The “Keep It Simple and Stupid” strategy

The “Keep It Simple and Stupid” strategy

Hello everyone,

I wanted to test a strategy that I used manually in Day Trading on the DAX in graphs 5 minutes.

The problem is that it is not always easy to backtest a manual strategy, particularly it is difficult to determine the slope of the moving averages, the levels of supports / resistances, etc.

So I slightly adapted the parameters for automatic trading.

We have a profit factor of 1.25 (spread included in the backtest) ; in manual trading I am rather at a profit factor of 1.5 (but exit rules are slightly different, on a trailing stop that is difficult to adapt) . I’m quite happy with my backtest that looks pretty close to reality. The strategy is very simple, it is the “KISS”, Keep It Simple and Stupid strategy. It uses only three moving averages, we trade with the trend.

Note that the test is positive in M5 timeframe (but I can only test it on 2,5 years), it is much worse on the upper timeframes.

 

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  1. Andres • 04/28/2016 #

    Simple and interesting code, Doc! I have a lot of fear of strategies below 15min TF  🙂 , I will trie this.
    What about in other index? Is it still positive?
    Thanks.
    Andrés.

  2. Doctrading • 04/28/2016 #

    Hello,
    I didn’t test it on other indexes. It was just like the way I traded manually the Dax.

  3. Andres • 04/28/2016 #

    Hi,
    Without optimize variables and only in the last year:
    Bad in Spain & France.
    Good in Italy.
    😉

  4. Andres • 04/28/2016 #

    Uffff, I didn’t adjust the different index spreads. With the heavy spread of Italy It’s negative too.

  5. davidp13 • 04/28/2016 #

    Good day. I know this was posted such a long time ago, but I though rebuilding the system on another platform might just seem worth the while. Testing it on multiple FX pairs, mostly USDJPY, USDCHF, USDCAD, GBPUSD and AUDUSD. Seem to have promise and this is over 5yrs data using 5m, 15m and 1hr timeframe. I did however add a position tracking mechanism. Again I did not write it on PRT.

  6. davidp13 • 04/28/2016 #

    Also to note that the one position in my code does not close the other, which as far as I know PRT does not allow hedging or maybe this was just IG stopping hedging. 
     

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