DIARY
Original ideas, honestly.
Ideas of our own, not from a textbook. The inventor's hopes were not taken into account.
RESULTConclusion
- Reversing the worst plan made +21.7% before costs and −156.7% after. Flipping a loser doesn't win, because the spread is paid either way.
- Switching each week to the best recent plan made −57.5% (4 weeks), −16.1% (13) and −13.2% (26), against an all-plan average of −24.1%. Faster switching did worse.
- The EURUSD/GBPUSD pair made +29.7%, but nearly all in the first half (+27.7%); the second half was +2.0%. It traded only 85 times.
- “Only when the spread is cheap” made +4.0%, with −11.0% and +15.0% by half: unstable, and no better than random.
BEFORE AND AFTER COSTSBefore and after costs
Before costsAfter costs
| Condition | Trades | Win rate | Before costs | After costs | 1st half | 2nd half | Random avg |
|---|---|---|---|---|---|---|---|
| Sharp US500 move → follow in USDJPY | 1,037 | 45.2% | −13.0% | −29.5% | −13.9% | −15.6% | −17.7% |
| Sharp EURUSD move → follow in gold | 1,029 | 45.6% | −5.4% | −12.8% | −2.4% | −10.4% | −6.8% |
| Sharp BTC move → follow in ETH | 1,555 | 44.9% | +34.0% | −4.3% | −16.4% | +12.1% | −36.8% |
| Sharp US500 move → follow in JP225 | 1,009 | 46.9% | −2.4% | −28.7% | −17.9% | −10.9% | −27.5% |
| Sharp gold move → follow in silver | 1,047 | 41.9% | −16.5% | −72.3% | −41.9% | −30.4% | −57.4% |
| Sharp oil move → fade in USDJPY | 1,089 | 50.1% | +2.5% | −13.1% | −13.2% | +0.1% | −16.7% |
| Do the opposite of the worst plan, R | 41,352 | 48.7% | +21.7% | −156.7% | −82.4% | −74.4% | −184.5% |
| MACD only when the spread is cheap | 9,702 | 37.6% | +10.3% | +4.0% | −11.0% | +15.0% | 0.0% |
| Trade only while the last 20 trades are positive | 16,519 | 34.4% | +1.2% | −21.6% | −17.8% | −3.8% | −24.0% |
| Fade a 24-hour overreaction on Tokyo morning | 3,036 | 50.1% | +2.9% | −1.7% | −2.2% | +0.4% | −4.8% |
| Bet Friday follows Monday to Thursday | 4,260 | 48.6% | +7.2% | +0.3% | −1.7% | +2.0% | −5.3% |
PAIR TRADINGPair trading
When the ratio of two symbols moves 2σ from its average, bet on the return. The spread is paid on both legs.
| Pair | Trades | Win rate | Before costs | After costs | 1st half | 2nd half |
|---|---|---|---|---|---|---|
| EURUSD/GBPUSD | 85 | 71.8% | +32.8% | +29.7% | +27.7% | +2.0% |
| EURJPY/GBPJPY | 85 | 71.8% | +28.1% | +22.7% | +22.0% | +0.6% |
| US500/USTEC | 77 | 62.3% | −4.3% | −7.2% | −3.0% | −4.1% |
| XAUUSD/XAGUSD | 77 | 64.9% | −15.6% | −21.6% | −5.0% | −16.6% |
| BTCUSD/ETHUSD | 116 | 58.6% | −21.6% | −26.4% | −6.0% | −20.4% |
RANKINGRanking 17 symbols
Each week, rank symbols by past return and trade the top and bottom three.
| Condition | Weeks | Before costs | After costs | 1st half | 2nd half |
|---|---|---|---|---|---|
| momentum 1w | 251 | +2.0% | −5.5% | +0.9% | −6.4% |
| reversal 1w | 251 | −2.0% | −9.5% | −11.0% | +1.5% |
| momentum 4w | 248 | +7.5% | +0.3% | +0.3% | +0.1% |
| reversal 4w | 248 | −7.5% | −14.7% | −9.9% | −4.9% |
| momentum 12w | 240 | −5.3% | −11.5% | −10.4% | −1.1% |
| reversal 12w | 240 | +5.3% | −0.8% | +2.2% | −2.9% |
This diary records tests on historical data. It does not recommend any method or symbol and does not indicate future profit or loss. Please make investment decisions at your own risk.