Oil 15 minutes meanreverting strategy

Oil 15 minutes meanreverting strategy

Hello,

I found this nice and simple strategy playing with the “average fullness of last 5 candles” . I added a simple moving average oscillator, with 5 and 50 period and I considered mean reverting long/short condition by setting a threshold to the “average fullnes”

The strategy is really minimally optimized, I only optimized the threshold and the profit and stop target.

Results of  backtest and  WF are attached

Regards

Francesco

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

New! PRC is also now on YouTube, subscribe to our channel for exclusive content and tutorials

  1. Wilko • 238 days ago #

    Nice idea of relative fullness of candle! I like it.

  2. Francesco78 • 238 days ago #

    Thank you Wilko!

  3. victormork • 237 days ago #

    Nice work Francesco! Have you noticed that the long side is much better than the short?

  4. alexinvestgroup • 237 days ago #

    What spread?

  5. Francesco78 • 237 days ago #

    HI Victormonk, thank you, yes I noticed that. Maybe we could try to set different target for long and short to rebalance it, I tried to optimize as little as possible.

  6. Francesco78 • 237 days ago #

    Alexinvestgroup, I have used spread = 1 to backtest

  7. Yannick • 237 days ago #

    Hi thanks for sharing.
    Did you tried volatility take profit and stop loss based on atr rather than fixed values?

  8. Kenneth Kvistad • 237 days ago #

    What does buy 1 «perpoint» means?
    I also see there is some inside candlestick trades that i personaly have Never been able to be sucssessfull in.
    I see you have alot of great ideas and strategies 🙂
     

  9. Francesco78 • 236 days ago #

    Kenneth, it means that the tick value is 1 euro

  10. Kenneth Kvistad • 230 days ago #

    Francesco, can you try to make this strategy with short and long proffit tragets just like in your hammernegated strategy?

  11. Juan Salas • 194 days ago #

    Hi Francesco,

    I have customised your code for Oil USA 15′, applying Nicolas’ super trailing code (thanks Nicolas!) and other minor alterations (Increased STOP distance, closing operations Friday night, etc). The equity curve is a little smother and is working for me in real.

    I know it may not reflect a big change, but it very consistence and so far it is working very well. I am also a fan of the hammer negated. It is working for me in Oil USA in 10min, 30min, and …in 2 mins. The results are amazing. The only con, as well as with this code is that I have just tested it in 100k.

    I am trying to adapt the Mean Reverting to other markets, any suggestions would be greatly appreciated. (It is working well with Brent, but not as well as with the USA)

  12. Juan Salas • 194 days ago #

    //————————————————————————-
    // Código principal : MEANREVERTING w TRAIL15′
    //————————————————————————-
    //crude oil 15 min strategy

    DEFPARAM cumulateOrders = False

    // Dias de la semana
    IF DayOfWeek = 0 OR Dayofweek = 6 THEN
    tradeok = 0
    ELSE
    tradeok = 1
    ENDIF
    // Friday 22:00 Close ALL operations.
    IF DayOfWeek = 5 AND time = 220000 THEN
    SELL AT MARKET
    EXITSHORT AT MARKET
    ENDIF

    Fridaynight = Dayofweek = 5 AND time>220000

    //parameter definition
    period = 6
    fastav = average[4](close)
    slowav = average[50](close)
    maoscillator = fastav-slowav

    fullness = (Dclose(0)-Dopen(0))/abs(Dhigh(0)-Dlow(0))
    avfullness = summation[period](fullness)/period
    avfullnessthreshold = 0.38

    enrojoalcista= (tradeprice(1)-close)>35*pipsize
    enrojobajista= (close-tradeprice(1))>35*pipsize

    cl = maoscillator>0
    cl = cl and avfullness < -avfullnessthreshold

    cs = maoscillator avfullnessthreshold

    // Largos
    IF NOT ONMARKET AND cl AND tradeok=1 AND NOT Fridaynight THEN
    BUY 1 CONTRACT AT MARKET
    ENDIF

    // Cortos
    IF NOT ONMARKET AND cs AND tradeok=1 AND NOT Fridaynight THEN
    SELLSHORT 1 CONTRACT AT MARKET
    ENDIF

    // Salida Largos
    IF LONGONMARKET AND enrojoalcista AND (open-close)>=30*pipsize AND open>close THEN
    SELL AT MARKET
    ENDIF

    // Salida cortos
    IF SHORTONMARKET AND enrojobajista AND (close-open)>=30*pipsize AND open=trailingstart*pipsize THEN
    newSL = tradeprice(1)+trailingstep*pipsize
    ENDIF
    //next moves
    IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
    newSL = newSL+trailingstep*pipsize
    ENDIF
    ENDIF

    //manage short positions
    IF SHORTONMARKET THEN
    //first move (breakeven)
    IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
    newSL = tradeprice(1)-trailingstep*pipsize
    ENDIF
    //next moves
    IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
    newSL = newSL-trailingstep*pipsize
    ENDIF
    ENDIF

    //stop order to exit the positions
    IF newSL>0 and tradeok=1 THEN
    SELL AT newSL STOP
    EXITSHORT AT newSL STOP
    ENDIF
    //************************************************************************

    //set target pprofit 30
    set stop ploss 90

  13. Juan Salas • 194 days ago #

    I was planning to insert pics of my backtest, but apparently I don’t find the way to insert a png. file in the conversation.

  14. Juan Salas • 194 days ago #

    By the way, thanks again for your valuable contribution to this community.

  15. Francesco78 • 194 days ago #

    Thank you Juan Salas!, will have a look now

  16. Francesco78 • 194 days ago #

    HI Juan, I created this forum where you can share with us your results if you dont mind.
    By the way your code as it is doesnt seems to work, can you pls upload the correct version in the forum at this link?
    https://www.prorealcode.com/topic/oil-15-minutes-meanreverting-strategy/
    Many thanks!

  17. Francesco78 • 194 days ago #

    how do you define trailingstep and trailingstart?

  18. stockdemon • 134 days ago #

    Posted solution to the zero div problem which exists in the different versions of the code.

  19. lizmerrill • 104 days ago #

    can you explain the flow of the code, just to clarify. RE:fullness = (Dclose(0)-Dopen(0))/abs(Dhigh(0)-Dlow(0))
    avfullness = summation[period](fullness)/period. Correct me, but avfullness is based on the dailystats, e.g., dclose, dhigh, dopen,dlow. Since you are using 0 for parameter for dclose(0), and dhigh,dlow,dopen, I assume that during the 24 hour day, these values will change, is that correct, so there fullness will change, as the day proceeds, is that correct?

  20. Francesco78 • 104 days ago #

    hi Lizmerril, yes, that is correct

  21. lizmerrill • 101 days ago #

    Thanks for replying, so…. I assume in your backtest, the fullness calculations using dclose,dopen, etc were based on the last available prices i.e., the open, h,l, and close of daily frame from yesterday, right?

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
victormork Hi! No I don't have 200k history.
Yannick There is a huge drawdown from 2012 to 2013 after it keeps rising https://ti.md.it-finance...
victormork Thanks for sharing the 200k test!
Robin von Bauhn Here you go! Would like to hear your feedback :) cl = RSI[2]100-a if cl and close &...
Francesco78 Sorry there might be few typos, pls send the full code. Thank you
Robin von Bauhn Oh, it's "cs" that's missing. I don't have the code right now but it's the exact same condit...
danibo Hi Francesco, thank you for replying. I try to be crearer. My question is: - what is the...
JanWd Hi Francesco, nice algorithme, works with me on other markets as well !
Francesco78 thank you Janwd. Do you mind sharing where it works? happy new year!
atlante je me demande si prorealtime pourrait etre programee sur fonction lorsquún point cgange de c...
lizmerrill can you provide this code for tradestation, please. Thanks
Nicolas No sorry, please use this file instead into a prorealtime trading platform.
Wilko This was a rather interesting idea that appears to work on a short timeframe. And also inter...
andreag76 Thank you Francesco78 !
juanj What happened after August 21?
StantonR Got good results on ZAF 1hr timeframe
Wilko Great!
Wilko Thanks for letting the community know!
diegofe_2000 cordial saludo NICOLAS , gracias por excelente indicador. ¿ es posible obtenerlo en MT4 ? ...
Nicolas Lo siento, pero no estoy trabajando para ayudar a la gente aquí de forma gratuita para promo...
diegofe_2000 Nicolas , gracias por tu atención. La pregunta era por curiosidad (yo no trabajo ni manejo ...
larmhen
10 months ago
HerveS_67 Bonjour, A quoi correspondent les données S, M, L ? Hello, What do the data S, M, L?
gabri Excellent job like always!! are you working also on the Barycenter indicator?
Nicolas No but I think you can find a lot of different version of the "center of gravity - COG" indi...
Juan Salas Hi Francesco, Yes, this is pretty much the question. The system ask me a number of contract...
Francesco78 ok sounds good, you can put min size = 1 and go for the seasonable breakout too, also you ca...
JR1976 HI all , anyone test 200k bar for this great code ?
David Nicolas I've looked at it again and there's a problem.  As an example here's a simple cross...
Nicolas You'll need to preload bars to get the good calculations of you indicators. I did not test i...
David Nicolas I tried DEFPARAM Preloadbars = 5000 And still the same drawn output of entries/exit...
rpreviteri Hi Nicolas, thanks a  loto for sharing your knowliedge, Wasn't the original momentum pinball...
air Thank you!  
elanoa Buonasera sig. Nicolas......sarebbe possibile far in modo che quando l'indicatore raggiunga ...
Dimi.A Perfect for counter-trend scalping. I like this!
leyoy Elles viennent d'apparaitre après redémarrage. Merci Nicolas. Du coup, les signaux sont à pr...
patrick3 Merci Nicolas pour cet indicateur, il me tarde de faire les tests
helloe do u have same indicator for mt4 ? as mq4 ?
jctrader Bonjour . CAC 40    1988 = 1000   today = 4900  soit 490%  en buy and hold  .... + 370% av...
Nicolas Aucune immobilisation du capital. Quel est le drawdown du buy & hold ? Je ne l'ai pas ca...
jctrader ok pour le codage mais le choix "indice" n'est pas le bon : moins de 5%/an pour le meilleur ...
DonDollar ...and I do not see any opened positions...strange...
DonDollar I found the answer by myself for the second question. But still no idea about the False and ...
Nicolas The line 12 of the code is the answer of your question. Before launching a new trade, the co...
Nicolas I do not have any error Alfredo, even while testing on 150000 bars in the past. By the way, ...
alfredo thank for the council, when i do start the strategie on Italy at 1h some mornings happen tha...
Nicolas I think it's because of price gaps and/or quote interrupt. Anyway, be aware that this strate...

Top