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

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  1. Wilko • 06/28/2017 #

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

  2. Francesco78 • 06/28/2017 #

    Thank you Wilko!

  3. victormork • 06/28/2017 #

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

  4. alexinvestgroup • 06/28/2017 #

    What spread?

  5. Francesco78 • 06/28/2017 #

    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 • 06/28/2017 #

    Alexinvestgroup, I have used spread = 1 to backtest

  7. Yannick • 06/28/2017 #

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

  8. Kenneth Kvistad • 06/28/2017 #

    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 • 06/28/2017 #

    Kenneth, it means that the tick value is 1 euro

  10. Kenneth Kvistad • 06/28/2017 #

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

  11. Juan Salas • 06/28/2017 #

    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 • 06/28/2017 #

    //————————————————————————-
    // 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 • 06/28/2017 #

    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 • 06/28/2017 #

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

  15. Francesco78 • 06/28/2017 #

    Thank you Juan Salas!, will have a look now

  16. Francesco78 • 06/28/2017 #

    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 • 06/28/2017 #

    how do you define trailingstep and trailingstart?

  18. stockdemon • 06/28/2017 #

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

  19. lizmerrill • 06/28/2017 #

    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 • 06/28/2017 #

    hi Lizmerril, yes, that is correct

  21. lizmerrill • 06/28/2017 #

    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?

  22. DANY • 203 days ago #

    overfit

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