Thanks

Sorry for the delay in replying!

You seem to have figured it out yourself. Having a quick look at the spreadsheet I setup to calculate RAR% and RRRR I see that I used the INTERCEPT and SLOPE functions.

The RAR% value is then fed straight into the R-Cubed calculation.

I calculated the slope of the equity curve but not sure how exactly RAR% maps to slope. For instance, I’ve outputted the equity bar by bar (240 min bars in my case for a futures market) and import this into Excel to perform the calculations of slope, intercept and correlation coefficient. Does one just multiply slope result by 100 to make it % or is it already expressed as %?

Further, I was wondering if you first take the log10 of the equity so that you take into account geometric growth over time – this would impact the slope I believe and thus the RAR% correct?

JD Fagan

For example, only 5% of my Q1 entries have been closed out for a loss; 18% of Q2 entries, and around 23% for both Q3 and Q4 entries.

I have not calculated the holding time for the trades. This is something I can add in. Thanks for the idea.

I have attempted hedged trades a couple of times but I’ve never been very comfortable with the act of hedging in the classical sense (having two trades open against each other in the same currency pair). Lately, I have been using what I refer to as ‘Anti-Hedge’ trades, a term coined by Jacko on Forex Factory where I picked this idea up (not that it’s a new idea or anything). If I think a trade is going to be moving in the wrong direction for a while I will just close it out. When price returns to the level I exited at I will just put the trade back on again. This is effectively what you are doing when using classical hedging, but for some reason this way of doing it sits better with me.

I don’t have exact figures on the maximum drawdown that each trade experienced from the data I have available. All I really have to go to provide you an answer with is my experience to date. If a trade goes against me 100-150 pips there is a strong likelihood that is could go against me for another couple of hundred pips. EUR-USD has a habit of making corrections ranging from 300 to 500 pips.

I am more inclined these days to use the Anti-Hedging method to bail out of trades within that 100-150 pip window. I have no problem in waiting for the correction to play itself out. When it starts to move back in the direction of the long term trend I’ll just jump back on board and look to re-establish those trades I’d closed out on the way down. They live to fight another day.

I’m just getting to grips with USD-JPY and I’m sure I’ll learn to settle on a similar sort of pip range if things are going against me, but it will take some time to find out what works for me. For now I’m using the same sort of 100-150 pip range.