The Chikou + Bollinger strategy

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  • #63983 quote
    Doctrading
    Participant
    Master

    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
    [crayon-5a944891b42cc359504274/]

    chikoubollingerbacktest-15196609988c4lp.png chikoubollingerbacktest-15196609988c4lp.png
    #64002 quote
    AlienSurfer
    Participant
    New

    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!

    #64011 quote
    Nicolas
    Keymaster
    Master

    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.

    mr.brymas thanked this post
    #64017 quote
    Doctrading
    Participant
    Master

    Here it is,

    Best regards

     

    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
    #64018 quote
    Doctrading
    Participant
    Master

    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
    #118461 quote
    mr blue
    Participant
    Senior

    Works fine – thanks for sharing!

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The Chikou + Bollinger strategy


ProOrder: Automated Strategies & Backtesting

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This topic contains 5 replies,
has 4 voices, and was last updated by mr blue
6 years ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/26/2018
Status: Active
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