I got promising results of MjoseScalper, yesterday i have not posted any trades because i was working with optimization and backtesting of FESX, After i got this results I stopped my discretional trading, now i will let the bot run in Simulation mode for sometime and if everything looks good, i will try with a live account. I dont used hour filter.
I have optimized only the Stop Loss of MjoseScalper, i increaed from 4 ticks to 8 ticks, to get better results, after i backtested during last year, this is the results:
Cumulative profit report:
| Performance | All Trades | Long Trades | Short Trades |
| Total Net Profit |
$3190,00 | $1730,00 | $1460,00 |
| Gross Profit | $10230,00 | $5360,00 | $4870,00 |
| Gross Loss | $-7040,00 | $-3630,00 | $-3410,00 |
| Commission | $0,00 | $0,00 | $0,00 |
| Profit Factor | 1,45 | 1,48 | 1,43 |
| Cumulative Profit |
$3190,00 | $1730,00 | $1460,00 |
| Max. Drawdown | $-530,00 | $-390,00 | $-530,00 |
| Sharpe Ratio | 0,54 | 0,46 | 0,56 |
| Start Date | 01/01/2011 | ||
| End Date | 28/03/2012 | ||
| Total # of Trades |
351 | 186 | 165 |
| Percent Profitable |
73,22% | 72,58% | 73,94% |
| # of Winning Trades |
257 | 135 | 122 |
| # of Losing Trades |
94 | 51 | 43 |
| Average Trade | $9,09 | $9,30 | $8,85 |
| Average Winning Trade |
$39,81 | $39,70 | $39,92 |
| Average Losing Trade |
$-74,89 | $-71,18 | $-79,30 |
| Ratio avg. Win / avg. Loss |
0,53 | 0,56 | 0,50 |
| Max. conseq. Winners |
36 | 25 | 15 |
| Max. conseq. Losers |
4 | 4 | 4 |
| Largest Winning Trade |
$40,00 | $40,00 | $40,00 |
| Largest Losing Trade |
$-80,00 | $-80,00 | $-80,00 |
| # of Trades per Day |
0,95 | 0,51 | 0,45 |
| Avg. Time in Market |
16,6 min | 20,4 min | 12,3 min |
| Avg. Bars in Trade |
2,7 | 2,8 | 2,6 |
| Profit per Month |
$264,39 | $144,17 | $121,01 |
| Max. Time to Recover |
123,06 days | 155,04 days | 183,85 days |
| Average MAE | $34,79 | $35,43 | $34,06 |
| Average MFE | $35,13 | $35,38 | $34,85 |
| Average ETD | $26,04 | $26,08 | $26,00 |
I passed Montecarlo simulation for the Cumulative profit and Drawdown:
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