Further backtest of Bollinger strategy

• 03/19/2017 at 1:24 PM #29055
  Ronny

  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

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  // 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

   

  

  Ronny

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  03/19/2017 at 1:44 PM #29057
  GraHal

  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

  

  GraHal

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  03/19/2017 at 1:57 PM #29061
  manel

  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.

  

  manel

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  03/19/2017 at 2:27 PM #29064
  Ronny

  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? 🙂

  

  Ronny

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  03/19/2017 at 2:36 PM #29066
  Ronny

  Some strategy explaining…

  

  Ronny

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  03/20/2017 at 10:40 AM #29139
  AutoStrategist

  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).

  

  AutoStrategist

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  03/20/2017 at 2:26 PM #29183
  Ronny

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

  

  Ronny

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