SSA DEFAULT DELUXE PROFIT AND RISK ANALYSIS

SSA DEFAULT DELUXE PROFIT AND RISK ANALYSIS

11 May 2019, 16:37
Max Brown
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Most of the big players still use backtesting augmented by other techniques such as:

1) Strategy Validation Without Out-Of-Sample Testing - http://www.priceactionlab.com/Blog/2019/03/strategy-validation/

  • Backtests on a portfolio of pairs, including anti-correlated ones, are used in this article in place of out-of-sample validation via a specific example of trading strategy development

SSA Fixed It Default Deluxe passes with flying colors.  


2) Walk Forward Analysis - John Ehlers - http://www.mesasoftware.com/papers/WFO.pdf

SSA Fixed It Default Deluxe passes with flying colors. 


3) Whites Reality Check - https://financial-hacker.com/whites-reality-check/

SSA Fixed It Default Deluxe passes with flying colors. 


The list goes on and on.  ANY strategy that works on so many pairs using the same parameters will pass all tests for obvious reasons and so far the forward test is being passed with flying colours.  LUCK doesn't come into it, just real market structure.

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Portfolio Overview  -  calculations based on an $800 account and 0.01 lot per trade:

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PIp and profit analysis from 2003 using TDS 99.9% data with 100ms to 400ms latency with slippage


1)   Inputs :

a.    Account Balance $800

b.   Fixed Lot size: 0.01

c.    Close trades at 10 pips profit

d.    Equity drawdown percent -20


2)  In financial terms

a.    There are 2 to 3 trades on average per trading day producing a daily average profit of 50 pips. 


In financial terms this can be translated as:

  1. On average each day $2.5 to $3.00 of profit is generated by SSA Default Deluxe using 0.01 lot
  2. On average each day $12.5 to $15 of profit is generated by SSA Default Deluxe using 0.05 lot
  3. On average each day $25 to $30.00 of profit is generated by SSA Default Deluxe using 0.01 lot


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SSA Default Deluxe has a System Quality Number of 29.12:

Dr. Van Tharp developed this Formula to assess the quality of Trading Systems.

Van Tharp describes the Quality of Stocks, Indices, Currencies and Commodities with this SQN Scores:

  • Score: 1.6 - 1.9 Below average, but trade-able 
  • Score: 2.0 - 2.4 Average
  • Score: 2.5 - 2.9 
  • Good Score: 3.0 - 5.0 
  • Excellent Score: 5.1 - 6.9 
  • Superb Score: 7.0 or over - Keep this up, and you may have the Holy Grail.

I REPEAT: THIS IS NOT A ONE HIT WONDER EA THAT ONLY TRADES ONE PAIR; SSA DEFAULT DELUXE IS PROFITABLE ON 60+ PAIRS AND INSTRUMENTS USING THE SAME PARAMETERS; ONLY THE VERY BEST 27 PAIRS HAVE BEEN SELECTED FOR INCLUSION.


  1. According to one of the Godfathers of algorithmic trading called Robert Pardo: The Evaluation and Optimization of Trading Strategies  He has only come across systems that perform across so many pairs and instruments a couple of time in over 3 decades of high end trading.
  2. Kevin Davey, a system developer we all know confirms Pardo's view:  Building Winning Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading
  3. Perry J. Kaufman, the famous trading system developer LEGEND, agrees with Pardo and Davey:       A Guide to Creating A Successful Algorithmic Trading Strategy


I could add many more references but the point is, this system is as rare and high quality as they come according to the credible system development experts.



3)   Return on Capital Employed Analysis (ROCE)

a.   ROCE Deposit $100 (High risk and not recommended):

                                 i.    $3 x 20 trading days = $60

                               ii.    ROCE: 60/100 = 60%

b.    ROCE Deposit $300 (Medium Risk)  

                                 i.    $3 x 20 trading days = $60

                               ii.    ROCE: 60/300 = 20%

c.    ROCE Deposit $500 (Low Risk)  :  

                                 i.    $3 x 20 trading days = $60

                               ii.    ROCE: 60/500 = 12%


4) maximum drawdown since 2003 (16 years!) is $92   

a.   Drawdown on Account size of $100 (High risk and not recommended):

                                  i.  92/100 = 92%

b.    Drawdown on Account size of $300 (Medium Risk)  

                                  i.  92/300 = 31%                    

c.   Drawdown on Account size of $500 (Low Risk)  :  

                                  i.  92/500= 18%




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