Bollinger Bounce – Tweezer Strategy – Dax 1h

• 01/30/2017 at 9:01 AM #23014
  StantonR

  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

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  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

  

  StantonR

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  01/30/2017 at 9:25 AM #23026
  Nicolas

  Thanks Stanton to share it with us.

  I see you are using 2 different kind of stoploss in the strategy :

  <span class="token keyword">SET STOP</span> <span class="token keyword">PLOSS</span> <span class="token number">10</span> <span class="token keyword">SET STOP</span> PTRAILING <span class="token number">10 </span>

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  <span class="token keyword">SET STOP</span> <span class="token keyword">PLOSS</span> <span class="token number">10</span> <span class="token keyword">SET STOP</span> PTRAILING <span class="token number">10 </span>

  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)

  

  Nicolas

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  01/30/2017 at 9:45 AM #23030
  StantonR

  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

   

  

  StantonR

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  01/31/2017 at 8:51 AM #23193
  StantonR

  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

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  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

   

  

  StantonR

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  01/31/2017 at 9:35 AM #23198
  Nicolas

  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.

  

  Nicolas

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  01/31/2017 at 7:15 PM #23317
  GraHal

  Hi Stanton

  What do you get with AUD/USD 1H TF over 100000 bars? I get attached?

  Cheers
  GraHal

  

  GraHal

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  01/31/2017 at 7:42 PM #23322
  StantonR

  Hi GraHal

  I get similar results I use $1000 starting capital

  Thanks

   

   

  

  StantonR

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  01/31/2017 at 7:53 PM #23325
  StantonR

  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.

   

  

  StantonR

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  01/31/2017 at 8:55 PM #23343
  GraHal

  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

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  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

   

  

  GraHal

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  02/06/2017 at 1:53 PM #24103
  CN

  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?

  

  CN

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  02/07/2017 at 10:27 AM #24178
  CN

  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

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  //------------------------------------------------------------------------- // 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

   

  

  CN

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  02/07/2017 at 11:10 AM #24189
  StantonR

  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

   

  

  StantonR

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  02/07/2017 at 11:58 AM #24197
  StantonR

  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

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  //------------------------------------------------------------------------- // 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

  

  StantonR

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  02/07/2017 at 1:23 PM #24206
  GraHal

  @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

  

  GraHal

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  02/07/2017 at 1:29 PM #24208
  CN

  @StantonR, Could you clarify?

  @Nicholas, what is wrong with the TSL?

  

  CN

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