EURUSD daily strategy

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This topic contains 15 replies, has 4 voices, and was last updated by avatar Vonasi 3 months ago.

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  • #62173

    eurusd strategy that works for very long time on daily TF.

    Walk forward parameters:

    rangemin

    pr

    period

    No walk forward on seasonality parameters. (day and month forbidden)

     

    Attachments:
    #62426

    Hi Francesco! Been a long time since your last post 🙂 Thanks a lot for this new automatic trading idea.

    I get almost the same result as you, but I need to understand something for a better comprehension, what is rangemin? Is is in pips? is it 3 or 30 pips?

    With a PRT-CFD account, EURUSD is 5 decimals, so I guess we must adapt this value to the correct pip size?

    I made this modification:

    Below is the test with 30 pips.

     

    Attachments:
    #62431

    Hi Nicolas,

    I see  your point, yes It should be 30 pips indeed, I have it quoted 12264.5-12265.0 and 3 is a variation of 3 of your 4th decimal digit.

    I have uk account, pls see if with GMT it is more similar..

    Many thanks!

    Francesco

    #62441

    Hi Francesco

    I took the liberty to optimize your code on IG prt eur/usd.
    I also added a stop loss. A big chunk of the profit disappeared but the draw down is down 60%. I optimized it from year 2000 until today. Before is oos.

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    #62444

    @t-rader Cool, but that’s a range filter of about only 5 pips on a daily timeframe 🙂 What difference without it?  I got almost the same result as you, but without the tick by tick option.

    Below is the result I have with the tick backtest and a spread of 2 pips. Timezone is UTC 0 (default forex timezone).

     

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    #62449

    Tick to tick shouldnt matter right? we dont have stop and profit on the same candle. yes I agree its a bit weird to have e pips filter.You can set it to zero but the results will be worst. The point of this strategy is that is working since 1980.

     

    .

    #62452

    I might have been a little bit quick there. I tested it with 1p spread but now with 2p spread the differens between tick by tick and not tick by tick is a bit bigger…

    Attachments:
    #62457

    Tick to tick shouldnt matter right? we dont have stop and profit on the same candle.

    Why? I got many “zero bars orders” in the orders list.

    #62460

    Tick to tick shouldnt matter right? we dont have stop and profit on the same candle.

    Why? I got many “zero bars orders” in the orders list.

    Yep you are right, Im writing a version that have no zero bars. Posting soon

     

    1 user thanked author for this post.
    #62462

    voila’, I got rid of 2 parameters (rangemin and pr ), no zero bars now

     

     

    Attachments:
    #62477

    Well done!

    The dd is too big for me personally but the code looks great.

    #62485

    Thanks Francesco,  so in this version  you don’t afford to loose until a new contrarian signal?

    #62507

    yes Nicolas, that is the case.

    #62558

    Nicolas do oyu think we can post this last version in the library?

    Thank you

     

    #62560

    yes Nicolas, that is the case.

    Ok, so that explain the large drawdown.

    Nicolas do oyu think we can post this last version in the library?

    Yes, just after a quick review 😉

    1 user thanked author for this post.
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