Hi @Deval
I like how your strategy looks. So I am trying to mimic your strategy in LEAN environment. As I don't have an FXCM demo account, and I had to download several years of Forex history, and I did have an Oanda demo account, I used it to download history for EURUSD, GBPUSD, NZDUSD and AUDUSD.
I have not tried yet to backtest your strategy in LEAN through the whole period 2007 - now, but I have backtest from 2015 until now and my results are very different from yours, and I don't know why...
These statistics are from a backtest from 20150101 until now.
Maybe the history is different from FXCM to Oanda and I must adjust it before backtesting?
Any ideas?
20160704 13:52:41 Trace:: Debug: Algorithm Id:(TrendVolatilityForex) completed in 973,64 seconds at 2k data points per second. Processing total of 2.408.249 data points.
20160704 13:52:44 Trace:: STATISTICS:: Total Trades 47024
20160704 13:52:44 Trace:: STATISTICS:: Average Win 0,02%
20160704 13:52:44 Trace:: STATISTICS:: Average Loss -0,16%
20160704 13:52:44 Trace:: STATISTICS:: Compounding Annual Return -0,710%
20160704 13:52:44 Trace:: STATISTICS:: Drawdown 12,800%
20160704 13:52:44 Trace:: STATISTICS:: Expectancy 0.000
20160704 13:52:44 Trace:: STATISTICS:: Net Profit -1,068%
20160704 13:52:44 Trace:: STATISTICS:: Sharpe Ratio -0.004
20160704 13:52:44 Trace:: STATISTICS:: Loss Rate 12%
20160704 13:52:44 Trace:: STATISTICS:: Win Rate 88%
20160704 13:52:44 Trace:: STATISTICS:: Profit-Loss Ratio 0.14
20160704 13:52:44 Trace:: STATISTICS:: Alpha -0.001
20160704 13:52:44 Trace:: STATISTICS:: Beta 0.054
20160704 13:52:44 Trace:: STATISTICS:: Annual Standard Deviation 0.095
20160704 13:52:44 Trace:: STATISTICS:: Annual Variance 0.009
20160704 13:52:44 Trace:: STATISTICS:: Information Ratio -0.121
20160704 13:52:44 Trace:: STATISTICS:: Tracking Error 0.111
20160704 13:52:45 Trace:: STATISTICS:: Treynor Ratio -0.007
20160704 13:52:45 Trace:: STATISTICS:: Total Fees $1880,96