EURUSD daily strategy
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eurusd strategy that works for very long time on daily TF.
Walk forward parameters:
rangemin
pr
period
No walk forward on seasonality parameters. (day and month forbidden)
//------------------------------------------------------------------------- // Main code : eurusd_TF_daily //------------------------------------------------------------------------- DEFPARAM cumulateOrders = False // Cumulating positions deactivated ///parameter definition //inputs rangemin = 3 pr = 170 period = 10 dayforbiddenlong =4 dayforbiddenshort = 2 monthforbiddenlong =1 monthforbiddenshort =4 //variables mav = average[period](close) oscillator = close-mav rossa = (Dclose(0)-Dopen(0))<0 verde = (Dclose(0)-Dopen(0))>0 rangetoday = abs(Dclose(0)-Dopen(0)) //entry condition cl = oscillator > 0 cl = cl and rossa cl = cl and rangetoday > rangemin cl = cl and dayofweek <> dayforbiddenlong and month <> monthforbiddenlong cs = oscillator<0 cs =cs and verde cs = cs and rangetoday > rangemin cs = cs and dayofweek <> dayforbiddenshort and month <> monthforbiddenshort IF cl THEN buy 1 PERPOINT AT MARKET ENDIF if cs then sellshort 1 perpoint at market endif //exit condition set target pprofit prHi Francesco! Been a long time since your last post 🙂 Thanks a lot for this new automatic trading idea.
I get almost the same result as you, but I need to understand something for a better comprehension, what is rangemin? Is is in pips? is it 3 or 30 pips?
With a PRT-CFD account, EURUSD is 5 decimals, so I guess we must adapt this value to the correct pip size?
I made this modification:
//------------------------------------------------------------------------- // Main code : eurusd_TF_daily //------------------------------------------------------------------------- DEFPARAM cumulateOrders = False // Cumulating positions deactivated ///parameter definition //inputs rangemin = 30 pr = 170 period = 10 dayforbiddenlong =4 dayforbiddenshort = 2 monthforbiddenlong =1 monthforbiddenshort =4 //variables mav = average[period](close) oscillator = close-mav rossa = (Dclose(0)-Dopen(0))<0 verde = (Dclose(0)-Dopen(0))>0 rangetoday = abs(Dclose(0)-Dopen(0)) //entry condition cl = oscillator > 0 cl = cl and rossa cl = cl and rangetoday > rangemin*pipsize cl = cl and dayofweek <> dayforbiddenlong and month <> monthforbiddenlong cs = oscillator<0 cs =cs and verde cs = cs and rangetoday > rangemin*pipsize cs = cs and dayofweek <> dayforbiddenshort and month <> monthforbiddenshort IF cl THEN buy 1 PERPOINT AT MARKET ENDIF if cs then sellshort 1 perpoint at market endif //exit condition set target pprofit prBelow is the test with 30 pips.
Hi Francesco
I took the liberty to optimize your code on IG prt eur/usd.
I also added a stop loss. A big chunk of the profit disappeared but the draw down is down 60%. I optimized it from year 2000 until today. Before is oos.DEFPARAM cumulateOrders = False // Cumulating positions deactivated ///parameter definition //inputs rangemin = 5 pr = 70 pl = 80 period = 7 dayforbiddenlong =4 dayforbiddenshort = 2 monthforbiddenlong =1 monthforbiddenshort =4 //variables mav = average[period](close) oscillator = close-mav rossa = (Dclose(0)-Dopen(0))<0 verde = (Dclose(0)-Dopen(0))>0 rangetoday = abs(Dclose(0)-Dopen(0)) //entry condition cl = oscillator > 0 cl = cl and rossa cl = cl and rangetoday > rangemin*pipsize cl = cl and dayofweek <> dayforbiddenlong and month <> monthforbiddenlong cs = oscillator<0 cs =cs and verde cs = cs and rangetoday > rangemin*pipsize cs = cs and dayofweek <> dayforbiddenshort and month <> monthforbiddenshort IF cl THEN buy 1 PERPOINT AT MARKET ENDIF if cs then sellshort 1 perpoint at market endif //exit condition set target pprofit pr set stop ploss plNicolas thanked this post@T-rader Cool, but that’s a range filter of about only 5 pips on a daily timeframe 🙂 What difference without it? I got almost the same result as you, but without the tick by tick option.
Below is the result I have with the tick backtest and a spread of 2 pips. Timezone is UTC 0 (default forex timezone).
Francesco78 thanked this postI might have been a little bit quick there. I tested it with 1p spread but now with 2p spread the differens between tick by tick and not tick by tick is a bit bigger…
voila’, I got rid of 2 parameters (rangemin and pr ), no zero bars now
//------------------------------------------------------------------------- // Main code : eurusd_TF_daily //------------------------------------------------------------------------- DEFPARAM cumulateOrders = False // Cumulating positions deactivated ///parameter definition //inputs period = 7 dayforbiddenlong =4 dayforbiddenshort = 2 monthforbiddenlong =1 monthforbiddenshort =4 //variables mav = average[period](close) oscillator = close-mav rossa = (Dclose(0)-Dopen(0))<0 verde = (Dclose(0)-Dopen(0))>0 //entry condition cl = oscillator > 0 cl = cl and rossa cl = cl and dayofweek <> dayforbiddenlong and month <> monthforbiddenlong cs = oscillator<0 cs =cs and verde cs = cs and dayofweek <> dayforbiddenshort and month <> monthforbiddenshort IF cl THEN buy 1 PERPOINT AT MARKET ENDIF if cs then sellshort 1 perpoint at market endif
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/12/2018 |
| Status: | Active |
| Attachments: | 9 files |
