Dear AW10,
am backtested NR7/IDNR7 &IDNR4...from oct2008 to upto date.though your backtesting sheet not showing correct figures.please find the attchment...also see the PL sheet .have gained 1271 points without diducting brokerage etc.Please check it and give some guidence and improvement for trade....
Vijay,
Here is the updated file. I have created the copy of your BTesting sheet and modified it. The Original copy is the last sheet, where I have placed comment in column N.
Change made in the sheet are
1) Transferred the part of your strategy to appropriate section between row 3 to 20
2) Delete rows where there was no trade. You can find the rows that I have deleted from my comments in last sheet.
3) Cell Formatting correct in statistics section and in column K
4) Changed formula in Cell C24 to count trades from column I which is also used to count winner/looser.
5) Manually counted consecutive win/loss to understand the outcome correctly.
6) Changed IF condition in formula of column I/J and replaced "S" by "sell".
Because of these changes the total profit in points have come down to 1068. Here are my observations/interpretation
0) Has +ive expectancy of 22 points over a period of time. Even if I remove the best winning trade of 153 points, the expectancy remains +ive at 18.7 points.
When I remove 2 best winner 153 and 144 points, Expectancy is +15 points.
So even if you miss those dream runs, you are not going to loose money trading with this approach.
1) Average winning % is 62% .. so psychologically, u are expected to see more winners then looser.
Possible to get 4 consecutive loosers. Except in one case we got 4 loosers, else it is not more then 2 loosers in a row.
2) The strategy is giving decent average win in points = 39 pts whereas size of average loosing trade is 5/6 points.
3) Max stoploss or max risk is 100 points+ on one trade.. but on an average you are risking about 38 to 40 points.
Your average win size is 39 pts.. i.e. your average reward risk ratio of approx 1..
Strategy is profitable due to higher % win in your favour.
4) If you just look at best and worst case scenario.. then best profit was 153 points.. whereas worst loss was 36 points.
5) you are getting 35 trades in a years time, i.e. approx 3 trades per month.. Which fits well with my analysis about frequency of NR7 signal.
6) Good point of your approach is that you are booking partial profit at 50 pts. And also carrying the position to next day when odds are in your favour.
You can make it more profitable by changing you position sizing approach. i.e. ride the winner aggressively.
The approach that u are using to book partial profit, results in riding winner conservatively. In this approach, when market is proving trader right, he steps back and cuts the position.
As you know your average risk of 38 /40 points, so plz chk out if you can scale into the position intraday when it is going in your favour after first entry. Say when it is up by20/25 points, you wait for retracement and scale in there. And follow with 40 points trailing stop. You may also decide to take first scale-in entry only and then keep taking out position at 50 points, 70points etc.
It is not as simple as I have written. but if it is analysed and done correctly, it can boost your returns.
Feel free to raise more doubts on this, if you have any.
All the best and Happy trading
Link to Update file is in the post below by Rohan.