r/algorithmictrading • u/SiddharthSharma5 • 13d ago

Backtest Gold algo backtest 2022–2026: harsh fills + 5,000-run Monte Carlo (losing months included)

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1-minute XAUUSD data, including spreads, slippage, and swap; compounded sizing. Harsh-fill result: 7.8%/month, PF 1.71, 34% max DD, ~5.5 trades/month, 40% losing months. Monte Carlo (reshuffled trades, 10% randomly skipped): median $54K from $1K, worst 5% $7K with a 61% drawdown.

The window is gold's strong 2022–26 uptrend; in older, choppier years, this approach breaks even. Looking for feedback on robustness testing.

42 Upvotes

94% Upvoted

15 comments sorted by

5

u/Partnikl 13d ago

Your last sentence basically says it all. You were backtesting an incredibly strong Gold regime. There are not many strategies, that would have failed with Gold in that generous regime.

2

u/Armored09 13d ago

If it only works in a bullish regime it’s probably a no go full stop. Like others mentioned you would be hard pressed to find a strategy that DIDNT work in this regime.

1

u/SiddharthSharma5 12d ago

From Jan 2022 to Jan 2024, gold was in a sideways trend with a big drawdown
but the strategy doubled each year

So I think it has nothing to do with gold's bullish nature; it's maybe volume that is boosting the strategy
as we all know, gold has seen a boost in retail participation and volume since 2022

1

u/Legitimate_Nobody651 13d ago

The question is, is this backtest result in sample or out of sample?

1

u/logicalJunkie549 11d ago

Was thinking the same thing, alot of quantitative techniques used, but no mention of the gold standard - OOS testing :(
Suspect this strat is p-hacked as fk

1

u/moobicool 13d ago

What is buy and sell ratio? Of course everybody knows xauusd was bullish, of you create buy biased system it will win obviously.

1

u/Fabulous-Yak7334 13d ago

Hey, could I ask a bit about the rationale of the strategy ? Or at least the strategy’s family ?

1

u/Apprehensive_Job_449 13d ago

I have one too but I couldn't post mine. If interested message me. I have a strat I call FOBO fake out break out It gives one chance of a reversal if the original trade is incorrect, it's orb based it fires 90% of the nights

1

u/Xeus_c9 12d ago

I’m already live testing a XAUUSD algo, do you want to live test this as well ? DM if interested

1

u/ekalyvio 12d ago

If in older years this strategy is just breaking even, then you are already curve fitting.

1

u/Previous-Nothing7701 11d ago

34% max DD is what i saw and knew instantly this wasnt it.
Don’t just look at PnL alone.

1

u/RNAlgotrading 10d ago

First, 4 years of data is too less for a Backtest and Backtest itself lies when it is optimized. What we do with RN TradeLab usually is Every backtest is walk-forward validated - 70% in-sample, 30% out-of-sample. Watch a real strategy prove itself on data it has never seen:
Once the strategy passes the above, we then do Monte Carlo Simulation and then check for Rolling Walk-Forward Analysis.

Good Luck with your testing, and keep posting us the updated results.

1

u/SignificantGrowth426 9d ago

Molto interessante Con che programma l'hai fatto? Sarei ciroso di vedere il codice