D_DSP (Detrended Synthetic Price) Strategy Backtest by HPotter
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +28,512.50 USD (+31.32%)
- Win Rate: 70.0%
- Profit Factor: 1.25
- Max Drawdown: 31,762.50 USD (25.38%)
- Total Trades: 150
- Sharpe Ratio: −0.018
Description
Detrended Synthetic Price is a function that is in phase with the dominant cycle of real price data. This DSP is computed by subtracting a half-cycle exponential moving average (EMA) from the quarter cycle exponential moving average. See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70.