Hello traders,
@easymon1, thanks for your comments. To clarify, the risk was only 3% with the original balance of $1000. With an additional $1000 ($996.73 after commision) now deposited, the risk is reduced to arround 1.5% per trade on algo version 1.1.
I do agree though, the algo has not run for any real length of time, and already I'm making adjustments - naughty. I do need to just let it run.
@yc47ib, thank you for your constructive suggestions, I'm in the early stages of a scalping algo that uses lower timeframe data, so I will keep your points in mind.
This past weekend I have worked further on algo version 1.2, and implemented an idea to increase the success rate, while handling false returns to the mean.
So in 1.2, we'll be first filtering the opportunities to return to mean by price action (candle moving in our direction), taking those trades, but managing them by bundling them into a basket.
That means in 1.2 we can have multiple trades open. Individually, they will have no stop loss nor take profit, but the basket will have an overall take profit and stop loss.
The sample test balance/equity curve for 1.2 looks like this:
You can clearly see where the basket stop loss is being hit, there's an average drop of 3.75% (min 2%, max 6%). However, a basket closes in profit nearly 80% of the time for an average gain of 1.5% (min 0.5%, max 5%).
The downside of this approach, is that a basket may endure equity drawdown of up to 8% before the basket is closed at the average balance gain of 1.5% or a average balance loss of 3.75%.
From today, I'm going to run both versions of the algo (1.1 and 1.2) - as a result you will see 2 charts in my end of day post, as a chart window in MT5 can only have one algo placed at a time, i.e. I'll have 2 chart windows, one running algo v1.1 and the other running algo v1.2, both in the same account.
So, in summary, in case this has become a little confusing:
1. There will be 2 algos running, both apply the same principle of mean reversion.
2. v1.1 is a straight shooting, single trade at a time, Risk:Reward of 1:1.5, win rate 47%.
3. v1.2 is a more complex basket trader, taking multiple entries off of price action indications, average basket risk is 3.75%, average basket gain is 1.5%, win rate 79%.
Let's see what today brings.
