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Opening Range Breakout - Weekly Bars: Sensitivity Test

This document presents the results of a sensitivity test on the Opening Range Breakout weekly trading strategy. It includes 8 figures that evaluate the profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, average win/average loss ratio, and equity curve of the strategy when tested on different markets and time periods.

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Oxford Capital Strategies Ltd
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174 views8 pages

Opening Range Breakout - Weekly Bars: Sensitivity Test

This document presents the results of a sensitivity test on the Opening Range Breakout weekly trading strategy. It includes 8 figures that evaluate the profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, average win/average loss ratio, and equity curve of the strategy when tested on different markets and time periods.

Uploaded by

Oxford Capital Strategies Ltd
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Opening Range Breakout Weekly Bars: Sensitivity Test

Oxford Capital Strategies Ltd: http://www.oxfordstrat.com Trading Strategy: http://www.oxfordstrat.com/trading-strategies/opening-range-breako t-weekly Commission ! Slippage: "#

Figure 1.1 $rofit %actor.

Figure 1.2 Sharpe &atio.

Figure 1.3 'lcer $erformance (ndex.

Figure 1.4 Compo nd )nn al *rowth &ate.

Figure 1.5 +axim m ,rawdown.

Figure 1.6 $ercent $rofitable Trades.

Figure 1.7 )-erage .in/)-erage Loss &atio.

Figure 1.8 /0 ity 1"2: Sensiti-ity Test.

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