Saturday, July 30, 2011

I wonder where is a bug this time...

In April 2010 I've started working on a short-term forex trading strategy.

The initial results were amazing, just too good to be true.

Shortly it turned out that there was a bug in the code indeed :)

In the meantime, I had some other things to do, so the work on this promising strategy was stopped for nearly 1,5 years.

Recently I've came back to it.

I think, there still must be a bug somewhere...

Even that the generated strategy results are definitely less stable than before, they are still impressive for most of the tested periods:

Fig. Simulated results of the MD2 forex strategy, EURUSD
blue line - market
black line - strategy

The simulated strategy return for EURUSD over 501 sessions through July 22nd, 2011 is 53,81% vs 0,87% market return.

I'll hunt for bugs tomorrow :)

1 comment:

Blogger said...

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