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 • 29 days ago #

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

  2. Francesco78 • 29 days ago #

    Thank you Wilko!

  3. victormork • 28 days ago #

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

  4. alexinvestgroup • 28 days ago #

    What spread?

  5. Francesco78 • 28 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 • 28 days ago #

    Alexinvestgroup, I have used spread = 1 to backtest

  7. Yannick • 27 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 • 27 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 • 27 days ago #

    Kenneth, it means that the tick value is 1 euro

  10. Kenneth Kvistad • 21 days ago #

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

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
Maz I like this
atlante je me demande si prorealtime pourrait etre programee sur fonction lorsquún point cgange de c...
Juan Salas Hi, I got the same problem in Oil USA 10'. The system was canceled because there is a divis...
Francesco78 I have opened a forum thread as suggested by Grahal in order to make discussion more confort...
Kv6 Hola Francesco, Muy buenos resultados. No obstante, cuando pongo el código a funcionar, a...
Wilko Thank you all for your comments! I treat shorting very separately from the long side, at lea...
gabri Wilko,  great code!! I never worked with RSI2 and I found it very interesting. I made some ...
Wilko I'm happy my code snippet inspired some new thoughts! Thanks for the feedback!
diegofe_2000 Gracias Nicolas , muy buen indicador , excelente para hacer sistemas, muy buenos resultados,...
larmhen
3 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...
Francesco78 Hi Juan Salas and thank you very much for your undeserved compliments. I'm not sure if I un...
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...
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...
Renato Di Lorenzo Agree; thanks.
rpreviteri Hi Nicolas, thanks a  loto for sharing your knowliedge, Wasn't the original momentum pinball...
air Thank you!  
Dimi.A Perfect for counter-trend scalping. I like this!
leyoy Bonjour, je viens de l'installer sur 10.3 ... comment faire apparaitre les flèches sur l'ind...
Nicolas Les flèches apparaissent d'elles-mêmes selon les signaux de l'indicateur.
leyoy Elles viennent d'apparaitre après redémarrage. Merci Nicolas. Du coup, les signaux sont à pr...
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