ATR Crossover EUR/USD 5min
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Hi, I want to share my first simple EUR/USD (mini) 5 min Strategy, based on the ATR and two Moving Averages. As you can see it reacts to the recurring ATR pattern, when the EU Session starts, some Volume and Volatility came into the Market. It Trades Long, when the ATR Crosses above 0,0003 and the moving averages are positiv. It Trades Short, when the ATR Crosses above 0,0003 and the moving averages are negativ. I test it with a 1,5 Spread.
I also test the Strategie with the following parameters:
ATR (14)
Stop 40
Profit 40It is slightly worse than the current parameters, but it has not such a Drawdown at the end. Unfortunately I can not make a longer backtest. If someone has the possibility, I would be very happy, also if someone had good ideas to optimize it. 🙂
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Das Handelssystem wird um 0:00 Uhr alle pending Orders stornieren und alle Positionen schließen. Es werden vor der "FLATBEFORE"-Zeit keine neuen Orderaufträge zugelassen. DEFPARAM FLATBEFORE = 080000 // Stornieren aller pending Orders und Schließen aller Positionen zur "FLATAFTER"-Zeit DEFPARAM FLATAFTER = 210000 // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit noEntryBeforeTime = 080000 timeEnterBefore = time >= noEntryBeforeTime // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit noEntryAfterTime = 153000 timeEnterAfter = time < noEntryAfterTime // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Bedingungen zum Einstieg in Long-Positionen indicator1 = AverageTrueRange[5](close) c1 = (indicator1 CROSSES OVER 0.0003) indicator2 = Average[10](close) indicator3 = Average[20](close) c2 = (indicator2 > indicator3) IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Bedingungen zum Einstieg in Short-Positionen indicator4 = AverageTrueRange[5](close) c3 = (indicator4 CROSSES OVER 0.0003) indicator5 = Average[10](close) indicator6 = Average[20](close) c4 = (indicator5 < indicator6) IF (c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Stops und Targets SET STOP pLOSS 36 SET TARGET pPROFIT 54Thanks for the qick reply. Yes, it would be nice if it will be discussed. 🙂 During the construction, I also tried just a ptrailingstop. But it didn’t work well. What do you mean exactly with “dynamic” Stop or Profit? Stop by an other indikator, ATR, or Trendstop at point3, etc. ? … or more then one Profittarget? Maybe I have to look at it a little bit closer again, it looks that it close its actual position when the next signal comes (screenshot). Maby I could change something at this point, or maby it needs a just a simple 200 sma.
… oh I am sorry: that was the wrong screenshot here is the correct one:
I think my knowledge for an coding an ATR Stop is not enough at the moment. I looked at some Threads, and find some snippets from this post.
But i dont know it is the right way, maby i need some help, or just a small note.
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Das Handelssystem wird um 0:00 Uhr alle pending Orders stornieren und alle Positionen schließen. Es werden vor der "FLATBEFORE"-Zeit keine neuen Orderaufträge zugelassen. DEFPARAM FLATBEFORE = 080000 // Stornieren aller pending Orders und Schließen aller Positionen zur "FLATAFTER"-Zeit DEFPARAM FLATAFTER = 210000 // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit noEntryBeforeTime = 080000 timeEnterBefore = time >= noEntryBeforeTime // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit noEntryAfterTime = 153000 timeEnterAfter = time < noEntryAfterTime // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 price = close atr = averagetruerange[5]*2 triggerB = price+atr triggerS = price-atr // Bedingungen zum Einstieg in Long-Positionen indicator1 = AverageTrueRange[5](close) c1 = (indicator1 CROSSES OVER 0.0003) indicator2 = Average[10](close) indicator3 = Average[20](close) c2 = (indicator2 > indicator3) IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 share at triggerB stop ENDIF // Bedingungen zum Einstieg in Short-Positionen indicator4 = AverageTrueRange[14](close) c3 = (indicator4 CROSSES OVER 0.0003) indicator5 = Average[10](close) indicator6 = Average[20](close) c4 = (indicator5 < indicator6) IF (c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 share at triggerS stop ENDIF // Stops und Targets SET STOP pLOSS atr SET TARGET pPROFIT 15
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 07/03/2017 |
| Status: | Active |
| Attachments: | 4 files |
