So I have verified that my code for the Exponential Crossover system is entirely correct and have begun to experiment with the system's variables a little, just to get used to how they generally affect system performance. Above is an equity curve generated for Comex Gold between 1975 and 2005. The system was always in the market, long or short, and parameters were as follows:
SlowLag = 260
FastLag = 50
Heat = 4% (percentage of closed balance risked on each trade)
ATR Multiplier = 2
The max. drawdown during the run was a rough 75% with an ICAGR (i.e. compounded return) of 12%. That's not a very good ratio. Over 30 years, the system turned $1M into about $30M.
Yesterday, I lost money trading. My record was 2-4-0 and I lost 1R, which isn't too bad. My record probably should have been 2-2-2, but I did not move my stop to breakeven on two trades that came within 1 cent of 2x the initial setup. Had I done that, I would have been up 1R yesterday. Notwithstanding yesterday's small loss, I started today feeling pressure to make money, which for me is not as profitable of a mental state. I got angry a few times, especially when I missed a good JPM trade, because I was afraid to lose money, to fail. My emotions were in vain because although it wasn't a huge day, I did just fine, even without the JPM trade. My record was 3-1-2, but my average winning R was only 1.51. That higher win% helps! Today I made 4.86R.
Looking at my weeks I am well on my way to my second profitable week in a row. Woohoo!
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