Price has to move!!
Due to changing economic conditions and the corresponding reaction from the market, another popular concept is that price does not stay within a tight range for long. The main difference between the conventional "Trend is your friend" and this prototype is: It does not matter where the market wants to go to, as long as the price moves.
As the picture illustrates, the robot is not concerned about the direction of the trend, as long as the price breaks out of the range and gathers momentum. Each time the price hits the boundary, the robot will open another position in that direction with a larger size. Needless to say, this prototype is based on money management principles, and a huge amount of capital is required to standby for stubbornly range-bound conditions. The more times the price bounces at the 2 boundaries, the more capital tied up for the margin to hold the several positions. Users must plan carefully, and set aside sufficient capital, or allow the trade to turn into a loss after a certain number of bounces. Another significant issue is that the simultaneous holding of long and short positions is considered as hedging, and is not allowed by US regulators. Users must perform their due diligence with their brokers and local authorities.
In my view, such a system parks aside too much capital, with disastrous consequences should there ever be a stubborn range-bound price action that bounces one time more than the total capital allocated, resulting in a margin call or huge stop-loss.
This prototype starts with an initial capital of US$100,000, with the first position size of 0.1 lot. Out of 41 quarters, there are no losing quarters, and no losing months. The spikes on the equity graph reflect the activation of additional positions of larger size. The larger the equity spike, the more positions were opened with escalating sizes. For the 10-year test, the worst-case scenario activated 9 bounces, and it happened only once, in the Year 2008.
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2000 | $ 8,096.93 | 255 | 33.3% | 13.3% | 13.3% | 8.1% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2001 | $ 7,679.95 | 209 | 31.6% | 4.1% | 4.1% | 7.7% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2002 | $ 5,390.31 | 160 | 31.9% | 3.0% | 3.0% | 5.4% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2003 | $ 10,465.25 | 279 | 29.4% | 9.3% | 9.3% | 10.5% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2004 | $ 9,589.49 | 285 | 32.6% | 7.4% | 7.4% | 9.6% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2005 | $ 9,452.60 | 248 | 31.1% | 13.8% | 13.8% | 9.5% |
The last trade for the year concluded on Jan03-2006, making this report slightly more than 1 year.
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2006 | $ 6,891.64 | 198 | 29.3% | 5.5% | 5.7% | 6.9% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2007 | $ 5,545.03 | 154 | 30.5% | 3.1% | 3.1% | 5.5% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2008 | $ 17,790.56 | 501 | 32.1% | 26.0% | 26.0% | 17.8% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 2009 | $ 8,896.44 | 468 | 35.3% | 8.9% | 8.9% | 8.9% |
| Time Period | Net Profit | Trades | % Losers | Max.Drawdown | Rel.Drawdown | Profit |
| 10 Years | $ 96,756.55 | 2746 | 32.1% | 16.5% | 16.5% | 96.8% |
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