FTSE 15 minutes automated trading strategy, how to improve it?

• 03/17/2017 at 9:13 AM #28847
  victormork

  I have adjusted the a code which I first developed for DAX (long only 15 minutes DAX trading strategy) for FTSE. It has rooms for improvements so if anyone have ideas about how to make it better I’m happy to hear it.

   

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = TEMA[10](close) indicator2 = SuperTrend[3,10] c1 = (indicator1 > indicator2) indicator3 = CCI[20] c2 = (indicator3 CROSSES OVER -150) IF (c1 AND c2) AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator4 = CCI[20] c3 = (indicator4 CROSSES UNDER 200) IF c3 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = TEMA[10](close) indicator6 = SuperTrend[3,10] c4 = (indicator5 < indicator6) indicator7 = CCI[20] c5 = (indicator7 CROSSES UNDER 180) IF (c4 AND c5) AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator8 = CCI[20] c6 = (indicator8 CROSSES OVER -300) IF c6 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP %LOSS 0.5

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = TEMA[10](close) indicator2 = SuperTrend[3,10] c1 = (indicator1 > indicator2) indicator3 = CCI[20] c2 = (indicator3 CROSSES OVER -150)   IF (c1 AND c2) AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator4 = CCI[20] c3 = (indicator4 CROSSES UNDER 200)   IF c3 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator5 = TEMA[10](close) indicator6 = SuperTrend[3,10] c4 = (indicator5 < indicator6) indicator7 = CCI[20] c5 = (indicator7 CROSSES UNDER 180)   IF (c4 AND c5) AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator8 = CCI[20] c6 = (indicator8 CROSSES OVER -300)   IF c6 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP %LOSS 0.5

   

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  Nicolas

  

  victormork

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  03/17/2017 at 10:26 AM #28870
  manel

  Hi,

  Thank you for sharing this. Attached are the results of a 7yr backtest. Unfortunately they are not great as it shows the strategy only performing from 2015 onwards (I have tested with 1.5pt spread to allow for slippage). Also in general, systems which have such a low Average gain/trade are always a bit tricky to gauge as it relies on perfect execution every time in the market which is not normally likely to happen. I would suggest finding parameters with less trades but more gain/trade so maybe that’s something you could look at ? Having a looking at the equity curve and stats it performs much better in long positions than shorts so the results themselves are probably also influenced by the longer term trend.

  

  manel

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  03/17/2017 at 10:29 AM #28875
  victormork

  Thanks Manuel! I’ll look in to it.

  Ignore the attachment.

  

  victormork

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