Bearish gap MM50 High/low strategy

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  • #39028 quote
    turame
    Participant
    Master

    Hello  everybody !

    I’d like to share my first strategy so please, be lenient and don’t hesitate to comment it.

    The principle is playing gap down only, no bullish. We sell (or not) just before the market close on Friday and we exitshort on Sunday at the open market.We have to sell only because there are more probability to have a big gap down than a big gap up. The filter is a moving average 50 high and low :

    • If the market close over the MM50 high, we estimate that the market will do a correction at the next open market
    • If the market close under the MM50 low, we immediately close the position.
    • No trade between the channel

    Good trades !

    //EUR/USD
    //TF : 5MIN
    //SPREAD : 1.5
    
    // Définition des paramètres du code
    DEFPARAM CumulateOrders = False // Cumul des positions désactivé
    // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
    DEFPARAM FLATBEFORE = 220000
    
    // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
    daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 2 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 4
    
    // Conditions pour ouvrir une position en vente à découvert
    indicator1 = Average[50](high)
    c1 = (close CROSSES OVER indicator1)
    
    IF c1 AND not daysForbiddenEntry THEN
    SELLSHORT 1 CONTRACT AT MARKET
    ENDIF
    
    // Conditions pour fermer une position en vente à découvert
    indicator2 = Average[50](low)
    c2 = (close CROSSES UNDER indicator2)
    
    IF c2 THEN
    EXITSHORT AT MARKET
    ENDIF
    
    // Stops et objectifs
    SET STOP pLOSS 30
    SET TARGET pPROFIT 8
    Eric thanked this post
    screen-shot-14984595928cpl41.png screen-shot-14984595928cpl41.png Statistiques1.png Statistiques1.png PERFORMANCE-11.png PERFORMANCE-11.png
    #39038 quote
    Nicolas
    Keymaster
    Master

    Hi Turame, thanks for posting your strategy. I moved it from the pending review of the library to this topic instead to discuss about it:

    You found a recurring pattern that works through the last maximum history and that’s clever. However, I’d like to point you to some problems that may occurred with gaps in real life trading, things that the backtester can not simulate. Sometimes, if the gap is wider than your stoploss, the loss encountered could be worse than the one coded in the system (30 pips in this case), and vice-versa for takeprofit.

    There is also overnight / overweekend fees that should consider, here is that I found on IG website:


    Forex and spot metals

    For forex and spot metals deals, we charge the tom-next rate plus a small admin fee (no more than 0.0022% per day).


     

    Once again, thanks for sharing your discover, this recurring pattern is very interesting! 🙂

    Francesco78 thanked this post
    #39137 quote
    Eric
    Participant
    Master

    nice work,

    maybe you can try if the gap will be closed later?

    https://www.whselfinvest.com/en/trading_strategies_54_gap_close_forex_free.php

    #39146 quote
    Francesco78
    Participant
    Master

    Nice, what happens if you move the stop to the sky? let’s say 1000

    if that doesnt affect the outcome it means that we will not incurr in the issue described by Nicolas

    #39177 quote
    turame
    Participant
    Master

    Thank you everybody for your useful comments !


    @Nicolas
    : Thanks for those points I missed. I backtested again with additional taxes (5% per trade to be large) and the results are almost the same. You can see the picture below.


    @Eric
    : It’s an interesting way, but I backtested it and I’m afraid because the results are quite identical… Good try !


    @Francesco78
    : It’s a good test to do ! If you test with a SL around 1000, the results are almost the same. Please see the picture below.

    I didn’t precise that the strategy works for lots of currency pairs.

    Francesco78 thanked this post
    WITH-5-TAXE-PER-TRADE.png WITH-5-TAXE-PER-TRADE.png WITH-SL-1000.png WITH-SL-1000.png
    #39181 quote
    Francesco78
    Participant
    Master

    Thank you Turame, I really like your idea, is the profit target optimized?

    #39196 quote
    turame
    Participant
    Master

    The TP is not optimized for the best performance but for a best visual equity curve and a minimum drawdown. I confesse I didn’t try the walk forward to test the robustness.

    I’d like to improve the strategy with other idea before walk forwarding it ! I have the conviction there is a way to improve it, but I’m still waiting the famous EUREKA !!! 🙂

    #39300 quote
    TheAccountant
    Participant
    Average

    hi ! thanks for sharing ! with aud/cad = 82% wins and 10,60 de RR… i will test on demo account 🙂

    #39319 quote
    TheAccountant
    Participant
    Average

    Oups… I did not have the good Spread … sorry ! 🙂

    #39329 quote
    turame
    Participant
    Master

    @TheAccountant : You’re well-inspired to test on demo way in order to trust the strategy. I use it on my real account still 2-3 months, and it’s really like the backtest. The small difference was found by Nicolas with additionals taxes I forgot.

    Enjoy your trades !

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Bearish gap MM50 High/low strategy


ProOrder: Automated Strategies & Backtesting

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turame @turame Participant
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This topic contains 9 replies,
has 5 voices, and was last updated by turame
8 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/26/2017
Status: Active
Attachments: 5 files
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