Momentum Capture Signal

[corni]

Thanks.
Actually since I published it, I optimized every week to improve the parameters and also add changes to the logic. I am also always open for interesting suggestions for improvement.
But from the portfolio backtest below you can see that the performance is not getting worse in recent years. I think this type of market behavior does not change in six month or even a year. It will probably only change when a lot of volume trades the same way.
Of course, the backtest has some optimization bias and therefore the future profit will not be the same (the portfolio below is on 0.01 lots with max 16 positions at a time). But I changed all parameters up to 20% and it was still very profitable, so it is not an extreme over-optimization.


portfolio__2.png

[laracroft]

Hello Corni, congratulations for the excellent performance and low DD.
May I know if you are in the habit of optimizing your EA every six months to better adapt to market changes?

[corni]

I wrote a lengthy reply. But after modifying it, it was labelled as spam. I wanted to wait a bit in case it gets accepted by administrators, but it seems they are busy with other stuff.
So here another answer:

1) I started the account with $100, because at that time I had no intention of selling the EA or offering a signal and it was just an experimental account. As also explained in the signal description, the 32% drawdown occurred when the balance was low, somewhere between $100 and $150, so the account was much too small for multiple orders and the actual drawdown was also rather small, $40 maybe.

To have a "clean" signal, I started a new one at ICMarkets: https://www.myfxbook.com/portfolio/m...arkets/2380299
But I also continued with the old one to have a longer live history.

Interestingly, it seems that both myfxbook and simpletrader do not calculate the drawdown accurately. It was only a short intraday drawdown and maybe they only use end of day data, not sure. But this is also an important point if you want to judge martingale-type strategies. On some of those the actual drawdown might be much larger than the one shown at simpletrade ...

2) The strategy is a bit similar to "SFE Price Action" if you only used it during specific time periods and a bit more aggressively (in terms of entry level, not lot size). Therefore, I would also use SFE as a "benchmark" to compare performance against. If you look at the SFE MAMM, it is down about 10% since Aug 2017, while my EA made about 20% since then. The time period was rather bad for momentum systems but my systems was historically good in reducing the risk as much as possible while still having most of the high-probability opportunities.
One important difference is that my EA has a clearly defined maximum risk with leverage < 10 for all symbols taken together. SFE on the other hand sometimes triggers with a lot of symbols, especially on USD events, so if it is lucky it makes more than my strategy, but if it isn't it loses more. So overall I think the return / risk is better on my strategy. Of course, I can only judge from historic bakctests and performance. Any system can fail in the future.

[genkisan]

Am I the only one who can't see Corni's reply to BRM?

[Big River Man]

Hello Corni

Looks interesting. Very good stats on the Darwinex link.

Few questions.

1) Could you please explain why there is a 32% drawdown in the MQL5 signal?
2) Why other EA's/traders would you suggest it "could be similar to" in trading style

KR,
BRM

[corni]

Hi Everyone,

I decided to offer my momentum strategy via simpletrader.com:

https://www.simpletrader.net/signal/...m-Capture.html

It is also possible to invest at Darwinex:

https://www.darwinex.com/darwin/BAX.4.5

It is a fully automated trading system. Only in very rare cases will I close positions manually.

No martingale or averaging is used. Every position has a clearly defined stop loss, usually between 20-100 pips.

The EA trades during the hours after speeches from central bankers or other central bank events. It does not trade very often, but historically it has been good in catching the momentum afterwards without too much risk in periods of low volatility. After detecting strong price action and momentum, it will open positions in trend direction as well as pending orders for a possible reversal.

Therefore, the EA can be seen as a "long-term volatility bet".

The Following symbols will be traded:

EURUSD,EURJPY,EURAUD,EURCAD,GBPUSD,USDCAD,USDCHF,G BPJPY,AUDJPY,USDJPY,AUDUSD,EURGBP,EURCHF and CADJPY

The historical maximum drawdown in an 8-year portfolio backtest starting 2010 was about $311 per 0.01 lots and 16 max orders, so $933 (or 19%) for the current settings on a $5000 balance. The maximum stagnation period was 79 days in the portfolio backtest.

In (optimized) backtests the current settings would have more than 60% a year, but considering optimization bias 30-50% is probably more realistic. Of course, none can predict the future. We can only judge from historic tests and live trades.
The backtest can be downloaded here: https://c.mql5.com/6/799/MomentumCap..._portfolio.zip