But I’ve rigorously tested my code and I really think it is working as it should be, without any bugs. The original aim was to try and work out which combinations of technical analysis tools and stop-loss/take-profits produced the best results.
Disclaimer before I link to my results: I know these results are stupidly ridiculous. I’m just hoping that someone here can shed some light on this predicament: [B][U]Dropbox - STOCH-14,3,3-2011Jan-2016Mar.xlsx
Some notes on the spreadsheet:
Processed on EUR/USD, hourly chart from January 2011 until March 2016 inclusive
“Cooldown” means the minimum amount of time (hours) between trades. It is the only restriction on multiple trades - as long as the cooldown has elapsed, a trade is taken as soon as the indicator sends a signal, regardless of whether any other trades are still ongoing
Percentage gains (columns J to P) are all account size percentages relative to the start of the year (ie. at the start of the year, the account size will always be 100%, so if the column value is 66%, it means there was a loss of 34% that year. Conversely, if the column value is 200%, it means there was a gain of 100% that year)
My main concerns:
Average end-of-year account growths of 50% are already pretty ridiculous (considering this is only from the Stochastic indicator), but the top one reaches 9,000%+ growth on avereage, per year - WTF??
Massive stop-loss:take-profit ratios seem to vastly outperform the more conservative SL:TP ratios like 1:1 or 1:2. (The 25 pip stoploss + 200~300 take-profits appear to perform the best by far)
If you think you know what’s going on, send a comment my way, whether it be a reason why this historical backtesting bears no significance, or if these results are actually impossible and you think my code is definitely bugged, or whatever. I’m still relatively new to trading and forex and have a long way to go.
Here’s a link to my Github project which generated these results:
The backing library used for technical analysis is TA-lib.