Mean Reversion Trading System (EUR/USD 1H)

Gustaf · 2017-11-21T17:52:33+00:00

Hi everyone! I’m quite new to this, but have been lurking here for a while. This is a mean reversion trading system made for EUR/USD on the hourly chart that goes both long and short. If the high touches the upper bollinger band and the stochastic crosses under a fixed value, the system goes short (vice versa for the long side). Exits are made when stochastics crosser over a fixed value. I used an ATR for filtering out bad trades. I found it more efficient to use a trendfilter for the long positions (high > close[300]). For the shorts, no trendfilter is used (this concerns me). The system seems to perfom good on 100k units – but since I am a rookie I can’t imagine that this will get any good results on a 200k backtest. Would anyone mind testing it on 200k and post results? I’m all ears if you have any suggestions for improvement. // DEFINITION OF CODE PARAMETERS DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 500 // CONDITIONS TO ENTER SHORT indicator1 = Stochastic[14,3](close) c1 = (indicator1 CROSSES UNDER 85) indicator2 = BollingerUp[50](high) c2 = (high >= indicator2) indicator3 = AverageTrueRange[14](close) c3 = indicator3 >= (0.00125) IF c1 AND c2 AND c3 AND NOT SHORTONMARKET THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // CONDITIONS TO EXIT SHORT indicator4 = Stochastic[14,3](close) c4 = (indicator4 CROSSES OVER 10) IF c4 THEN EXITSHORT AT MARKET ENDIF // CONDITIONS TO ENTER LONG PosTrend = high > close[300] indicator5 = Stochastic[14,3](close) c5 = (indicator5 CROSSES OVER 10) indicator6 = BollingerDown[50](close) c6 = (low = (0.00125) IF PosTrend AND c5 AND c6 AND c7 AND NOT LONGONMARKET THEN BUY 1 CONTRACT AT MARKET ENDIF // CONDITIONS TO EXIT LONG indicator8 = Stochastic[14,3](close) c8 = (indicator8 CROSSES OVER 75) IF c8 THEN SELL AT MARKET ENDIF //STOP/TARGET SET STOP PLOSS 150 Prints of results below, tested with spread set to 0.8.

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11/21/2017 at 6:52 PM #53490 quote
Gustaf
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Hi everyone! I’m quite new to this, but have been lurking here for a while. This is a mean reversion trading system made for EUR/USD on the hourly chart that goes both long and short. If the high touches the upper bollinger band and the stochastic crosses under a fixed value, the system goes short (vice versa for the long side). Exits are made when stochastics crosser over a fixed value. I used an ATR for filtering out bad trades. I found it more efficient to use a trendfilter for the long positions (high > close[300]). For the shorts, no trendfilter is used (this concerns me). The system seems to perfom good on 100k units – but since I am a rookie I can’t imagine that this will get any good results on a 200k backtest. Would anyone mind testing it on 200k and post results? I’m all ears if you have any suggestions for improvement.
```
// DEFINITION OF CODE PARAMETERS

DEFPARAM CumulateOrders = True
DEFPARAM PRELOADBARS = 500


// CONDITIONS TO ENTER SHORT

indicator1 = Stochastic[14,3](close)
c1 = (indicator1 CROSSES UNDER 85)
indicator2 = BollingerUp[50](high)
c2 = (high >= indicator2)
indicator3 = AverageTrueRange[14](close)
c3 = indicator3 >= (0.00125)


IF c1 AND c2 AND c3 AND NOT SHORTONMARKET THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// CONDITIONS TO EXIT SHORT
indicator4 = Stochastic[14,3](close)
c4 = (indicator4 CROSSES OVER 10)

IF c4 THEN
EXITSHORT AT MARKET
ENDIF

// CONDITIONS TO ENTER LONG
PosTrend = high > close[300]
indicator5 = Stochastic[14,3](close)
c5 = (indicator5 CROSSES OVER 10)
indicator6 = BollingerDown[50](close)
c6 = (low <= indicator6)
indicator7 = AverageTrueRange[14](close)
c7 = indicator7 >= (0.00125)


IF PosTrend AND c5 AND c6 AND c7 AND NOT LONGONMARKET THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// CONDITIONS TO EXIT LONG
indicator8 = Stochastic[14,3](close)
c8 = (indicator8 CROSSES OVER 75)

IF c8 THEN
SELL AT MARKET
ENDIF


//STOP/TARGET
SET STOP PLOSS 150
```
Prints of results below, tested with spread set to 0.8.
Mean-Reversion-EURUSD2.jpg Mean-Reversion-EURUSD.jpg
11/21/2017 at 7:16 PM #53495 quote

AutoStrategist
Participant

Veteran

Not as good over 200k. Strategies using Bolinger bands for mean reversion seem to work quite well on a one hour timeframe, I have one of my own.

Gustaf thanked this post

200KTest.jpg

11/21/2017 at 7:21 PM #53499 quote

AutoStrategist
Participant

Veteran

Also just noticed I didn’t put any spread in.

11/21/2017 at 7:23 PM #53500 quote

Gustaf
Participant

Average

Thank you for the backtest, really appreciate it!

11/22/2017 at 9:03 AM #53545 quote

jebus89
Participant

Master

I mean, it doesnt look as bad if u just start backtest on 200K a little later hehehe. Im more sceptical of how few trades there are.. 200K backtest and u got like 304 trades.. and this long and short? Seems a bit too curve-fitted. Also numbers are just too high and pretty to be true 😀
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