdown of 1.00% out of the water, and its 71.43% win rate ain’t too shabby either!
All in all, the Short-Term Bollinger Reversion Strategy 2.0 was up 511 pips or 10.22% for Q1 2020, recovering from the previous period’s 0.69% or 34.5-pip loss.