As promised in How to Build a Simple Algo-Trading Strategy, today I will share with you my results in implementing the simple Trend Following Strategy on Forex. The trades and all the data are of today 26th of February 2016 (CET). I have randomly chosen the EUR.USD as currency pair and I had run the algo on 1 minute bars the whole afternoon from around 14:00 CET till 19:30 CET in the evening. The result is promising. Despite a very simple strategy ever known, I made a profit. Actually most of the time, the strategy bought lower and sold higher. A global overview can be observed on the chart below:
In fact the code entered in a falling market and the first position opened was short 1M EUR.USD. The invested amount is always the same. If there is a cross of the short SMA above the long SMA, the computer buys 1M EUR against USD, if the short SMA goes under the long SMA, the algorithm sells 1M EUR.USD. With Interactive Brokers the leverage one can use to invest in EUR is 33:1, so the amount needed to expose yourself against EUR 1M is only the equivalent of EUR 30’303.03 in USD. After only around 5 hours of algo-trading the strategy made USD 6’663.59 net of commissions, which divided by the invested amount USD 32’800 (the equivalent of EUR 30’303.03 more or less), is 20.32% which is not bad at all.
Again, this is only an example and it can be the hazard, however it worked. I will keep testing and post my results regularly. Of course the example will be provided with a long-term back-test as well. Feel free to ask questions, share your experience and comment.