I have been running some numbers. I am a computer programmer and I have written a little program to crunch numbers.

Currency Pairs.

The chosen currency pairs are the combinations of the following currencies (“AUD”, “CAD”, “CHF”, “EUR”, “GBP”, “JPY”, “NZD”, “SGD”, “USD”).

Strategy.

The strategy is a Moving Average Crossover. Orders are opened when the short average crosses the long average. An upward cross means buy and a downwards cross means sell. The stop loss is placed at the lowest low or highest high of the past two candles and the take profit is placed at twice the distance of the stop loss in the other direction. If an order is open on that currency pair and another signal occurs then the order will remain open and will not be replaced.

Assumptions.

The assumption is that each order risks the same dollar amount each time regardless of the number of pips the stop loss is away from the order price. More pips means a smaller position size to compensate. This is VERY important.

The data.

The backtest consists of 500 historical daily candles covering approximately 2 years worth of data.

The runs.

The moving average lengths go from 5 to 50 and cover every combination (5,10 5,15 … 40,50 45,50) in both EMA/SMA combinations.

The results.

There results are split into portfolios of one currency pair, two currency pairs and three currency pairs. The idea is that if you only want one trade open at any time then use the one currency portfolio, two open trades at a time use the two currency portfolio and three trades use the three currency portfolio. The portfolios are grouped by parameters so that there are no issues with using the wrong MA’s with the wrong pairs (for convenience).

The portfolios.

The currencies were chosen as follows…

Each individual currency pair makes a profit.

The currency pairs do not share any individual currency.

The currency pairs have a correlation between -50 and +50 with each other so that they do not generally move in the same direction. The correlation calculation is based on the last 6 months worth of data.

The results table is as follows…

It is sorted according to “total profit”.

Parameters - The parameters of the run.

The pair followed by its win percentage and its “profit”.

The other pairs as described above.

The average win percentage for the pairs.

The “total profit” for the pairs.

“Profit” is calculated as if the run risked just $1 per order and it is calculated on a per year basis. So a total profit of 6.5 means that if you risked $1 per trade you would make $6.50 in the course of a year. If you risk $10 per trade you would make $65 per year if you took all the trades. The “total profit” is the same but you would take all of the trades in all of the currencies in the portfolio.

The important thing is that the profit is based on dollar risk and not on pip risk. Every order must risk the same dollar amount no matter how many pips, adjust the position size to make this happen.

Have a look at the results, I hope they prove useful.

I will see if I can attach the spreadsheets.Portfolio1.csv (272.1 KB) Portfolio2.csv (459.1 KB) Portfolio3.csv (1.2 MB)