Over the 17-month backtesting period, our innovative trading algorithm showcased its expertise in identifying and capitalizing on profitable trading opportunities, achieving a notable win rate of 72%. The average trade duration was 2 hours and 6 minutes, emphasizing the algorithm's ability to adeptly exploit intermediate-term market trends.
Throughout the backtest, the total return reached an impressive $17,719, while the maximum drawdown was limited to $469, or 4.69% of the initial balance. These figures underscore the algorithm's skill in balancing risk and reward, ensuring a more stable and controlled trading experience.
The algorithm's outstanding performance is further accentuated by a robust Sharpe ratio of 7.37, denoting a solid risk-adjusted return. The risk-reward ratio remains positive, with the average winning trade yielding $109 in profit and the average losing trade resulting in a loss of $84. The profit factor of 3.26 demonstrates the algorithm's capacity to generate returns that are 3.26 times greater than its losses.
In summary, our advanced algorithm has demonstrated exceptional performance in the NZD/USD 5-minute backtest conducted from December 2021 to April 2023. These results highlight the algorithm's capability to consistently generate profits, effectively manage risk, and capitalize on intermediate-term market opportunities. It is important to note that past performance may not always be indicative of future results, and real trading conditions can vary due to factors such as slippage, commissions, and other trading expenses.