This long/short, multi-strategy mechanical system uses a variety of trend-following and counter-trend trading techniques to trade multiple currency pairs. The goal of the system is to derive as much profit as possible from a medum-term trend, and then anticipate a trend change. As a consequence, to avoid whipsaw, no fixed stops or profit targets are used; instead, risk is managed through a volatility filter, technical analysis, and ensuring low correlations across forex instruments and strategies to manage portfolio beta. Trades will be exited once technical indicators and chart patterns indicate a trend change. Only one position is held per pair. Each pair is allocated approximately 0.5% of account margin. This is a medium term system with an average holding period of days to weeks. The system never engages in martingale or averaging down of positions. The system is fully automated with no discretionary trades. You can also see my system at http://www.intjcapital.com/intj-algorithmic-trading-models/ for more information.
  • Growth
  • Equity
  • Balance
  • Risks
  • Distribution
  • Slippage
  • Reviews
Trades: 1 382
Profit Trades: 617 (44.64%)
Loss Trades: 765 (55.35%)
Best trade: 396.44 USD
Worst trade: -475.45 USD
Gross Profit: 13 059.45 USD (757 815 pips)
Gross Loss: -16 616.33 USD (937 903 pips)
Maximum consecutive wins: 9 (187.49 USD)
Maximal consecutive profit: 396.44 USD (1)
Sharpe Ratio: -0.06
Trading activity: 100.00%
Max deposit load: 0.00%
Recovery Factor: -0.94
Long Trades: 643 (46.53%)
Short Trades: 739 (53.47%)
Profit Factor: 0.79
Expected Payoff: -2.57 USD
Average Profit: 21.17 USD
Average Loss: -21.72 USD
Maximum consecutive losses: 13 (-154.44 USD)
Maximal consecutive loss: -787.54 USD (6)
Monthly growth: 0.00%
Annual Forecast: 0.00%
Best trade: 396.44 USD
Maximum consecutive wins: 9 (187.49 USD)
Maximal consecutive profit: 396.44 USD (1)
Worst trade: -475.45 USD
Maximum consecutive losses: 13 (-154.44 USD)
Maximal consecutive loss: -787.54 USD (6)
Drawdown by balance:
Absolute: 3 774.08 USD
Maximal: 3 796.96 USD (23.38%)
Relative drawdown:
By Balance: 23.82% (3 796.96 USD)
By Equity: 7.96% (885.48 USD)

MFE and MAE Distribution Point Graphs

Maximum profit (MFE) and maximum loss (MAE) values are recorded for each open order during its lifetime. These parameters additionally characterize each closed order using the values of the maximum unrealized potential and maximum permitted risk. MFE/Profit and MAE/Profit distribution graphs display each order as a point with received profit/loss value plotted along the X-axis, while maximum displayed values of potential profit (MFE) and potential loss (MAE) are plotted along the Y-axis.

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Place your cursor over parameters/graph captions to see the best and worst trading series. Find out more about MAE and MFE distributions in the article Mathematics in Trading: How to Estimate Trade Results.

Symbol Deals Sell Buy
EURCAD 126
GBPAUD 112
GBPCHF 97
GBPJPY 94
NZDJPY 74
NZDUSD 73
EURAUD 71
GBPUSD 69
EURCHF 60
AUDCHF 55
EURGBP 50
NZDCHF 48
CADCHF 48
AUDJPY 47
CADJPY 46
GBPCAD 45
USDCHF 41
AUDUSD 35
EURUSD 35
AUDCAD 30
USDCAD 30
NZDCAD 26
CHFJPY 26
EURJPY 25
USDJPY 19
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255075100125150175200
255075100125150175200

The average slippage based on execution statistics on real accounts of various brokers is specified in pips. It depends on the difference between the provider's quotes from "FXCM-USDReal03" and the subscriber's quotes, as well as on order execution delays. Lower values mean better quality of copying.

OANDA-MT4
0.00 × 1
Abshire-SmithMT4-Live
1.20 × 15
Harborx-Institutional
3.65 × 66
FxPro.com-Real03
4.86 × 623
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