As simple as it gets: EURUSD 2h ATR strength

As simple as it gets: EURUSD 2h ATR strength

This is a really simple system in its base form. It has no filters or money management. I submit it only to show what can be done with VERY simple entry & exit rules. I’m pretty sure this could be developed further into an implementable system.

The basis is EUR/USD on 2h timeframe. It might work on other assets, I haven’t tried yet.

The system will initiate a long if there is a green body exceeding ATR(20)*2. It will exit the long on another green body exceeding ATR(20)*2, or on the 9th bar after entry, or if a short position is initiated.

The system will initiate a short if there is a red body exceeding ATR(20)*2. It will exit the short on another red body exceeding ATR(20))*2, or on the 9th bar after entry, or if a long position is initiated.

There you go, as simple as that. Good luck with your adaptations!

 

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  1. Wilko • 71 days ago #

    Just a quick note. The first line should read AverageTrueRange[20](close), not [14]

  2. Inertia • 67 days ago #
  3. victormork • 66 days ago #

    How does the backtest change with AverageTrueRange[14](close)? Better, worse, unchanged?

  4. Wilko • 65 days ago #

    If I remember correctly, best backtest results were achieved with ATR(21). Slightly worse with 14, but not materially

  5. Francesco78 • 63 days ago #

    Great system, I love its simplicity. Thank you.

  6. SAM • 58 days ago #

    Hy, thank-you for share-it…
    Ex-cuse me for the trivial question,
    I understood the condition LognEntry ,but why the condition “close -open>ATR*2 ” is also in the condition “LongExit” ?
    thank-you

    Close – Open is the thame as LognEntry?

  7. Wilko • 58 days ago #

    Hi Sam,
    Thank you for the comment. I ageee completely and do not find your question trivial. Please allow me to check the code and come back with an answer. I can spontaneously say that this is not the same as codes I have implemented (yes, I do run variations on this idea live on several markets). Let me have a look and revert with an explanation.
    Kind regards,
    Fredrik

  8. Ricx • 53 days ago #

    There is no SL to this system, right?
    If I want to add one, how would I add it?

  9. Wilko • 53 days ago #

    In the IF-clause containing the BUY or SELLSHORT instruction you could add a line containing SET STOP….. etc.

  10. Wilko • 53 days ago #

    In answer to SAM: The Logic of the cover clause containing the same logic as the entry-clause is simply to hold the position until such time that another impulse (=1-bar movement larger than the ATR-hurdle) causes the system to exit. This idea came from watching the charts.

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