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Wait4Trade Day Trading

By DaniilR

Forex · Started Jul 2019

hypothetical · Annual Return (Compounded)
0.3%
Max Drawdown
8.9%
Trades
160
Win Trades
29.4%
Profit Factor
1.10
Win Months
2.2%

About this strategy

▶ Intraday trading with stops.
▶ Risk for one trade up to 1% of $10,000.
▶ Lot up to 5 for each trade.
▶ No martingale and average down.
▶ Can be open five trades of different instruments at once.

I base my trading on five basic principles:
1. Improving trader using pre-processed market data, not replacing him.
2. Apply 4 step position lot rising to shorten DD period and increase profit.
3. Portfolio of instruments to raise good trades probability.
4. Intraday trading to get low volatility equity results.
5. Using stop orders to eliminate market surprises.

Screenshots with all my trades: https://forums.collective2.com/t/discretional-day-trading-based-on-pre-processed-market-data-with-10-000/13124/25

I apply the discretion trading method according on pre-processed market data by Wait4Trade “Similar Days” project.
The main idea is to find similar days for yesterday on all available to us market data and get price scenarios for today.
Having the whole picture of probabilities, I can make rational trading decisions.
More details about WaitForTrade on https://www.patreon.com/waitfortrade


Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20193.63.6-5.00.00.00.01.9
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/1/2019
Suggested Minimum Capital$10,000
Age89 months
What it tradesForex
# Trades160
# Profitable47
% Profitable29.4%
Avg trade duration5.4 hours
Max peak-to-valley drawdown8.9%
drawdown periodSept 10, 2019 - Sept 20, 2019
Annual Return (Compounded)0.3%
Avg win$84
Avg loss$32

Ratios

W:L ratio1.08
Sharpe Ratio-0.50
Sortino Ratio-0.82
Calmar Ratio0.08

Verified

C2Star0

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life148.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-152.5%

Return Statistics

Ann Return (w trading costs)0.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.4%

Slump

Current Slump as Pcnt Equity5.8%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss2.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated17.6%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$32
Avg Win$84
# Winners47
Sum Trade PL (losers)$3,668
Sum Trade PL (winners)$3,959
Num Months Winners2
# Losers113
% Winners29.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table89

Frequency

Avg Position Time (mins)324.98
Avg Position Time (hrs)5.42
Avg Trade Length0.20
Last Trade Ago2594

Leverage

Daily leverage (average)7.17
Daily leverage (max)24.69

Regression

Alpha0
Beta0
Treynor Index2.91

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades13.10
MAE:PL (avg, all trades)-0.66
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.22
Avg(MAE) / Avg(PL) - Losing trades-0.91
Hold-and-Hope Ratio0.08

RATIO STATISTICS

Mean0.01
SD0.03
Sharpe ratio (Glass type estimate)0.19
Sharpe ratio (Hedges UMVUE)0.19
df58
t0.43
p0.34
Lowerbound of 95% confidence interval for Sharpe Ratio-0.69
Upperbound of 95% confidence interval for Sharpe Ratio1.08
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.70
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07
Sortino ratio0.30
Upside Potential Ratio0.75
Upside part of mean0.02
Downside part of mean-0.01
Upside SD0.03
Downside SD0.02
N nonnegative terms58
N negative terms1
N of observations59
Mean of predictor0.22
Mean of criterion0.01
SD of predictor0.23
SD of criterion0.03
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.01
Mean Square Error0.00
DF error57
t(b)-0.27
p(b)0.61
t(a)0.48
p(a)0.32
Lowerbound of 95% confidence interval for beta-0.05
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.04
Treynor index (mean / b)-1.20
Jensen alpha (a)0.01
Mean0.01
SD0.03
Sharpe ratio (Glass type estimate)0.17
Sharpe ratio (Hedges UMVUE)0.17
df58
t0.39
p0.35
Lowerbound of 95% confidence interval for Sharpe Ratio-0.71
Upperbound of 95% confidence interval for Sharpe Ratio1.06
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.71
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06
Sortino ratio0.26
Upside Potential Ratio0.72
Upside part of mean0.02
Downside part of mean-0.01
Upside SD0.03
Downside SD0.02
N nonnegative terms58
N negative terms1
N of observations59
Mean of predictor0.19
Mean of criterion0.01
SD of predictor0.23
SD of criterion0.03
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.01
Mean Square Error0.00
DF error57
t(b)-0.25
p(b)0.60
t(a)0.43
p(a)0.33
Lowerbound of 95% confidence interval for beta-0.05
Upperbound of 95% confidence interval for beta0.04
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.04
Treynor index (mean / b)-1.18
Jensen alpha (a)0.01
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0
Expected Shortfall on VaR0
Mean0.01
SD0.03
Sharpe ratio (Glass type estimate)0.20
Sharpe ratio (Hedges UMVUE)0.20
df1308
t0.44
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.68
Upperbound of 95% confidence interval for Sharpe Ratio1.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.68
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07
Sortino ratio0.34
Upside Potential Ratio2.19
Upside part of mean0.04
Downside part of mean-0.04
Upside SD0.03
Downside SD0.02
N nonnegative terms1277
N negative terms32
N of observations1309
Mean of predictor0.22
Mean of criterion0.01
SD of predictor0.23
SD of criterion0.03
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.01
Mean Square Error0.00
DF error1307
t(b)-0.23
p(b)0.50
t(a)0.45
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.01
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.04
Treynor index (mean / b)-6.96
Jensen alpha (a)0.01
Mean0.01
SD0.03
Sharpe ratio (Glass type estimate)0.18
Sharpe ratio (Hedges UMVUE)0.18
df1308
t0.40
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.70
Upperbound of 95% confidence interval for Sharpe Ratio1.06
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.70
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06
Sortino ratio0.31
Upside Potential Ratio2.16
Upside part of mean0.04
Downside part of mean-0.04
Upside SD0.03
Downside SD0.02
N nonnegative terms1277
N negative terms32
N of observations1309
Mean of predictor0.19
Mean of criterion0.01
SD of predictor0.23
SD of criterion0.03
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.01
Mean Square Error0.00
DF error1307
t(b)-0.24
p(b)0.50
t(a)0.41
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.01
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.04
Treynor index (mean / b)-6.35
Jensen alpha (a)0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.53
Mean of criterion0
SD of predictor0.25
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.50
Mean of criterion0
SD of predictor0.25
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.00
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations59
Minimum0.95
Quartile 11
Median1
Quartile 31
Maximum1.04
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low1
Percentage of outliers low0.02
Mean of outliers low0.95
Number of outliers high2
Percentage of outliers high0.03
Mean of outliers high1.04
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations1309
Minimum0.98
Quartile 11
Median1
Quartile 31
Maximum1.04
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low32
Percentage of outliers low0.02
Mean of outliers low0.99
Number of outliers high31
Percentage of outliers high0.02
Mean of outliers high1.01
Extreme Value Index (moments method)0.16
VaR(95%) (moments method)-0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.26
VaR(95%) (regression method)-0.00
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations1
Minimum0.05
Quartile 10.05
Median0.05
Quartile 30.05
Maximum0.05
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations9
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.02
Maximum0.08
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.05
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.11
Mean of outliers high0.08
Extreme Value Index (moments method)0.26
VaR(95%) (moments method)0.04
Expected Shortfall (moments method)0.07
Extreme Value Index (regression method)2.06
VaR(95%) (regression method)0.13
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-1342060160
Max Equity Drawdown (num days)10
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.01
Compounded annual return (geometric extrapolation)0.01
Calmar ratio (compounded annual return / max draw down)0.12
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.30
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.01
Compounded annual return (geometric extrapolation)0.01
Calmar ratio (compounded annual return / max draw down)0.08
Compounded annual return / average of 25% largest draw downs0.12
Compounded annual return / Expected Shortfall lognormal1.43
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 16 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
NZD/JPY long50Sep 27, 2019Sep 27, 2019$16
EUR/CHF short50Sep 27, 2019Sep 27, 2019($57)
USD/CAD long50Sep 27, 2019Sep 27, 2019($35)
AUD/USD short50Sep 27, 2019Sep 27, 2019($15)
GBP/JPY short50Sep 27, 2019Sep 27, 2019($37)
AUD/JPY short50Sep 27, 2019Sep 27, 2019($22)
EUR/JPY short50Sep 26, 2019Sep 26, 2019$62
EUR/AUD short50Sep 26, 2019Sep 26, 2019$149
AUD/JPY short50Sep 26, 2019Sep 26, 2019($38)
EUR/JPY short50Sep 25, 2019Sep 25, 2019$59
AUD/USD long50Sep 25, 2019Sep 25, 2019($31)
EUR/USD short50Sep 24, 2019Sep 24, 2019($50)
AUD/CAD short50Sep 24, 2019Sep 24, 2019($26)
GBP/CHF short50Sep 24, 2019Sep 24, 2019($60)
EUR/JPY short50Sep 24, 2019Sep 24, 2019($48)
GBP/JPY short50Sep 24, 2019Sep 24, 2019($31)
USD/CAD long50Sep 23, 2019Sep 23, 2019($39)
EUR/JPY short50Sep 23, 2019Sep 23, 2019$200
EUR/CAD short50Sep 23, 2019Sep 23, 2019$190
NZD/CHF short50Sep 23, 2019Sep 23, 2019($67)
AUD/USD short50Sep 20, 2019Sep 20, 2019$179
GBP/JPY long50Sep 20, 2019Sep 20, 2019($33)
USD/CAD short50Sep 20, 2019Sep 20, 2019($32)
AUD/CAD short50Sep 20, 2019Sep 20, 2019($36)
EUR/GBP short50Sep 19, 2019Sep 19, 2019($67)
EUR/USD short50Sep 19, 2019Sep 19, 2019($52)
GBP/USD short50Sep 19, 2019Sep 19, 2019($30)
USD/CHF long50Sep 19, 2019Sep 19, 2019($61)
AUD/CAD long50Sep 18, 2019Sep 18, 2019($35)
GBP/USD long50Sep 18, 2019Sep 18, 2019($46)

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.