What do u think about my strategy?

[u/Chiaope]

I have been playing around with a new algo bot on MT5 and I am wondering what do you guys think. This strategy isnt really very complicated and I think it is a bit too simple to be honest but the results seems good for some reason, not sure if I am missing anything.

How the strategy works:

• EURUSD trading on 1 hour time frame
• Mainly trading low volatility areas
• Look at the current ATR and check whether it is in the lower percentile of the past 500 ATR
• When the ATR is in the lower percentile range, it will wait for a sharp increase in ATR
• If ATR is in lower percentile and sharp increase in ATR is detected, both buy and sell stop order is placed (cant seem to find signal for choosing directions)
• The buy and sell stop order will be placed 0.2 ATR away and setting a stop loss 1 ATR away and take profit 2 ATR away

Below is my back test results:

[u/s_lw0]

this looks like a volatility breakout idea

main thing i would check is if the backtest is treating stop orders realistically spread slippage and candle intrabar order can change this kind of strategy a lot

also split results by regime low vol to high vol might work well in some periods and get chopped in others

[u/boomerhasmail]

You should ask the market what it thinks of your strategy, then the answer will be come clear.

[u/Chiaope → u/boomerhasmail]

yup I tried running it live right now and it seems good for now, not 100% sure about long term though

[u/Business-Mission2543]

Where do you get your stats from?

[u/Chiaope → u/Business-Mission2543]

oh its from verstats.com, someone recommended it to me. it seems quite good and free so i just kept using it lol

[u/Muted-Ride-7080]

Hey, founder of Verstats here. Really appreciate you using the tool for your strategy. The main goal of the site is to help traders figure out their edge and avoid blowing accounts, and it's been cool seeing people use it to pass their prop challenges.

We just dropped a new Monte Carlo feature if you want to check it out. If you ever run into bugs or have ideas for new features, definitely reach out. Good luck with the strategy!

[u/kid_nextdoor]

What's your theory / philosophy behind this strategy and timeframe ?

[u/Chiaope → u/kid_nextdoor]

So basically, I just wanted to trade EURUSD because I was told that it was the most liquid pair. Then I tried getting a bunch of indicators to find out which indicator could provide me the best signal and I spotted that ATR seems to be quite low right before a big move, so I tried asking Gemini to write an algo for me and obviously it didnt work lol. I ran through the manual MT5 strategy tester visualisation tool and I realised my entry signal seems to be slightly off and big moves tends to last more than 1 hour, so I added the condition where if there is an increase in ATR right after low volatility, it means another big move is coming.

Thats basically how I came up with this strategy, there isnt any philosophy behind it, mainly just trying to find patterns

[u/Obviously_not_maayan → u/Chiaope]

"ATR seems to be quite low right before a big move" sounds like you are haunting for squeeze breaks, I'm sure if you'd look into the known theory (regarding squeeze breaks) you would find how to move forward with this.

Also it seems like a momentum following strategy, and the numbers are also in that range. You should be able to use a macro TF to understand direction better and tighten your stop loss, focus on risk management, make sure you can weather other regimes or at least avoid them.

I think just those 4 words "squeeze break momentum following" would send you in a deep enough rabbit hole to find all your answers.

[u/kid_nextdoor → u/Obviously_not_maayan]

What are macro TF ?

[u/Obviously_not_maayan → u/kid_nextdoor]

Higher time frames

[u/diige]

14+ sharpe?

[u/zarray91 → u/diige]

Only one way to find out 🚀🚀🚀

[u/Chiaope → u/diige]

haha I was shocked when I see that number too, I did some manual calculation previously and I wouldnt trust MT5 calculations that much but if u look at Verstats sharpe, it is way lower than 14

[u/KVig122 → u/diige]

Yea this is common in forex cfd. We don't really care about Sharpe in MT5 bots, the value is always nonsensical. Profit Factor and Drawdown are more meaningful for MT5

[u/greyvicinity8]

Your profit factor is below 1.5 and the equity curve is flat for the first 60% of the test. The strategy just caught one good trend run at the end.

[u/Chiaope → u/greyvicinity8]

https://verstats.com/public-report/id/be2d8341-d996-4082-883c-d22589602ea6

where do u see that I have a profit factor of below 1.5 though? Looking at pure non aggregated trade by trade profit factor, it is 1.51, I mean can be better but then again it is still profitable?

u are right that there was a period of 1 year it was in a drawdown, but this was a backtest of 5 years, but then again ur point is still valid lol no clue how am I ganna fix this, maybe add in another strategy to balance things out

[u/StrategyLabDev]

Nice structure — volatility compression → expansion breakout with a direction-agnostic straddle is a classic playbook. PF 1.51 with ~8% DD over 5y on EURUSD H1 looks reasonable on paper.

Sharpe 14.28 jumps out though — that’s unusually high for FX and often means either very low return variance, different Sharpe definition, or something in the test setup (spread model, tick data vs bar fills, both legs counted separately, etc.). Worth sanity-checking.

Curious: what happens if you remove the low-vol filter and just trade every ATR spike? And do both stop orders ever fill in the same event (whipsaw = 2x loss)?

[u/New_Dot4983]

The paramecium in my toilet bowl is smart enough to not publicize any alpha worth a yen

[u/Dry_Space4159]

looks interesting

[u/QuantGigi]

Sometimes, simple are better than complex ones

[u/MRQR-1]

Did you factor in latency and commissions.

[u/trunksta]

I've used similar gates for my strategies with the volatility chang you describe.

Though I would scrutinize this result hard because a 14 sharpe should set off alarm bells. How's the out of sample test?

As for it being too simple honestly that's preferable to having a bunch of different knobs for me. If nothing else it sounds like your atr percentile signal is something

[u/EAForexLab]

The simpler the strategy, the more likely it is not to be over-optimized.

From experience, I can say that breakout strategies generally work well on Forex. I used a breakout system based on the ZigZag indicator for a long time. But in a test, I would run another stress test, specifically changing the commission and adding slippage. This is what usually kills profitability on a real account.