BCalc™ Forex Strategies

BCalc™ Forex Strategies extract huge positive returns from non-directional assets.

The following table summarizes the parameters and performance of the six BCalc Forex Strategies: Pound Sterling (GBPUSD), Aussie Dollar (AUDUSD), Japanese Yen (USDJPY), South African Rand (USDZAR), Euro Dollar (EURUSD), and Danish Krone (USDDKK).

Figures 1-6 illustrate the 5-year backtest results of Tradagon’s BCalc Forex Strategies for six different currency pairs.  Each chart shows the daily account value for two BCalc use cases - the Base, “always-in” use case where all trades are position-reversal trades, and an Exit Bracket use case which uses the same long & short entries together with a stop and a profit target.  Also shown are the Buy & Hold value of the currency (with negative 5-year returns in each case), as well as the Drawdown for the Exit Bracket use case.

 

As noted in the chart legends and the summary table, some currency pairs have been inverted so that all performance numbers are US dollar based.  The backtests are conducted on daily data and run from 1/1/2013 through early-Feb, 2018 (5.1 yrs).  Each backtest starts out with $1M (USD) in initial capital, which is fully invested/re-invested in each subsequent trade in that symbol, without leverage.  Any open trade at the end of a run is marked as closed and included in the trade count.  Commission, slippage & rollover adjustments are not included.

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