D_DSP (Detrended Synthetic Price) Strategy 2 Backtest by HPotter
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +63,587.50 USD (+57.83%)
- Win Rate: 37.5%
- Profit Factor: 1.718
- Max Drawdown: 39,600.00 USD (34.26%)
- Total Trades: 16
- Sharpe Ratio: 0.03
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. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.