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
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
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.
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? 🙂
Some strategy explaining…
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).
Thank you for your suggestions, I’ll look into it!