1 Min Trading Strategy

Participant

Master

Good Day,

I have seen many people asking for a 1 min trading strategy so I decided to make one.

I personally don’t like HFT type strategies as the spread can really eat away at profits compared to a nice trend following strategy.

The strategy is based on candle formations, along with a Long/Near Moving Average Trend Check and a RSI[2] check.

The trigger is made by a Bullish (or Bearish) candle formation and if the MA and RSI checks are valid a position is opened in the direction of the trend.

Some candle patterns are counter intuitive and hence some should be commented out (this would require some testing).

It is currently configured for long only trades (although the code is included for short trades).

I don’t think it is exceptionally effective, but maybe someone here can make something worthwhile out of it.

Results on 1min for thr EUR/USD with spread set to 0.8:

Defparam cumulateorders = false

If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then
Sell at market
ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then
Exitshort at market
EndIf

body=close-open

abody=abs(body)

if range>0 then
ratio=abody/range
else
ratio=0
endif

middle=(open+close)/2

bodytop=max(open, close)

bodybottom=min(open, close)

shadowtop=high-bodytop

shadowbottom=bodybottom-low

longcandle= (ratio>0.6)

Bull = 0
Bear = 0

//Bullish Signals

MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
if MorningStar then
Bull = 1 //Positive
endif

PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1])
if PiercingLine then
Bull = 1 //None
endif

AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low)
if AbandonedBabyBottom then
Bull = 1 //None
endif

ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
if ThreeInsideUp then
Bull = 1 //Positive
endif

ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
if ThreeOutsideUp then
Bull = 1 //Positive
endif

ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1])
if ThreeWhiteSoldiers then
//Bull = 1 //Increase Drawdown
endif

ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1])
if ConcealingBabySwallow then
Bull = 1 //None
endif

BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if BullishHarami then
//Bull = 1 //Negative Impact
endif

HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if HomingPigeon then
Bull = 1 //None
endif

BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if BullishEngulfing then
Bull = 1 //Positive
endif

LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if LastEngulfingBottom then
Bull = 1 //None
endif

DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
if DragonflyDojiBottom then
Bull = 1 //None
endif

GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
if GravestoneDojiBottom then
Bull = 1 //None
endif

DojiStarBottom=(body[1]<0 AND longcandle[1] AND low<low[1] AND open<close[1] AND ratio<0.3 AND range<0.3*range[1])
if DojiStarBottom then
Bull = 1 //None
endif

BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
if BullishHaramiCross then
Bull = 1 //None
endif

ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2]  and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4)
if ThreeStarsInTheSouth then
Bull = 1  //None
endif

BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3])
if BullishBreakaway then
Bull = 1 //None
endif

Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
if Hammer then
Bull = 1 //None
endif

InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
if InvertedHammer then
Bull = 1 //None
endif

RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
if RisingThreeMethods then
Bull = 1 //None
endif

BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3])
if BullishThreeLineStrike then
Bull = 1 //None
endif

BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and  close>high[3] and close>high[2] and close>high[1])
if BullishMatHold then
Bull = 1 //None
endif

BullSash=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>close[1] AND open<open[1] AND close>open[1] AND shadowtop<0.1*abody)
if BullSash then
Bull = 1 //Positive
endif

BullSeparatingLine=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop<0.1*abody)
if BullSeparatingLine then
Bull = 1 //None
endif

BullishCounterAttack=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND close<=close[1])
if BullishCounterAttack then
Bull = 1 //None
endif

BullishKicking=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop=0 AND shadowbottom=0)
if BullishKicking then
Bull = 1 //None
endif

//Bearish Signal

EveningStar=(body[2]>0 AND body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close)
if EveningStar then
Bear = 1
endif

DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1])
if DarkCloudCover then
Bear = 1
endif

AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high)
if AbandonedBabyTop then
Bear = 1
endif

ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishharami[1] and close<close[1])
if ThreeInsideDown then
Bear = 1
endif

ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishengulfing[1] and close<close[1])
if ThreeOutsideDown then
Bear = 1
endif

ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])
if ThreeBlackCrows then
Bear = 1
endif

UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2])
if UpsideGapTwoCrows then
Bear = 1
endif

BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if BearishHarami then
Bear = 1
endif

DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
if DescendingHawk then
Bear = 1
endif

BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if BearishEngulfing then
Bear = 1
endif

LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if LastEngulfingTop then
Bear = 1
endif

DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
if DragonflyDojiTop then
Bear = 1
endif

GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
if GravestoneDojiTop then
Bear = 1
endif

DojiStarTop=(body[1]>0 AND longcandle[1] AND high>high[1] AND open>close[1] AND ratio<0.3 AND range<0.3*range[1])
if DojiStarTop then
Bear = 1
endif

BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
if BearishHaramiCross then
Bear = 1
endif

AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1])
if AdvanceBlock then
Bear = 1
endif

TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2])
if TwoCrows then
Bear = 1
endif

BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3])
if BearishBreakaway then
Bear = 1
endif

ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
if ShootingStar then
Bear = 1
endif

HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
if HangingMan then
Bear = 1
endif

FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1])
if FallingThreeMethods then
Bear = 1
endif

BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3])
if BearishThreeLineStrike then
Bear = 1
endif

BearishMatHold=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and close[3]<close[4] and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1])
if BearishMatHold then
Bear = 1
endif

BearSash=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open>open[1] AND open<close[1] AND close<open[1] AND shadowbottom<0.1*abody)
if BearSash then
Bear = 1
endif

BearSeparatingLine=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowbottom<0.1*abody)
if BearSeparatingLine then
Bear = 1
endif

BearishCounterAttack=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND close>=close[1])
if BearishCounterAttack then
Bear = 1
endif

BearishKicking=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowtop=0 AND shadowbottom=0)
if BearishKicking then
Bear = 1
endif

//Entry/Exit Criteria

possize = 1

NearMA = Average[7,2](close)

If countofposition = 0 and Bull = 1 and NearMA[1] > NearMA[3] and RSI[2](close) > 75 and NearMA > Average[150,2](close) Then
//If shortonmarket Then
//Exitshort at market
//EndIf
Buy possize contract at market
EndIf

If countofposition = 0 and Bear = 1 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close) Then
//If longonmarket Then
//Sell at market
//EndIf
//Sellshort possize contract at market
EndIf

Set Target pProfit 8
Set Stop pLoss 100

EURUSD-1min.jpg

07/14/2017 at 8:24 AM #40607 quote

Participant

Average

hello !

Thank you for sharing !

Have you tested with WF ? Why not activate the sell ?

thanks !

07/14/2017 at 8:44 AM #40608 quote

Participant

Average

I try to test it but I have the division by zero problem on this strategy 🙂

07/14/2017 at 9:41 AM #40614 quote

Participant

Master

I checked the optimisation (good) and tried the SellShort (not great, but maybe we can improve?) and I’ve set it going Live … it’s okay I’ll watch it as soon as it triggers.

It would be useful and interesting if (somehow easily?) we could GRAPH which of the candle patterns has formed at Trade entry. I guess you’d need Bull 1, Bull2, Bull 3 … etc and then use DRAWTEXT? And then GRAPH Bull 1 OR Bull 2 … etc (if even allowed?). Naah not worth the effort, just a few thoughts anyway?

Many Thanks for your inspiration, time and effort and sharing with us all juanj
Regards
GraHal

PS I’ll let you know if I get the divide by zero error TheAccountant.

TheAccountant thanked this post

07/14/2017 at 10:06 AM #40621 quote

Participant

Average

this is the backtest with 200k :

eurusd-m1.png

07/14/2017 at 12:32 PM #40633 quote

Participant

Master

As promised TheAccountant … above Bot (with no changes) triggered a Live Trade with NO divide by zero error.

TheAccountant thanked this post

07/14/2017 at 12:45 PM #40635 quote

Participant

Master

I have been thinking about the whole idea of a 1 min (scalping type strategy) and the important factors to consider should be as follow:

In Direction of Primary Trend i.e. Long above and Short below 100-250MA (Long MA)
In Direction of Near Trend i.e Near MA pointing in direction of Trade
Strong Momentum i.e. RSI and or Stachastic in Overbough/Oversold area
Good Trigger i.e. Reliable Candle Stick Pattern
Small Target (i.e. <= ATR)

Also worth pointing out would be to use a market with a small spread <= 0.8

I believe my strategy over complicates the above.

Instead of using a whole library of candle patterns lets identify 1 to 3 ‘reliable’ ones such as the recent Hammer-Negated pattern posted by Francesco.

Also lets use confluence of Momentum Indicators such as Stochastic and RSI to identify strong Momentum

And finally using ATR to identify a likely Target

I don’t have the time right now to try this but will look into it sometime this weekend.

07/14/2017 at 1:02 PM #40640 quote

Participant

Master

Good and logical ideas juanj!

it would seem sensible to use those candle patterns that are statistically proven to be the most reliable in predicting market direction after the pattern formed.

I’ll find some links for above and post on here.

Cheers
GraHal

07/14/2017 at 3:12 PM #40653 quote

Participant

Master

Okay so I got distracted by the idea and ended up coding something in line with the above logic.

Code is for Long only but pretty sure we can adapt it to be bi-directional.

I really like the results and think we are onto something here! EUR/USD (spread 0.8):

//Stategy: Scalping Candles
//Market: EUR/USD
//Timeframe: 1min
//Spread: 0.8
//Author: Juan Jacobs (Jd3gjacobs@gmail.com)

Defparam cumulateorders = false

If longonmarket and close < positionprice and (barindex-tradeindex) > 720 Then //Time Stop set to 12 hours
Sell at market
EndIf

//Candle Paramaters

body=close-open

abody=abs(body)

if range>0 then
ratio=abody/range
else
ratio=0
endif

bodytop=max(open, close)

bodybottom=min(open, close)

shadowtop=high-bodytop

longcandle= (ratio>0.6)

Bull = 0

//Bullish Signals

BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])

MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
if MorningStar then
Bull = 1 //Positive
endif

ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
if ThreeInsideUp then
Bull = 1 //Positive
endif

ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
if ThreeOutsideUp then
Bull = 1 //Positive
endif

BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
if BullishEngulfing then
Bull = 1 //Positive
endif

BullSash=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>close[1] AND open<open[1] AND close>open[1] AND shadowtop<0.1*abody)
if BullSash then
Bull = 1 //Positive
endif

If (high - low) = 0 Then //Prevents potential division by zero
HiLo = 1
Else
HiLo = (high - low)
EndIf

HammerUp = min(open[1],close[1])>high[1]-(high[1]-low[1])/3
HammerUpNeg= max(open,close)<min(open[1],close[1]) and abs(open-close)/HiLo>0.5 //Bullish Hammer Negated = Bearish (used for exit signal)
HammerDown = max(open[1],close[1])<low[1]+(high[1]-low[1])/3
HammerDownNeg = min(open,close)>max(open[1],close[1]) and abs(open-close)/HiLo>0.5 //Bearish Hammer Negated = Bullish (used for exit signal)

If HammerUp and HammerUpNeg Then
//Bull = 0
ElsIf HammerDown and HammerDownNeg Then
Bull = 1
EndIf
 
dojibull2 = open[2]<close[2] and abs(open[2]-close[2])/(high[2]-low[2])<0.6
dojibull1 = open[1]<close[1] and abs(open[1]-close[1])/(high[1]-low[1])<0.6
dojibear2 = open[2]>close[2] and abs(open[2]-close[2])/(high[2]-low[2])<0.6
dojibear1 = open[1]>close[1] and abs(open[1]-close[1])/(high[1]-low[1])<0.6
hammerup2 = min(open,close)>high-(high-low)/2 //and max(open,close) < min(open[1],close[1])
hammerdown2 = max(open,close)<low+(high-low)/2 //and max(open,close)<min(open[1],close[1])//and timeok

If (dojibull2 and dojibull1) and hammerdown2 Then
Bull = 1
ElsIf  (dojibear2 and dojibear1) and hammerup2 Then
//Bull = 0
EndIf

//Entry/Exit Criteria

possize = 1

ATR = AverageTrueRange[4](close)
LongMA = Average[50,2](close)
NearMA = Average[6,2](close)
RSIChk = RSI[4](close) >= 80
StoChk = Stochastic[14,3](close) >= 75

If countofposition = 0 and Bull = 1 and close > LongMA and NearMA > LongMA and LongMA[1] > LongMA[20] and NearMA[1] > NearMA[3] and ATR[1] > ATR[2] and RSIChk and StoChk Then
Buy possize contract at market
EndIf

Set Target $profit 125
Set Stop $Loss 250

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EURUSD-1min-1.jpg

EURUSD-1min-2.jpg

07/14/2017 at 8:13 PM #40666 quote

Participant

Average

It’s weird I do not have the same results at all ! It’s not bad but it’s different ! 🙂

I can test on 200k but it will be necessary that we have the same results on 100k first lol

test1.png

test2.png

07/14/2017 at 8:38 PM #40671 quote

Participant

Master

Have you got 0.8 spread set (same as juanj) on the backtest engine?

Also I don’t think juanj has stated exactly what instrument he is testing on … CFD or spreadbet etc??

I couldn’t get same results as juanj either.

Let’s keep at it now we are gaining momentum? So many of these collaborative / improvement projects seem to fall over?

Thanks
GraHal

07/14/2017 at 8:58 PM #40675 quote

Participant

Master

Hi, I suspect it could have something to do with the stop/target being specified in $profit and $loss instead of Pprofit and Ploss. Perhaps we should standardize to points x*pipsize.

TP = x*pipsize

SL = TP*2

Set Target pProfit TP

Set Stop pLoss SL

For the record it is standard CFD.

07/14/2017 at 9:20 PM #40678 quote