Further backtest of Bollinger strategy

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  • #29055 quote
    Ronny
    Participant
    Veteran

    Could someone with a bit more history try out this strategy, too see if it’s worth delevoping further?

    GBPUSD, 30-min, GMT+1, have used spread 2 in my testing.

    // Definition of code parameters
    DEFPARAM CumulateOrders = False // Cumulating positions deactivated
    // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time.
    DEFPARAM FLATBEFORE = 080000
    // Cancel all pending orders and close all positions at the "FLATAFTER" time
    DEFPARAM FLATAFTER = 201500
    
    // Prevents the system from placing new orders on specified days of the week
    daysForbiddenEntry = OpenDayOfWeek = 5 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
    
    // Conditions to enter long positions
    indicator1 = BollingerDown[20](close)
    c1 = (close CROSSES OVER indicator1)
    indicator2 = Stochastic[4,2](close)
    c2 = (indicator2 < 25)
    indicator3 = WilderAverage[40](close)
    c3 = (close > indicator3)
    
    IF (c1 AND c2 AND c3) AND not daysForbiddenEntry THEN
    BUY 1 CONTRACT AT MARKET
    ENDIF
    
    // Conditions to exit long positions
    indicator4 = Average[5](close)
    c4 = (close CROSSES UNDER indicator4)
    indicator5 = WilderAverage[40](close)
    c5 = (close CROSSES UNDER indicator5)
    
    IF c4 OR c5 THEN
    SELL AT MARKET
    ENDIF
    
    // Conditions to enter short positions
    indicator6 = BollingerUp[20](close)
    c6 = (close CROSSES UNDER indicator6)
    indicator7 = WilderAverage[40](close)
    c7 = (close < indicator7)
    indicator8 = Stochastic[4,2](close)
    c8 = (indicator8 > 75)
    
    IF (c6 AND c7 AND c8) AND not daysForbiddenEntry THEN
    SELLSHORT 1 CONTRACT AT MARKET
    ENDIF
    
    // Conditions to exit short positions
    indicator9 = Average[5](close)
    c9 = (close CROSSES OVER indicator9)
    indicator10 = WilderAverage[40](close)
    c10 = (close CROSSES OVER indicator10)
    
    IF c9 OR c10 THEN
    EXITSHORT AT MARKET
    ENDIF
    #29057 quote
    GraHal
    Participant
    Master

    Yes I’d say deffo worth developing further … attached results over 100,000 units (I changed time to GMT as I’m in UK).

    Cheers
    GraHal

    Boll.jpg Boll.jpg
    #29061 quote
    manel
    Participant
    Veteran

    Hi,

    Thanks for posting your strategy. Attached are results for last 10yrs. Overall it’s not a bad performance with a net 555 pips gain and 5% draw. However 2012-2014 are very negative years so those need to be addressed. Also, shorts make no money over this period, all the gains are due to long positions. Worth developing further I think.

    gbpusd-bollinger.jpg gbpusd-bollinger.jpg
    #29064 quote
    Ronny
    Participant
    Veteran

    Thank you!

    Thinking… Looking at the equity curve, it looks like it’s not that many trades, and further filtering may rule out too many. More optimalization would not be a smart thing to do either, I feel a bit puzzled about where to go next…. Maybe exchange the Stoch with something else. Suggestions? 🙂

    #29066 quote
    Ronny
    Participant
    Veteran

    Some strategy explaining…

    bollstrat.jpg bollstrat.jpg
    #29139 quote
    AutoStrategist
    Participant
    Veteran

    Hi,

    One observation which may help.  Restricting the times of the open positions to during the week days and European daytime hours keeps the risk down but doesn’t always allow the strategy time to develop.  I started out by developing intraday equity indices strategies that always closed by end of session but my forex strategies I run overnight and through the weekends, the risk is increased of course and there is some minor funding cost incurred but overall my returns have been better.  Removing the time restrictions on your strategy also appears to improve returns (I only  tested  back a couple of years).

    #29183 quote
    Ronny
    Participant
    Veteran

    Thank you for your suggestions, I’ll look into it!

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Further backtest of Bollinger strategy


ProOrder: Automated Strategies & Backtesting

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Ronny @ronny_solversen Participant
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This topic contains 6 replies,
has 4 voices, and was last updated by Ronny
8 years, 11 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 03/19/2017
Status: Active
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