Hi There
I have been trading a strategy on Forex but back-tested it on Dax with some surprising results.The strategy was originally developed for small accounts. I would like to start implementing it in live trading but would like some validation before taking it live.
The strategy is very basic :
Long Entrytweezer topbreak above bollinger band
Short EntryTweezer bottombreak below bollinger band
DEFPARAM CumulateOrders = False
DEFPARAM preloadbars = 150
// Position is closed at 20h00 PM
DEFPARAM FlatAfter = 200000
tweezerTop = ABS(High -(High[1]))<= High * 0.0025
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0025
bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
Boll = 20
Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)
BolliLong = (low < Boldown) and tweezerBottom and bullindicator
Bolishort = (high > Bolup) and tweezerTop and bearindicator
IF NOT LongOnMarket AND BolliLong THEN
BUY 1 CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort THEN
SELLSHORT 1 CONTRACTS AT MARKET
ENDIF
SET STOP PLOSS 10
SET STOP PTRAILING 10
Thanks Stanton to share it with us.
I see you are using 2 different kind of stoploss in the strategy :
SET STOP PLOSS 10
SET STOP PTRAILING 10
ProOrder will not accept them together, you’ll need to define if you want to use the trailing stop of the stoploss functionnality. I know it works under ProBacktest, but IG servers will not operate with these 2 different instructions at the same time.
Did you test the strategy in tick by tick mode already? (v10.3)
Hi Nicolas
I tested in version 10.3 with tick by tick data and the results didnt work.
I fell into that noob trap of the 0 bars issues.
I am busy refining the strategy on 10.3 now will post when I have better results
Hi There
Code has been optimize , thanks Nicolas for your trailing stop functionality.
Works well with AUDUSD can be optimized to work with most types of instruments.
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
DEFPARAM preloadbars = 150
n = 1
tweezerTop = ABS(High -(High[1]))<= High * 0.0075
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075
bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
Boll = 20
Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)
BolliLong = (low < Boldown) and tweezerBottom and bullindicator
Bolishort = (high > Bolup) and tweezerTop and bearindicator
IF NOT LongOnMarket AND BolliLong THEN
BUY n CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort THEN
SELLSHORT n CONTRACTS AT MARKET
ENDIF
//trailing stop function
trailingstart = 10 //trailing will start @trailinstart points profit
trailingstep = 5 //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
This kind of strategy is pretty most the start of many more improvements for a pure mean reversion based theory of the current price behaviour.
Since you are not with the trend, you bet on the price to revert to its mean, because it has too much derived from it, price break Bollinger bands .. blablabla 🙂 Scenarios that work well in ranging market (both sides) or in the same trend as a narrowed channel.
Hi Stanton
What do you get with AUD/USD 1H TF over 100000 bars? I get attached?
Cheers
GraHal
Hi GraHal
I get similar results I use $1000 starting capital
Thanks
As Nicolas said it will work in ranging markets.
So my next step is to identify a range and if it breaks above or below the range get out to avoid losses.
I’m not great at coding and may do stuff that’s a bit maverick 🙂 I rem’d out the exits and got a better equity curve – top curve below.
Then I amended as below and got the 2nd curve, less drawdown. Apologies if it’s counter your strategy, but may spark a few ideas? Curves below are with 0.6 spread; I need to check what AUD/USD spread is out of hours?
IF NOT LongOnMarket AND BolliLong and SMI[14,3,5](close) < 45 THEN
BUY n CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort and SMI[14,3,5](close) > 45 THEN
SELLSHORT n CONTRACTS AT MARKET
ENDIF
Cheers
GraHal
CNParticipant
Senior
Looks intresting, put the aud/usd version in mini at live to try it out.
It does not have the issue with TSL as the scalp algo that raul made?
CNParticipant
Senior
Ok, So i’m ITM 50$ atm but the SL is at 15$. Why is that and why is the trailing stop not working?
//-------------------------------------------------------------------------
// Main code : BB AUD/USD
//-------------------------------------------------------------------------
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
DEFPARAM preloadbars = 150
n = 1
tweezerTop = ABS(High -(High[1]))<= High * 0.0075
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075
bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
Boll = 20
Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)
BolliLong = (low < Boldown) and tweezerBottom and bullindicator
Bolishort = (high > Bolup) and tweezerTop and bearindicator
IF NOT LongOnMarket AND BolliLong THEN
BUY n CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort THEN
SELLSHORT n CONTRACTS AT MARKET
ENDIF
//trailing stop function
trailingstart = 10 //trailing will start @trailinstart points profit
trailingstep = 5 //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
Hi There
The code I used for the trailing stop was taken from Nicolas and I have not properly debugged it yet.
Might just be easier to use ptrailing
Hi There
Have optimized the bolibounce strategy for EUR/USD
You can use this and just optimise / use variables to find the right combination of stops and trailing for other forex pairs.
//-------------------------------------------------------------------------
// Main code : BB EURUSD 1H
//-------------------------------------------------------------------------
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
DEFPARAM preloadbars = 150
n = 2
tweezerTop = ABS(High -(High[1]))<= High * 0.0075
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075
bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
smiind = SMI[14,3,5](close)
Boll = 20
Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)
BolliLong = (low < Boldown) and tweezerBottom and bullindicator and smiind < 45
Bolishort = (high > Bolup) and tweezerTop and bearindicator and smiind > 45
IF NOT LongOnMarket AND BolliLong THEN
BUY n CONTRACTS AT MARKET
ENDIF
// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort THEN
SELLSHORT n CONTRACTS AT MARKET
ENDIF
SET STOP pLOSS 10 pTRAILING 10
Sorry ignore above cant do this on prorealcode
@Stanton Only way I can get same results as you above is with nil / zero spread and tick-tick unchecked.
Also isn’t the ploss 10 redundant as the ptrailing 10 would do the same job at 10 points loss and as soon as the TS starts to follow the price then the ploss is out of the game? Or am I missing something?
Cheers
GraHal
CNParticipant
Senior
@StantonR, Could you clarify?
@Nicholas, what is wrong with the TSL?
