* VBO - volatility-breakout system
* low risk strategy: focus on a low max drawdown prior to return
* pure technical strategy, fundamentals or news unconsidered (normally no new trades before news)
* developer: computer scientist, full-time professional trader, >15 years of trading and >10 years of FX experience
* timeframe: H4 (4 hour)
* several indicators for entry and exit signals
* half-automated trading, 3 scans a day (morning, afternoon, evening) -> NO expert advisor (EA)
* EVERY trade has: 1 entry signal (stopp buy/sell or limit buy/sell, no market orders), 1 tight stopp-loss (+ trailing stp), no fixed targets
* overnight + overweekend positions
* real money account (metatrader 4)
* traded FX-pairs: AUD/CAD, AUD/JPY, AUD/USD, EUR/AUD, EUR/CAD, EUR/GBP, EUR/USD, GBP/JPY, GBP/USD, NZD/JPY, NZD/USD, USD/CAD, USD/JPY; FX pairs partial highly correlated
* max. open (full) trades: 6 (multiply by 3 for equal parts of a trade (sub-trades))
* IMPORTANT for calculation own risk: EVERY Trade is splitted in 2-3 equal parts for further part exits.
* example: 0,06 lots in a trade is splitted into 3 sub-trades each with 0,02 lots with the same trade-data (entry and initial stopp-loss is identical, different exits).
* trade frequency: 20-30 (full) trades per month
* holding time: average (full) trade length: 48h if not stopped
* risk size: calculate with an initial stopp-loss of 160-180 pips maximum for every (full) trade. With 6 simultaneous open (full) trades this is round 1000 pips risk.
* It is very improbable that all running trades are stopped with their initial risk but If you want you can work with this worst case.
* More risk means more potential but bigger drawdowns, too.
* expected maximum drawdown: 12-15%
* expected potential: 3% per month
* position size: every 2nd month adjusted to account size

  • 成长
  • 净值
  • 结余
  • 风险
  • 分配
  • 滑移
  • 评论
1月
2月
3月
4月
5月
6月
7月
8月
9月
10月
11月
12月
YTD
共计:
交易: 390
盈利交易: 136 (34.87%)
亏损交易: 254 (65.13%)
最好交易: 28.46 EUR
最差交易: -19.44 EUR
毛利: 882.17 EUR (92060 pips)
毛利亏损: -1250.23 EUR (124630 pips)
最大连续赢利: 10 (116.37 EUR)
最大连续盈利: 116.37 EUR (10)
夏普比率: -0.13
交易活动: 44.35%
最大入金加载: 1.32%
采收率: -0.83
长期交易: 247 (63.33%)
短期交易: 143 (36.67%)
利润因子: 0.71
预期回报: -0.94 EUR
平均利润: 6.49 EUR
平均损失: -4.92 EUR
最大连续失误: 26 (-85.08 EUR)
最大连续亏损: -114.62 EUR (14)
每月增长: -0.45%
年度预测: -5.47%
最好交易: 28.46 EUR
最大连续赢利: 10 (116.37 EUR)
最大连续盈利: 116.37 EUR (10)
最差交易: -19.44 EUR
最大连续失误: 26 (-85.08 EUR)
最大连续亏损: -114.62 EUR (14)
结余跌幅:
绝对: 422.57 EUR
最大值: 442.73 EUR (14.90%)
相对跌幅:
结余: 13.37% (442.73 EUR)
净值: 1.69% (65.02 EUR)

MFE和 MAE分布点图

在使用期内为每个持仓订单记录最大利润(MFE)值和最大亏损(MAE)值。这些参数使用最大未实现的潜在值和最大容许风险额外表现每个平仓订单。MFE/利润和MAE/利润分布图显示每个订单为沿X轴绘制的收到利润/亏损值的一个点,而潜在利润(MFE)和潜在亏损(MAE)的最大显示值则是沿Y轴绘制。

无数据
无数据

将光标放在参数/图说明上可以看到最佳和最糟的交易系列。在文章交易中的数学:如何评估交易结果中了解更多有关MAE和MFE分布的信息。

交易品种 交易 Sell Buy
USDCAD 66
AUDCAD 42
EURGBP 41
EURAUD 40
EURCAD 33
USDJPY 33
EURUSD 33
NZDJPY 33
GBPUSD 30
GBPJPY 15
AUDUSD 14
AUDJPY 7
NZDUSD 3
204060
204060
204060

基于有关不同交易商真实账户的执行统计的平均滑移点按点数指定。它取决于 Activtrades-2 提供商以及订阅者之间不同的报价,以及订单执行的延迟。值越低意味着复制的质量越高。

ForexBrokerInc-Main
0.00 × 1
ICMarkets-Live02
0.00 × 3
AdvancedMarkets-Live
0.00 × 3
Tickmill-Live
0.00 × 4
Alpari-ECN1
0.00 × 3
ICMarkets-Live04
0.14 × 14
Activtrades-2
0.26 × 478
ICMarkets-Live07
0.35 × 268
ICMarkets-Live06
0.37 × 62
ICMarkets-Live08
0.41 × 87
Activtrades-4
0.45 × 334
Pepperstone-Demo02
0.55 × 165
Activtrades-3
0.56 × 45
Tickmill-Live02
0.57 × 14
Pepperstone-Demo01
0.61 × 187
GMT-Server
0.87 × 5187
GDMFX-Live
0.93 × 14
MBTrading-Live
1.00 × 1
RVDMarkets-Live ECN
1.00 × 20
Pepperstone-Edge05
1.01 × 88
FXChoice-ECN Live
1.18 × 17
OctaFX-Real
1.40 × 45
ICMarkets-Live01
1.41 × 69
GlobalPrime-Live
1.42 × 199
FBS-Real
1.71 × 63
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