Time for a quick summary of the first month, then. Honestly, quarterly updates would make a lot more sense than monthly updates with this trade frequency, but I guess I can post a screenshot of the "summary" sheet of my journal at the end of every month. I'll only consider making changes to my strategy at the end of every quarter. Anyway, here are the stats for January:
For the alpha, I'm using the total return (i.e. dividend reinvestment included) of the S&P 500 as my benchmark. My alpha looks very good this month, but that's obviously because the S&P 500 had a very bad month. If I were to use an average for my benchmark, it would look very different, but I decided it makes more sense to always just compare with the actual month/quarter/year in question.
The 1.5:1 RRR is reduced to 1.42:1 due to friction costs.
MCL = Maximum consecutive losses
ELS = Expected losing streak calculated with my actual winrate at the moment
ELS 50% = Expected losing streak calculated with a winrate of 50% (roughly the winrate of my backtest)
As you can see, I've been very lucky with the distribution of wins and losses so far, so I expect a losing streak of 4 or 5 trades coming up very soon. When I eventually hit that losing streak, knowing beforehand that it was expected will hopefully be helpful psychologically.
The annualized ROI is calculated to be 24.55%, but as you can see, January ended on an equity peak and the sample size is still tiny, so things might be looking a little bit too good right now.
This spreadsheet is a work in progress. Feel free to suggest any other metrics that should be included.
I intended to include the sharpe ratio, since I know that's a very common metric to track, but then I realized that having a non-volatile equity curve is not really a goal for me. I'm already expecting long flat periods, and I think that if this strategy ends up having an edge over the broader market (i.e. positive alpha), that edge will have to come at the cost of higher risk/volatility.
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Trade 17:
CADCHF long
Entry: 0.72530
SL: 0.72110 (42 pips)
TP: 0.73160 (63 pips)