Universal Strategy

Universal Strategy

If you have followed the thread found here: https://www.prorealcode.com/topic/profitable-strategy-that-work-on-any-market/

You will be aware that I have placed a challenge to the forum to create a universal market neutral strategy. In other words a strategy that can be adapted to any market without ANY optimization. Below is my attempt at exactly this. I have opted to add a trading time filter as all markets have their sweet spot.

No variables have to be optimized for this strategy to work other than the trading time and spread. Attached is 2 screenshots of the same code executed on 2 different markets (same 1Hr timeframe but different spreads) where in both instances the code has significantly outperformed Buy and Hold. Spread on CAC40 set to 3 and spread on ZAF40 set to 20.

Note that this strategy was not meant to be a jaw dropper in terms of performance but rather a proof of concept that a single strategy can be applied to different markets with positive results. Obviously optimizing this strategy to individual markets will yield better results but that was never the idea. Hopefully the whole ProRealCode community can benefit from this (and even improve on it).

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. Nicolas • 267 days ago #

    Thanks for this interesting concept. I successfully test the strategy on DAX and Bund (same kind of results as your other tests on SAF40 and CAC40), but I’m not able to get relevant backtests on other timeframes than 1 hour, and because you stated that this trading strategy is “non timeframe dependent”, that’s why I’m talking about it. Good job!

  2. juanj • 267 days ago #

    I just want to expand a bit on the mechanics of how this strategy should theoretically perform in both ranging and trending markets. The idea is that in a ranging market you would likely see Bollinger reversals between the bands whereas in a trending market you would see a successful Bollinger breakout. This strategy aims to take advantage of both. Then also just to be fair (in answering Nicolas’s question above) although I mentioned the strategy to be timeframe independent, it would more accurate to just call it market neutral. The above set of ‘static’ variables is more suited to a specific timeframe. For lower timeframes such as the 5min chart, a smaller MA such as 50 would likely be ‘more’ suited along with an ATR[1] period. However once configured for an timeframe, it should be compatible between different markets on that timeframe.

  3. juanj • 267 days ago #

    @nicolas it would be interesting to see the 200k bar backtests of the CAC40 and SAF40, if you can post them? Would also be interesting to see if another trading time-frame is maybe better suited back then? I also think that maybe we can look into adding a different stop mechanism, maybe something like your trailing stop? The idea is for the PRC COMMUNITY to build onto this to get it to perform even better and more consistently on all markets.

  4. juanj • 267 days ago #

    I have made a minor modification to the Exit criteria and the result is looking very promising (check the EUR/USD 1Hr with spread of 0.8) for example.

  5. juanj • 267 days ago #

    If longonmarket and ((close[2] > BollU and close[1] > BollU and close BollU and high[1] > BollU and high < BollU)) Then
    LE = 1
    ElsIf shortonmarket and ((close[2] < BollL and close[1] BollL) or (low[2] < BollL and low[1] BollL)) Then
    SE = 1
    EndIf

    If ((close 95 Then
    Sell at market
    ElsIf ((close > close[1] + ATR) or (SE = 1)) and RS2 < 5 Then
    Exitshort at market
    EndIf

  6. juanj • 267 days ago #

    For above modification also add to the entry criteria to initialize the values;

    ‘LE = 0’ below every ‘Buy possize contract at market’
    ‘SE = 0’ below every ‘Sellshort possize contract at market’

  7. juanj • 267 days ago #

    @Nicolas I see it also significantly brings down the drawdown on the CAC40.

    Btw why is the Add PRT Code function not working on here? Also cannot attach screenshots, there are some very sexy curves on for instance the EUR/USD that need some showing off.

  8. juanj • 265 days ago #

    To follow new developments or get the latest version of this strategy please visit the forum:
    https://www.prorealcode.com/topic/profitable-strategy-that-work-on-any-market/

  9. tahar • 244 days ago #

    Hello Juan, I wanted to test Universal Strategy via a demo account on PRT but nothing happens, the auto trading is in process but nothing occured after 6 hours, the screen has no orders at all. What could be the problem to your opinion? Cheers.

  10. BravoDelta • 175 days ago #

    @juanj wondering if you may help me please. I am looking for a simply strategy to use on the South African Alsi through IG markets, would you be able to discuss this with me? Thanks

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
juanj If I run the backtest with a zero spread the backtested result look similar to your screensh...
Eric If you have a high percentage winners and the trades are closed with take profit the spread ...
Casenova I Agree with you JaunJ, and Yes Eric, what you say makes sense too. Optimizing the Stop Loss...
Daniel da Costa Thanks Doc! Where can you find a service for Dax with a 1 point spread?
Doctrading Hello. I suggest you : ProRealTime CFD, or IG. Best regards,
Matriciel
1 month ago
Alai-n Thanks...
JanWd Mr Beep, nice strategy you have build ! I played around with your code, and made my own...
noisette Thank you for this code that seems to work well. But, if i'm not wrong, we can have buy and...
noisette sorry, I was wrong in my previous message: it's not possible to have both conditions at the ...
Nicolas
3 months ago
juanj Kinda reminds me of Renko Trading
Real Pro Hi Nicolas, I'm having trouble changing the colours according to the instructions you gave. ...
Nicolas https://www.prorealcode.com/topic/mt4-fractal-box/
Nicolas
3 months ago
hartgeld Hallo Nicolas, ein sehr guter Indikator, vielen Dank! Leider rechnet er bei mir nicht die Pe...
juanj This gets me thinking about creating a strategy on the 5min timeframe that only takes trades...
GraHal I noted above does okay on DAX 10 min with even a reduction to 30 of the Stop Loss. I've s...
Nicolas Changer la base de périodes du RSI original ? Le RSI a du "retard" puisqu'il est toujours né...
macbartin merci, je voulais savoir quel paramètre il faut modifier sur votre indicateur pour le modifi...
Nicolas Cet indicateur est dynamique, il n'utilise pas de période fixe
styrke Hello Nicolas, Nice screener, I appreciate the way you always try to condense at maximum th...
Nicolas There's no particular reason. RSI is widely use with its default period and results seems re...
lumarino Bom dia Ale. Obrigado pela partilha. Você tem alguma das suas estratégias operando em Modo R...
ALE OLÁ NESTE MOMENTO EU NÃO ESTOU USANDO ESTAS ESTRATÉGIAS DESDE QUE EU TENHO O CAPITAL OCUPADO...
lumarino Qual é então a sua Estrategia de eleição ALE??
MaoRai54 Hi, first of all Happy New Year. Well, I've inserted your indicator in DAX 1h but I cann...
Vinks_o_7 Hi Mao Happy New Year ! This is just an improved RSI where you plot a standard price momen...
Angel Perez Ciao Francesco. First of all thanks for the indicator and also fro the screener. I do have a...
fabioerliam Grazie! Buona giornata
fabioerliam Ciao Francesco! Ti disturbo ancora per chiederti se conosci o se eventualmente pensi si poss...
fabioerliam P.s. ho provato a togliere le divergenze nascoste (hd) dall'indicatore, ma nonostante inseri...
Nicolas
4 months ago
TradeNavigator RSI
TradeNavigator RSI
10
Indicators
Nicolas Tutte le impostazioni che hanno la parola "period" sono quelle dedicate ai periodi di cambio...
GianfrancoCeck Le chiedo una ultima cosa, ossia se è possibile personalizzare l'indicatore con una scritta ...
Nicolas Spiacente che non sia possibile, le coordinate grafiche non sono in pixel ma nel prezzo e ne...
Alai-n Merci pour ce travail...
patmaba merci Alai-n. C'est ma première participation sur prorealcode, merci pour à toi pour ton co...
wintreb Un outil très visuel et utile Merci
darbes Hi Nicolas How could I use the indicator in a strategy ? Coding do not recognize the indica...
Nicolas What do you want to do exactly? Because dots are plotted afterwards..

Top