The Chikou + Bollinger strategy

• 02/26/2018 at 6:35 PM #63983
  Doctrading

  Hi all,

  I hope you are fine, since the last time.
  Here is a simple strategy using 3 trend indicators :
  – a moving average
  – Bollinger bands
  – the chikou of Ichimoku

  The rules are simple :
  LONG if :
  – close > the simple moving average
  – close crosses over the upper Bollinger limit
  – chikou crosses over the upper Bollinger
  SHORT if : inverted conditions

  For closing the trades :
  – 1st option : you are always in position, you go long or short, that’s all
  – 2nd option : you close the trade earlier, if the close crosses under the upper Bollinger

  As this stratety uses 3 trend indicators, it’s obvious that it’s performing well with trending markets.
  The results are better with optimized variables :
  – period of the Bollinger (B)
  – standard deviation of the Bollinger (D)
  – period of the moving average (M)

  Results are quite good on some stocks / index / forex pairs. It works best on high timeframes, but can be efficient on smaller timeframes.

  The screenshot shows the result on EUR/USD, daily timeframe (with optimized variables, and the 2nd option for closing the trades)
  Nice profit factor > 4,2

  Of course, you can say (and you should be right) that it could be overoptimized.
  But this strategy shows that it can work well on most of the markets tested.

  You can test and adapt it, I’m sure that some other work can make it a very profitable strategy.

  Best regards
  

  1

  

  Doctrading

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  02/26/2018 at 6:48 PM #64002
  AlienSurfer

  Thank you for sharing, but I do not understand why you take time to post strategies that you know to be well overoptimized ???
  It’s actually very simple to find performances with ratios higher than 4 as you stipulate using the optimizer platform … There is now the tool of Walk Forward, it should be used for you to understand what it serves and that it represents the basis of any strategy development if it is used optimization.
  I know it’s not easy when you start 🙂 Good luck!

  

  AlienSurfer

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  02/26/2018 at 8:07 PM #64011
  Nicolas

  Hi, I moved the post in forums to discuss about the optimization, but it seems that the code has disappeared during the process. Sorry, could you please post it again? Thanks.

  1 user thanked author for this post.

  mr.brymas

  

  Nicolas

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  02/26/2018 at 8:38 PM #64017
  Doctrading

  Here it is,

  Best regards

   

  Defparam cumulateorders = false // Taille des positions n = 1 <span style="color: #0000ff;">// VARIABLES </span>//B : période de la Bollinger //D : déviation standard //M : valeur de la moyenne mobile BollUp = Average[B](close)+D*std[B](close[26]) BollDown = Average[B](close)-D*std[B](close[26]) MM = average[M](close) // LONG IF close crosses over BollUp and close > MM THEN buy n shares at market ENDIF <span style="color: #ff0000;">// SORTIE OPTIONNELLE </span>IF close crosses under Average[B](close)+D*std[B](close) THEN sell at market ENDIF // SHORT IF close crosses under BollDown and close < MM THEN sellshort n shares at market ENDIF <span style="color: #ff0000;">// SORTIE OPTIONNELLE </span>IF close crosses over Average[B](close)-D*std[B](close) THEN exitshort at market ENDIF

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  Defparam cumulateorders = false   // Taille des positions n = 1   <span style="color: #0000ff;">// VARIABLES </span>//B : période de la Bollinger //D : déviation standard //M : valeur de la moyenne mobile   BollUp = Average[B](close)+D*std[B](close[26]) BollDown = Average[B](close)-D*std[B](close[26]) MM = average[M](close)   // LONG IF close crosses over BollUp and close > MM THEN buy n shares at market ENDIF   <span style="color: #ff0000;">// SORTIE OPTIONNELLE </span>IF close crosses under Average[B](close)+D*std[B](close) THEN sell at market ENDIF   // SHORT IF close crosses under BollDown and close < MM THEN sellshort n shares at market ENDIF   <span style="color: #ff0000;">// SORTIE OPTIONNELLE </span>IF close crosses over Average[B](close)-D*std[B](close) THEN exitshort at market ENDIF

  

  Doctrading

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  02/26/2018 at 8:39 PM #64018
  Doctrading

  Oops, it doesn’t like when I set the colors…
  Here it is :

   

  Defparam cumulateorders = false // Taille des positions n = 1 // VARIABLES //B : période de la Bollinger //D : déviation standard //M : valeur de la moyenne mobile BollUp = Average[B](close)+D*std[B](close[26]) BollDown = Average[B](close)-D*std[B](close[26]) MM = average[M](close) // LONG IF close crosses over BollUp and close > MM THEN buy n shares at market ENDIF // SORTIE OPTIONNELLE IF close crosses under Average[B](close)+D*std[B](close) THEN sell at market ENDIF // SHORT IF close crosses under BollDown and close < MM THEN sellshort n shares at market ENDIF // SORTIE OPTIONNELLE IF close crosses over Average[B](close)-D*std[B](close) THEN exitshort at market ENDIF

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  Defparam cumulateorders = false   // Taille des positions n = 1   // VARIABLES //B : période de la Bollinger //D : déviation standard //M : valeur de la moyenne mobile   BollUp = Average[B](close)+D*std[B](close[26]) BollDown = Average[B](close)-D*std[B](close[26]) MM = average[M](close)   // LONG IF close crosses over BollUp and close > MM THEN buy n shares at market ENDIF   // SORTIE OPTIONNELLE IF close crosses under Average[B](close)+D*std[B](close) THEN sell at market ENDIF   // SHORT IF close crosses under BollDown and close < MM THEN sellshort n shares at market ENDIF   // SORTIE OPTIONNELLE IF close crosses over Average[B](close)-D*std[B](close) THEN exitshort at market ENDIF

  

  Doctrading

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  02/02/2020 at 6:39 AM #118461
  mr blue

  Works fine – thanks for sharing!

  

  mr blue

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