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You got me thinking [USER=17857]@qldfrog[/USER]I just changed my code so the XAO decline is measured across 2 bars (two weeks); that is, I now compare the close of the current week to the open of the prior week. I ran some optimizations and it now appears the sweet spot is a decline of 5% over two bars (weeks). In summary, the overall profit took a bit of a hit but the March COVID drawdown is improved. Here's the sim results, which is over the same period as my original post.The equity chart below shows I've sacrificed some equity for improved DD (no surprise there) but nothing major.[ATTACH=full]112306[/ATTACH]You can see from the below that the DD has now been reduced to around 6% for the COVID March.[ATTACH=full]112307[/ATTACH][ATTACH=full]112308[/ATTACH]And the MC results seem a lot tighter than the single bar strategy, which I really like.[ATTACH=full]112309[/ATTACH]I have a feeling that this multi-bar approach will probably turn in an improved DD over the 08/09 crash. I'll be running some sims over that period shortly. I'm also going to look at the performance of this over a range of bars not just 2 so will let you know how that goes. Thanks for pointing me in this direction--it looks promising.
You got me thinking [USER=17857]@qldfrog[/USER]
I just changed my code so the XAO decline is measured across 2 bars (two weeks); that is, I now compare the close of the current week to the open of the prior week. I ran some optimizations and it now appears the sweet spot is a decline of 5% over two bars (weeks). In summary, the overall profit took a bit of a hit but the March COVID drawdown is improved. Here's the sim results, which is over the same period as my original post.
The equity chart below shows I've sacrificed some equity for improved DD (no surprise there) but nothing major.
[ATTACH=full]112306[/ATTACH]
You can see from the below that the DD has now been reduced to around 6% for the COVID March.
[ATTACH=full]112307[/ATTACH]
[ATTACH=full]112308[/ATTACH]
And the MC results seem a lot tighter than the single bar strategy, which I really like.
[ATTACH=full]112309[/ATTACH]
I have a feeling that this multi-bar approach will probably turn in an improved DD over the 08/09 crash. I'll be running some sims over that period shortly. I'm also going to look at the performance of this over a range of bars not just 2 so will let you know how that goes. Thanks for pointing me in this direction--it looks promising.
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