Trend Following on FX Backtest Diary

A 75.5% win rate that lost 26%: every exit and take-profit fix I tested failed

Fri, 24 Jul 2026 00:00:00 +0000

There is a one-parameter change that lifts my trading system’s win rate from 36.8% to 75.5%. It also turns ten years of +122% into a 26% loss.

That is not a typo, and it is the thread running through this article. I spent four separate studies trying to improve the exits of my trend-following EA (automated trading program): a take-profit target, a smarter trailing stop, a wider exit window, and averaging down into losers. Every single attempt made things worse, and all four failed for the same reason. This is the story of that reason, the win-rate trap.

A PF 1.03 YouTube strategy became my gold sleeve, but its winning filter didn't transplant

Fri, 24 Jul 2026 00:00:00 +0000

The strategy from the video measured out at PF 1.03. That is a coin flip, and normally the story ends right there with a “rejected” stamp. Yet today that same strategy trades gold inside my live system. And there is an epilogue: the filter that rescued it, the one piece that turned a coin flip into a keeper, did absolutely nothing when I transplanted it into my other gold logic.

A trading course coded whole scored PF 1.05, but its horizontal lines alone hit PF 1.63

Fri, 24 Jul 2026 00:00:00 +0000

I translated a discretionary trader’s paid course into code, rulebook and all. The whole method scored PF 1.05, meaning it earns just 1.05 dollars for every dollar it loses. Nearly break-even. But one by-product of that effort, a way to score how much a horizontal line “matters”, tested out at PF 1.63, beat my core system on quality, and eventually earned a place in my live portfolio.

An index sleeve broke my 0.47% monthly ceiling, then shorting indices sank to PF 0.13

Fri, 24 Jul 2026 00:00:00 +0000

My trading system was stuck at a monthly return of 0.47% no matter what I tuned. Adding one stock index sleeve on the long side lifted that to 0.53% monthly at PF 1.45, and the drawdown got smaller at the same time, from -9.0% to -8.3%. Meanwhile, a strategy that shorted the very same indices finished at -29.6% overall with a PF of 0.13. Same market, opposite direction, opposite fate.

I tested 12 mechanisms to diversify my EA and rejected every one, even at PF 1.81

Fri, 24 Jul 2026 00:00:00 +0000

PF 1.81, a 0.07 correlation to my existing system, and a clean pass through out-of-sample walk-forward testing. A candidate with credentials that good got rejected anyway. So did eleven others. Twelve mechanisms tested, zero adopted.

This article merges six studies (research notes 124, 128, 129, 131, 132, 133) into one story: the hunt for an uncorrelated sleeve to bolt onto my trading system. It is a record of total failure, but the structure that emerged at the end, the reason nothing could be added, turned out to be worth more than any single candidate.

My AI position sizer lost to a shuffled placebo, and six more smart ideas died with it

Fri, 24 Jul 2026 00:00:00 +0000

A reinforcement learner studied my trading system’s history and carefully learned how much leverage to use in each market state. Its result: +0.72% per month. Then I took its learned rules, shuffled them into deliberate nonsense, and ran the test again: +1.57% per month. The intelligence was worth less than nothing.

Six famous YouTube trading methods coded as taught: zero edges, one blown-up account

Fri, 24 Jul 2026 00:00:00 +0000

“The 10-billion-yen trader.” “Win from zero.” “Gold-only, high win rate EA, free to download.” Over the past months I took six famous methods from YouTube videos and trading courses, coded each one exactly as taught, and measured it on real data. The punchline up front: zero new edges. Almost everything was either no edge at all or a re-labeling of an edge I already trade, and the giveaway EA, run on its own disclosed parameters, wiped out the account two months in.

The gold strategy that won on every setting, then dropped 7.2% in a single day

Fri, 24 Jul 2026 00:00:00 +0000

A strategy that made money on every single parameter setting nearly lost 7.2% of the account in one day. The culprit was not a failed stop loss. It was the open profit the strategy had spent months accumulating. This article traces the family history of the gold trend strategy inside my EA: how it was born, how a 1-minute stress test exposed its structural weakness, and how a two-entry experiment ended up choosing its final form. Three studies (16, 17 and 50 in my research log), one story.

The long-only trend strategy I had written off came back at +52.6% in forward testing

Fri, 24 Jul 2026 00:00:00 +0000

“Standard technical indicators hold no exploitable edge in FX price data.” I wrote that conclusion in my own research log. Then I had to retract it. One approach, long-only trend following (buying only, never shorting), turned out to be genuine, posting +52.6% total in forward testing. The thing hiding it had never been the market. It was my own test design.