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ADX Filter

This document presents the results of a sensitivity test on an ADX filter trading strategy. It includes 8 figures that evaluate the strategy's profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percent profitable trades, average win/average loss ratio, and equity curve over varying ADX settings. The figures analyze the strategy's performance and risk metrics under different ADX parameters.

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Oxford Capital Strategies Ltd
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198 views8 pages

ADX Filter

This document presents the results of a sensitivity test on an ADX filter trading strategy. It includes 8 figures that evaluate the strategy's profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percent profitable trades, average win/average loss ratio, and equity curve over varying ADX settings. The figures analyze the strategy's performance and risk metrics under different ADX parameters.

Uploaded by

Oxford Capital Strategies Ltd
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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ADX Filter: Sensitivity Test

Oxford Capital Strategies Ltd: http://www.oxfordstrat.com


Trading Strategy: http://www.oxfordstrat.com/trading-strategies/adx
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 !rofita+le Trades.






























Figure 1.7 ',erage -in/',erage Loss #atio.
















Figure 1.8 ./&ity 0$1: Sensiti,ity Test.

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