Review Q1 2013

Result last two weeks: -26%
Result Q1: 4%

Last week has been terrible for my trading as volatility picked up due to the things going on with Cyprus. The thing with my method is, that I tend to keep open positions for a few days or more and a lot can happen in a few days.

So in the end I seem to be able to break above break even, but only barely. This reminds me of my Trade Plan analysis. I decided to make another analysis of my equity curve.

Trade equity curve Forex Samurai Q1 2013




Low: -15%
High: +40%
Result: 4%
Sharpe: 0.52

I already mentioned that one of my trading goals for 2013 is to quantify my trading efforts. And this also goes for trading Forex. As part of my Forex trading I also trade the S&P500 and I did a simple quantified analysis for a mean reversion strategy. Then I figured why not do something similar on the biggest currency pair out there: the EURUSD. And so I did.

Mean reversion strategy on EURRUSD 2009 - 2012 Long and Short

As I was working on this I received an email from a nice gentlemen who read my post about the SPY and was wondering if I knew of something similar for the EURUSD that he likes to trade. So I looked a little closer and did a back test just for the past year 2012 as more recent data generally has more bearing on current and future data. And for 2012 the sharpe could have been even better trading this strategy as compared to the optimization for 2009 - 2012.

EURUSD Reversion to the mean strategy 2012


So as I felt the strategy seems valid enough I sent the gentlemen a copy of my back tests. I still do these by spreadsheet, although I intend to start doing this programmatic in Python. Also read: Algo Trading with Python.

I realized that my sheet is not at all self explanatory, so I expected and received some follow up questions about the inner workings / details. I promised to post more info about this strategy, but I will not go over the strategy and how my spreadsheet analysis is done in this post. Instead I will make and post a video about this soon. Please leave me a note / comment if you are interested in this. I am sure that if many people show interest, I am more motivated to make that video rather sooner than later :-)