The Customized System
This system is customized to a single symbol to maximize net profit.
We tested and optimized this system on many symbols in different markets, from equities,
futures to forex. Take EURJPY as an example. By trading 5 contracts (account
size $15,000) of this currency pair, this system generated 1,247 hypothetical trades from
Apr 23, 2003 to Dec 31, 2008), and a net profit of $1,099,000 net of commission
and slippage. Profit factor is 6.39. Average net profit per trade is $881. Below
is the equity curve.
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Precise entry and exit
The system has precise entry signal and exit signal.
Indicators as signals to enter the market. After a position is
established, we use clear profit target exit limit orders as well as protective
stop orders. Below is a screenshot of the trades from Mar 10 to Mar 27 2009
trading EURJPY.
Market Timing
In addition to the indicators mentioned above, we also applied market timing to
the system. Research found that excess return can be achieved during certain
timeframes of a trading day.
We performed a statistics analysis of variance in returns of holding 4 bars per
trade. There are 36,724 observations from 2003 to 2009. The p value is 0,
meaning the results are statistically significant. As we can see from the graph
below, EURJPY has the highest possible return around 15:00 pm exchange time for
long trades, and around 21:00 pm for short trades.