trend-following system - hourly

I`m using a systematic and mechanical trend-following investment program.
It`s a pro-active & short term method.

I use hourly data and therefore trade 24hrs/24. Forex market.

- Maximum risk per trade is 2%. Always use stops.
- I use pyramiding technique up to 3 units
- Margin-to-equity ratio: max 15%
- Break-out entry system
- No technical/fundamental
- Use 2 variables: price (volatility)/time

My system has:
1) Potential drawdown: between 20/25%
2) Potential annual return: 150%/200%
3) Average # of trades per year: 225/275

As long has my portefolio stays under 1.5M$, I will trade this system. But as my portefolio grows bigger, I will add currency to my system as a mean to diversify the portefolio composition and time-frames (ex. use 4-hours data of another currency pair).
When adding currency pair to the basket, one must watch carefully correlation between currencies.

That`s about it.
This system is quite similar to "turtletraders" technique.


David

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To discuss about trading sytems:
david.2.bilodeau@hec.ca