13 year backtest
Symbol: EURUSD M15
Interval: 2000/01/01 to 2012/11
Data Quality: High (Alpari/Asirikuy)
Spread: Medium (1.5)
As RobinVOL 2.0 opens and closes positions only at the opening of a new bar, the type of backtest can be set to “open prices only”. This backtest is quicker to run than “tick backtest” and it will generate the same results.
Backtest preliminary analysis
As shown in the graphic above, there is a steady increase of equity during all the 13 years. The curve is not a perfect straight up one, it has it’s losing periods. The data is very compressed in the graphic, but losing periods can be of some months length. We analyze this in the drawdown analysis section. RobinVOL 2.0 made 5,255 trades since 2000/01/01 with the following results:
- Absolute profit in 13 years: 82 million
- Relative drawdown: 14.3%
- Average winning percentage: 47’83%. This means it lost more positions than it won. This is due to the tight stop losses configured in default settings.
- Average profit trade / Loss trade: 84,036 / -47,772. So winning trades are almost double than loosing trades.
The way RobinVOL 2.0 makes money is by “cutting losses short and letting profits run“. If the market goes against the open positions, RobinVOL 2.0 closes them immediately. On the contrary, if the market goes in our favor, it lets the positions run until its statistically defined target. Please, proceed to the rest of the sections for a detailed statistical analysis about RobinVOL 2.0.
Year by year backtest