Wisper Breakout Strategy SAF40

Wisper Breakout Strategy SAF40

This strategy is one which takes advantage of only long opportunities in the SA Top 40 (SAF40) Index also known as the ALSI.

The code is testing if price is making new highs and lows before setting a new long order at market.

Target and loss levels are based upon the size of a factorized ATR 14 periods. Take profit size is larger than the stop loss one.

 

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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.

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  1. juanj • 18 days ago #

    I take it you did not consider that the spread could be anything from 30 to 50 pts. Especially outside market hours.

    • Casenova • 18 days ago #

      I have been trading this system for 4 months uninterrupted. I can assure you that I considered the spread. The Stops and Targets is wide enough, don’t let last nights trade upset you.

  2. juanj • 18 days ago #

    If I run the backtest with a zero spread the backtested result look similar to your screenshot. If however, I include a realistic spread of 40 the backtest only show the strategy to be profitable after November 2016. The strategy opens trades both in and out of market hours, meaning it would make sense to include an average spread between the usual 30 (in market hours) and 50 (outside market hours).

  3. Eric • 16 days ago #

    If you have a high percentage winners and the trades are closed with take profit the spread doesent matter that much as long price exceed the TP by half the spread

  4. Casenova • 15 days ago #

    I Agree with you JaunJ, and Yes Eric, what you say makes sense too. Optimizing the Stop Loss and Profit Target to 3.9 and 3.5 X ATR respectively back-tested in favour of the system at a spread of 30. I guess we can play around with the numbers but ultimately I feel that the logic of the system still holds true.

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