Stress Test

Stress Testing risk parameters


We are going to stress testing the below trading parameters of our trading strategy.

Risk per trade: -1.4%               (after scaling out, risk would be -1%)
Target profit per trade: +2%     (minimum target profit per trade)

Success percentage 45%        (our history shows that we have achieved over than 58% success %)

Number of performed trades per year: 240 trades (each trade may result on average to 4 partial trades,

due scaling out and rebuilding the positions, and averaging up; we have on average 830 partial trades performed annually)


We ran 5,000 simulations, each one with 240 trades = 1,200,000 trades are simulated.

The graph above represents 5,000 scenarios we may have in spread of 5,000 years, as a result of the above inputs.

We got the following:

Average year return: +134%

Standard Deviation: 64%

Maximum Peak to Trough DrawDown: -20.5%

The graph above represents the frequency of values we may have out of the 5,000 scenarios.


The 95% percentile of the above data equals to: +48% which represents the yearly VAR at 95% confidence level.
This means there is only 5% probability to have a year with gross profit less than +48%.

The graph above represents the frequency of Peak to Trough Draw Down Values we may have out of the 5,000 Scenarios.

The 5% Percentile of the above data equals to : -15.4%, which means there is 95% probability to have a peak to trough draw down less than -15.4%.


We use a range of cookies to give you the best possible browsing experience. By continuing to use this website, you agree to our use of cookies.
You can learn more about our cookie policy ,or by following the link at the bottom of any page on our site.

Title here