LUXOR tested on different bar compressions

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It is fascinating to check how a trading strategy changes on different timescales regarding its important system figures and equity lines. Let's do such a timescale analysis for the LUXOR trading system. As you remember LUXOR was developed on 30 minute data of the British pound/US dollar FOREX market. Let's have a look at the equity lines on different timescales (Figure 4.2). You see from these curves that our developed system logic gains steady profits on all the different timescales, starting from 5 minute up to 180 minute bar calculations.

Figure 4.2 Detailed equity curves from system tests on different timescales - from 5 minute up to 180 minute bar calculations. Trend-following system British pound/US dollar (FOREX), 30 minute bars, 21/10/2002-4/7/2008, with entry time window 9.30am-1.30pm GMT. SLOW=44, FAST=1. All three exits in place: 0.3% risk stop, 0.8 trailing stop and 1.9% profit target. Including $30 S+C per RT.

Figure 4.2 Detailed equity curves from system tests on different timescales - from 5 minute up to 180 minute bar calculations. Trend-following system British pound/US dollar (FOREX), 30 minute bars, 21/10/2002-4/7/2008, with entry time window 9.30am-1.30pm GMT. SLOW=44, FAST=1. All three exits in place: 0.3% risk stop, 0.8 trailing stop and 1.9% profit target. Including $30 S+C per RT.

Although the trading system makes profits on all the different timescales, the shapes of the equity curves with their drawdown phases appear a bit different.

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