GBPUSD REVERSION BARS

GBPUSD REVERSION BARS

Good Morning,

I share my first code based on a well-known strategy.

I tried to make it as simple as possible and not fill with indicators and triggers. A simple strategy following a reversion pattern of bars and a mean exp of 40 periods.

I would like to improve it and are welcome any of your contributions and opinions of money management, stop loss optimization, etc.

I’ve placed it in ProOrder Autotrading in Demo to see how it behaves.

Regards,

Gbp usd in 4 hour timeframe


Buenos días,

Comparto mi primer código basado en una estrategia por demás conocida.

Traté de hacerlo lo más sencillo posible y no llenar de indicadores y triggers. Una estrategia sencilla siguiendo un patrón de reversion de barras y una media exp de 40 períodos.

Me gustaría mejorarlo y son bienvenidos cualquiera de sus aportes y opiniones de money management, optimización de stop loss, etc.

Lo he colocado en el ProOrder Autotrading en Demo a ver como se comporta.

Saludos,

gbp usd en timeframe de 4 horas

 

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  1. barbagio • 03/15/2017 #

     Hola David, estaba mirando tu trading system y me preguntaba si ya lo habias probado en un mercado que no sea solo bjista (me parece viendo a la imagen que has puesto que no hubo un mercado alcista en el periodo que lo miraste). 
    De todas maneras voy ya he bajado tu codigo y lo voy a probar para ver como funciona en diferentes condiciones.
    Ya hiciste un proceso de optimizacion? se sì, sobre cuales parametros? 
    Otra pregunta: no entiendo las razones de las formula con raiz cuadrada, logaritmos, etc… me las podrias explicar un poco mas?
    gracias! hasta pronto
    Giovanni

  2. David Somogyi • 03/15/2017 #

    Hola Giovanni,
    Solo lo he probado en libra dólar vs USD, en demás divisas no funciona con esos parámetros, habría que optimizarlos y adaptarlos.  También podría limitarse un poco los horarios para evitar el overnight. Te recomiendo le hagas una optimización por capas para llegar al mejor setup.
    Con respecto a las fórmulas, ese indicador FDI es el índice fractal y ayuda a detectar cuando hay poco movimiento y el mercado se lateraliza brevemente, funciona como filtro para NO abrir posiciones.
    Saludos

  3. David Somogyi • 03/15/2017 #

    Hola Giovanni,
    Solo lo he probado en libra vs USD, en demás divisas no funciona con esos parámetros, habría que optimizarlos y adaptarlos.  También podría limitarse un poco los horarios para evitar el overnight. Te recomiendo le hagas una optimización por capas para llegar al mejor setup.
    Con respecto a las fórmulas, ese indicador FDI es el índice fractal y ayuda a detectar cuando hay poco movimiento y el mercado se lateraliza brevemente, funciona como filtro para NO abrir posiciones.
    Saludos

  4. Pier • 03/15/2017 #

    Very good strategy I try It
    with this target: SET TARGET PPROFIT AverageTrueRange[14](close)*4.8*10000
    and this set: nbar = 5 It seem
    So It seems to get better performance

    • David Somogyi • 03/15/2017 #

      Hello Pier, thanks I’m working in an alternative version and running WF on it.
      What would be the meaning of the 4.8 ?

      Regards,

    • Pier • 03/15/2017 #

      optimisation from 2 to 5 step 0.2 could be overfitting ? whats your opinion ?

    • bertrandpinoy • 03/15/2017 #

      bonjour ce code fonctionne toujours?

    • Nicolas • 03/15/2017 #

      Faites un backtest, vous aurez des réponses.

  5. David Somogyi • 03/15/2017 #

    Hello,

    You should try a WF analysis to see its behavior during 5 periods. Still, don’t understand what this multiplier factor means.

  6. lizmerrill • 03/15/2017 #

    david, what is the well known strategy you are basing this code on?

  7. David Somogyi • 03/15/2017 #

    Hello,

    180º profit booster from Greg Secker.

    Regards,

  8. lizmerrill • 03/15/2017 #

    david, THANKS FOR THE REPLY,
    IN YOUR CODE BELOW:
    FDI=0
    HH = highest[N](close)
    LL = lowest[N](close)

    for Period = 1 to N-1 do
    if (HH – LL) > 0 then
    diff = (customclose[Period] – LL) / (HH – LL)
    if Period > 1 then
    length = length + SQRT(SQUARE(diff – pdiff) + (1 / SQUARE(N)))
    endif
    pdiff = diff
    endif
    next

    if length > 0 then
    FDI = 1 + (LOG(length) + LOG(2)) / LOG(2 * (N))
    else
    FDI = 0
    endif
    endif

    WHERE DID YOU FIND FDI IN YOUR CODE? I HAVE NEVER SEEN THIS CALCULATED, IN THIS CASE BEING USED AS A FILTER FOR THE TRADES?

  9. David Somogyi • 03/15/2017 #

    Hello,

    This is merely a filter indicator for measuring high fractality, which helps to avoid entering positions with lateral price movements.

    Find a topic below. There are lots of books and authors that explains how to use this indicator.

    http://www.x-trader.net/foro/viewtopic.php?t=18769

    R.

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