EURAUD Strategy DEC 2023 Backtesting

14 Jan

Backtesting results for EURAUD DT/ DB + VWAP Strategy

(Found at tradingview.com/chart/EURAUD/ztU1iPqT-EURAUD-Strategy/)

Dec Trade 1 (Asian Session)

Loss -0.5%
Total - 0.5%

Dec Trade 2 (London Session)

Loss -0.5%
Total -1%

Dec Trade 3 (Late London Session)

Gain 0.89%
Total -0.11%

Dec Trade 4

Loss -0.5%
Total -0.61%

Dec Trade 5

Loss -0.5%
Total -1.11

Dec Trade 6

Gain 0.73
Total -0.38%

Dec Trade 7

Loss -0.5%
Total -0.83%

Dec Trade 8

Loss -0.5%
Total -1.33%

Dec Trade 9

Gain 1.52%
Total +0.19%

Dec Trade 10

Loss -0.5%
Total -0.31%

Dec Trade 11

Loss -0.5%
Total -0.81%

Dec Trade 12

Gain 1.72%
Total 0.9%

Dec Trade 13

Loss -0.5%
Total 0.4%

Dec Trade 14

Loss -0.5%
Total -0.1%

Dec Trade 15

Loss -0.5%
Total -0.6%

Dec Trade 16

Gain 1.1%
Total 0.5%

Dec Trade 17

Gain 0.97%
Total 1.47%

Dec Trade 18

Gain 1.43
Total 2.9%

Dec Trade 19

Loss -0.5%
Total 2.4%

Dec Trade 20

Gain 1.48%
Total 3.88%

Dec Trade 21

Gain 2.6%
Total 6.48%

Dec Trade 22

Loss 0.5%
Total 5.98%

Dec Trade 23

Loss -0.5%
Total 5.38%

Dec Trade 24

Gain 0.63%
Total 6.01%

Dec Trade 25

Gain 1.61%
Total 7.62%

Dec Trade 26

Gain 0.78%
Total 8.34%

Dec Trade 27

Gain 1.58%
Total 9.92%

Not listed, outside of my trading hours


Dec Trade 28

Loss -0.5%
Total 9.42%

Not listed, outside of my trading hours


Dec Trade 29

Stops just got hit, but as per rules (Double top pattern had no candle colour change so no entry in that one)
Loss -0.5%
Total 8.92%

Outside of my trading hours, and VWAP in the wrong place, though it seems this strategy works in the asian session too


Dec Trade 30

Gain 3.38%
Total 12.30%

End of the month FIgures



End gain 12.30%
Total Trades 30
Total wins 14
Total losses 16
Max Drawdown: -1.33%

Wins in a row 4
Losses in a row 3 (Though worth noting 11 losses out of the first 14 trades)

Biggest win 3.38% (With 0.5% risk on every trade)
Biggest loss -0.5%

Average loss: 0.5x16/ 16 = 0.5% loss
Average win: 3.38+1.58.0.78+1.61+0.63+2.6+1.48+1.43+0.97+1.1+1.72+1.52+0.73+0.89=20.42
20.42/ 14= 1.45%

Hope you find this interesting to look through.

Certainly not one for the faint hearted, especially the consistent losses at the beginning.

Novembers results coming soon.

Harry