EURUSD counter trend volatility strategy 30min chart

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  • This topic has 2 replies, 2 voices, and was last updated 4 years ago by avatarLuca.
Viewing 3 posts - 1 through 3 (of 3 total)
  • #103697

    Hello everybody, this is the first time I share a strategy. I wrote this strategy, which leverages the repetitive behaviour of the volatility on EURUSD in intraday trading (30-minutes timeframe).

    It basically enters a counter trend position when the volatility is over its average and the price enters the bollinger band back, and exits the position when the price goes back to a certain level of the opposite bollinger band. It accumulates the position up to three times. All values of the parameters and position size are optimized for long and short positions, in order to achieve a reasonable draw down. I’m testing this strategy in demo account since few days, what do you think?

    Do you have any suggestion to improve it, especially concerning the stability and the overfitting? Do you have the chance to test it on 200k units? Thanks in advance.

     

    1 user thanked author for this post.
    #103817

    Hi Luca, thanks for sharing your idea. I moved your post into the forum because I’m a little concerned by the overfitting of the variables. Did you conduct walk forward analysis?

    Please find attached the 200k bars backtest with a 2 pips spread.

     

    #103829

    Hi Nicolas,

    thank you very much for your reply, I was also concerned about overfitting, because to be honest I don’t have that much experience with interpretation of walk forward analysis output data. Do you have any link to learning documents or videos about this item?

    Thanks in advance

    Luca.

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