Journal de Stock & Forex Trading
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Abstrait

Razor Forex System: Backtesting and the Combination with Tendency Forex System

Yue Wang

Objective: We back-tested and evaluated the Razor Forex System on G10 FX trading and the combination with the tendency forex system.

Methods: Back-testing was done in eSignal charting system with intraday historical data from 2010. VBA programming was used to merge or split the exported back-testing data, which was divided into 4 groups: Tendency forex system, razor forex system, filtered tendency forex system (filtered by razor forex system), filtered razor forex system (filtered by tendency forex system). SPSS 24.0 was used for statistical analysis. Python 3.11.4 was used to calculate the smoothness and the deviation degree of the equity curve of different groups.

Results: Filtered tendency forex system has a higher return and lower drawdown (P<0.05) when compared with tendency forex system, but the difference was not statistically significant when compared with the filtered razor forex system (p>0.05). Python analysis showed that the deviation degree of the filtered tendency forex system was a little lower than that of the filtered razor forex system.

Conclusion: Tendency forex system filtered by razor forex system: The trading signal can be directly used in real- time trading. Razor forex system filtered by tendency forex system: The trading signal can be used as a reliable back- testable indicator.