So here are this week’s trades using your strategy (i haven’t traded today yet and prob. i won’t trade friday). But I’m looking forward to run further tests.
as you see I’m still having problems being confindent enough to let winning trades run / setting higher TPs (it’s demo account tho but we learend to act like demo is real money :D)
In fact it’s similar to a “strategy” i posted a few months ago where I suggested/wondered if trading in the opossite direction would gain returns - it worked, while some guys just thought it’s coincidence or “unexpected market behavior”. Trades go ALWAYS in the opposite direction
next steps are:
better RR-Ratio
setting higher TPs
testing also on higher timeframes
profit: 91,70 Euro
most of loosing trades would have turned into winners if i had set stop loss just a few pips wider (2 - 5 pips, haven’t took the spread in account when setting SL 
)
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Just bumped on this thread. The author is quite a statistician who just do not have the necessary teaching skills to explain all the probability jargon to their students.
I would suggest explaining in “english” so that everyone can get your point, rather than losing your audience in a jungle of statistics jaw breaking language.
Your strategy makes me remember the WSS (World Simplest System) on FF. I have used it several times with some nice result.
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I used to be a big fan of mean reversion (and still am to an extent) back in the day. One of my first strategies that I tried was using mean reversion to buy/sell FTSE vs DOW based on a correlation coefficient of about 0.9 at the time.
Anyway, with that in mind I thought I’d quickly knock up this strategy in ProRealTime to back test it. There’s probably some merit in there but I don’t have time to play around with it too much at the minute.
This notion of ‘fair value’ and ‘seasoning’ is a little vague and I’m not really a fan of vagueness in strategies, you should be able to write any strategy down and it feels too much like a hunch or a feeling for me.
BUT… 55% win rate is pretty good, some very good daily profits there, it’s certainly something to work with, it’s just as per the written rules is loss making over the longer term.
I’ve had a bit more time today to play around with this and I’ve managed to adjust a few things, (add trailing stops, remove some of the time constraints etc etc). Backtest results look very good, too good, I used a 1 pip spread but haven’t used tick by tick. Although this shouldn’t make too much difference with something like this, only reliant upon a closed candle.
I feel I’ve overlooked something in my settings or code, the results are too good but I just can’t seem to see what I’ve missed.
I’ve a bit of space in my demo account at the moment for trying new strategies out so I’ve added this bot and will report back with findings. Hopefully this will allow me to see what I’ve missed too!
Ah ok, I think I’ve seen something, so, the backtest was using a weird time period for some reason, I’ve adjusted this to run from 2018 to present day, I’m currently just simming a walk forward test too.
This will probably only work in a ranging market such as where we currently are, if you’d started this back in 2018 you’d likely have given up by 2019 and certainly by 2020 it’d be in the bin
EDIT**
Got it, was a bug in the way I’d coded a trailing stop I was trying which was then erroring out when I tried to run it in a demo account. Having rectified this, below is the very best I can achieve with this strategy. It might make some money at some points in time and it generally won’t lose a lot which is great, but it’s not something I’d want to be deploying full time.
