Backtest FX Strategy

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  • #207085 quote
    Philley
    Participant
    New

     

    Currently using the below screener to check for large moves on Fridays in FX pairs. I need to add the following parameters:

    1. – Price above BB in uptrend or below BB in downtrend (Daily)
    2. – RSI Above 65 in uptrend or below 35 in downtrend (Daily)
    3. – Price at highest weekly close in uptrend or lowest weekly close in downtrend (Daily)

     

     

    Signal = 0
     
    If DayOfWeek = 5 and OpenTime = 080000 then
    xOpen080000 = Open
    ElsIf DayOfWeek = 5 and OpenTime = 210000 then
    xClose210000 = Close
    EndIf
     
    xMovedown = ((xOpen080000 - xClose210000) / xOpen080000)
    xMoveUp = ((xClose210000 - xOpen080000) / xOpen080000)
     
    If xMovedown > xPercent then
    Signal = 1
    Elsif xmoveUp > xpercent then
    Signal = 1
    EndIf
     
    Screener[Signal]
    #207088 quote
    JS
    Participant
    Veteran

    Hi @Philey

    Here is the screener…

    You can set the periods of the different signals (Bollinger, RSI, Highest, Lowest) yourself…

    TimeFrame(Daily)
    S1=BollingerUp[5](close)
    S2=BollingerDown[5](close)
    S3=RSI[5](close)
    S4=Highest[5](Close)
    S5=Lowest[5](Close)
    
    TimeFrame(1 hour)
    Signal=0
    xPercent=1 //Minimal 1% move
     
    If DayOfWeek = 5 and OpenTime = 080000 then
    xOpen080000 = Open
    ElsIf DayOfWeek = 5 and OpenTime = 210000 then
    xClose210000 = Close
    EndIf
     
    xMove = ((xClose210000 - xOpen080000) / xOpen080000)*100
    
    C1=xMove>= xPercent
    C2=xMove<= -xPercent
    C3=xClose210000>S1
    C4=xClose210000<S2
    C5=S3>65
    C6=S3<35
    C7=xClose210000>=S4
    C8=xClose210000<=S5
    
    If C1 and C3 and C5 and C7 then
    Signal=1
    ElsIf C2 and C4 and C6 and C8 then
    Signal=2
    EndIf
     
    Screener[Signal](Signal as "1=Long, 2=Short")

    Scherm­afbeelding-2023-01-08-om-22.40.48.png Scherm­afbeelding-2023-01-08-om-22.40.48.png
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Backtest FX Strategy


ProScreener: Market Scanners & Detection

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Philley @philley Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by JS
3 years, 2 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 01/08/2023
Status: Active
Attachments: 1 files
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