Buy at Support system

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08/21/2017 at 12:57 PM #44300 quote

Huw
Participant

Average

Hi Everyone, Here is a simple market neutral strategy. It identifies the seven day low on a 5 min timeframe and buys the index. It then sells at a quarter of the distance between support and resistance. The attached images are of a comparison of buy and hold, buy in October sell in May and buy on Monday sell on Friday. It beats them all. Please note though that it only has just over a year of data and is set up for the ASX. You can change it to any other index by changing the contract size. You can also modify it to any other timeframe by changing the parameter T to the timeframe you wish to use.

Derek, dreads, Nicolas and mamio thanked this post

Screenshot-from-2017-08-21-21-32-31.png Screenshot-from-2017-08-21-21-40-17.png buy-on-support.itf

09/04/2017 at 1:34 PM #45363 quote

dreads
Participant

Junior

Hi Huw,

Have you tried it on Forex? It looks promising unless I’ve made a mistaking back-testing it (I’m new at this). I’m running some pairs on demo to see how it goes.

Buy-at-Support-AUDCAD.jpg

09/04/2017 at 10:50 PM #45431 quote

Huw
Participant

Average

Hi Dreads,

Buy on support tends to work in an up trending market. Given that equities trend upwards over time then it tends to work a little better than buy and hold because it spends a bit less time in the market and rides a bit more of the volatility

I’ve toyed with it on forex using a 100 pip stop loss in a daily time frame and only taking trades when the 50, 100 and 200 moving averages are aligned. I can post the code here in the next day or two. I wouldn’t like to run a forex strategy without a stop loss though and would advise against it.

Thanks for your reply, I was beginning to think nobody was interested in this strategy. I’m sure it can be improved by some of the more seasoned traders and coders.

09/04/2017 at 11:23 PM #45435 quote

dreads
Participant

Junior

I usually go to the ProOrder section for automated strategies, so people might not have seen your thread here.

09/10/2017 at 11:45 AM #45866 quote

Huw
Participant

Average

Hi Dreads, I’ve put some moving averages in but I think the system could maybe do with a better dynamic stop loss and a dynamic take profit. Still looks alright though.

dreads thanked this post

buy-on-support-Forex.itf USD-Mini-.png

09/10/2017 at 11:52 AM #45871 quote

Huw
Participant

Average

Hi All, I have a system to take trades on a seven day support and then takes profit on a 25% retracement to a recent high. The numbers look fairly good and the time in market looks ok too. My concern is I have no stop loss and the take profit is a bit static too. Just wondering if anybody has suggestions for a better dynamic stop loss and take profit which can also take into account a relatively large swing?

Huw

buy-on-support.itf buy-on-support-Forex-1.itf Screenshot-from-2017-08-21-21-32-31.png Screenshot-from-2017-08-21-21-40-17.png

09/10/2017 at 12:15 PM #45878 quote

Nicolas
Keymaster

Master

Topics moved to ProOrder support and merged together.

09/10/2017 at 12:20 PM #45879 quote

dreads
Participant

Junior

Thanks, it looks good. I’m going to be testing this is demo for the next couple of weeks, I’ll let you know how it goes.

09/24/2017 at 8:30 AM #47101 quote

Huw
Participant

Average

Hi Dreads,

Please see the attached. I’ve modified the system to take shorts when the averages switch. I’ve also put a volatility stop loss in. I’ve left the three variables to optimise which are the amount of retracement for the long and short sides and an extra stop loss that exits a long position if the price drops too far below the support level. This works on backtests for every instrument across every time frame. To work on a one hour just switch out the variable of 60*24 to 60, if you want it for 5 mins then switch to 5. I’m going to run a few of these in demo first then maybe run in live if they work well.

Nicolas and Marlon thanked this post

France-40-Cash-€2-.png USD-Mini-1-1.png buy-on-support-optimiser-daily.itf

09/24/2017 at 10:22 AM #47117 quote

Despair
Blocked

Master

Hi Huw,

Just had a look at your code and noticed that you have no similar exit condition for short trades like for long trades. Is this on purpose?

09/24/2017 at 10:34 PM #47167 quote

Huw
Participant

Average

Hi Dispair, yes it’s correct. I tried to code it but the volatility stop seemed to work best for short trades on the back tests. The strategy still needs some work but I think I’m heading in the right direction. Any ideas or suggestions welcomed

09/25/2017 at 9:43 AM #47189 quote

Despair
Blocked

Master

Results improve some if you change the lookback period to 5 days (1 week of trading days) instead of 7.

09/25/2017 at 10:18 PM #47316 quote

Huw
Participant

Average

Thanks for the tip despair. I’ve started a couple of these systems on my demo account on different time frames. I also took out the stop based on the price moving below the support by a certain % and left only the atr stop. I toyed with entering a long or a short if the price moves a certain% in the wrong direction but it doesn’t seem to work very well on the back test.
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