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Following up from yesterday's posts on weekend gap stoploss results:
I've modified yesterday's results on the AUDUSD gaps by modifying one of the trade rules - instead of entry if initial gap is > 10 pips, the trade entry is counted if the gap is > 10 pips before closing, this increases the number of gaps considered tradeable. All other trade rules remain the same.
Updated results for AUDUSD data set from yesterday, based on the above change, is:
Using 4 day stoploss rule:
1. 143 tradeable gaps out of 181 data points (instead of 104)
2. 133 closed within 4 days, for a profit of 3746 pips
3. 10 did not close within 4 days, resulting in a total stoploss of 1102 pips
4. Net result = 3746 - 1102 = 2644 pips net profit
Using 6 month (183 day) stoploss rule:
1. 143 tradeable gaps out of 181 data points (instead of 104)
2. 142 closed within 183 days, for a profit of 5275 pips
3. 1 did not close within 183 days, resulting in a total stoploss of 479 pips
4. Net result = 5275 - 479 = 4796 pips net profit
Results from the validation data set (2016 data - 248 data points - for other 8 fx pairs in data, excluding AUDUSD) - again, using the tradeability criteria that the gap is > 10 pips before closing:
Using 4 day stoploss rule:
1. 188 tradeable gaps out of 248 data points
2. 166 closed within 4 days, for a profit of 3729 pips
3. 22 did not close within 4 days, resulting in a total stoploss of 2194 pips
4. Net result = 3729 - 2194 = 1535 pips net profit
Using 6 month (183 day) stoploss rule:
1. 188 tradeable gaps out of 248 data points
2. 185 closed within 183 days, for a profit of 6275 pips
3. 0 did not close within 183 days, resulting in a total stoploss of 0 pips
4. Net result = 6275 - 0 = 6275 pips net profit
It should be noted in the above data set that there are the 3 GBP pair gaps still open from 27/6/2016, which is more than 4 days but less than 6 months. So they have been counted as stoplosses under the 4 day stoploss rule, but have not been counted yet in either profit or stoploss under the 6 month stoploss rule (because they are still open).
One observation I would make is that the GBPEUR & GBPUSD account for about half the stoplosses under the 4 day stoploss rule ( and only about 15% of their total stoploss comes from the 27/6/2016 weekend gap) - in fact both these pairs have stoplosses that outweigh profits, which suggests these pairs are not worth trading using the 4 day stoploss rule, or trading with a longer stop (if not 6 months then 40 days will see all closed except the weekend of 27/6/16 gaps).
To my mind, the results of the 2nd data set validate the results of the 1st data set. Also, using a 6 month stoploss is clearly more profitable than a 4 day stoploss - the stoploss timeframe clearly depends on risk tolerance though.
Cheers, Sharks.
