Morning-Seasonality (EU Session) – EUR/USD 15min
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I would like to introduce a very nice and simple strategy. Unfortunately it is not mine. I found it on https://www.trading-treff.de/wissen/handelsstrategie-fuer-daytrader-im-eurusd-backtest-inklusive and rebuilt it once. It just make Short-Trades, because Long-Trades would increase the Equity curve. As you can see, it works quite well (Spread: 1). If someone can test it for a longer period of time, that would be nice. If someone had an idea to minimize the drawdowns a bit, it also would be nice.
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Das Handelssystem wird um 0:00 Uhr alle pending Orders stornieren und alle Positionen schließen. Es werden vor der "FLATBEFORE"-Zeit keine neuen Orderaufträge zugelassen. DEFPARAM FLATBEFORE = 100000 // Stornieren aller pending Orders und Schließen aller Positionen zur "FLATAFTER"-Zeit DEFPARAM FLATAFTER = 140000 // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit noEntryBeforeTime = 100000 timeEnterBefore = time >= noEntryBeforeTime // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit noEntryAfterTime = 140000 timeEnterAfter = time < noEntryAfterTime // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Bedingungen zum Einstieg in Short-Positionen indicator1 = Average[200](close) c1 = (close < indicator1) IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 5 CONTRACT AT MARKET ENDIF // Stops und Targets SET STOP %LOSS 1Paul and Midlanddave thanked this postHi imokdesign
Thanks for sharing! Did give it a spin and I’am surprised about the results!
defparam cumulateorders = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 140000 noEntryBeforeTime = 100000 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 140000 timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 indicator1 = Average[200](close) c1 = (close < indicator1) if c1 and timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN sellshort 5 contract at market endif SET STOP %LOSS 1Paul, i have good result but maybe not enough history. Could you test 200K on UT1 with
indicator1 = Average[50](close)The best results are with the average between 70 and 120
indicator1 = Average[80](close)Tips: you can backtest this strategy with a 1hour timeframe, it give very similar results and the backtest is much longer.
Also, you can reduce the %LOSS to 0.5-0.75
It does not affect the G/L ratio, but it helps to reduce the max loose for 1 trade.
I join you the report with TF=1hour, spread=0.6, average=80, %LOSS=0.75
What if you still pay attention to the moneymanagement. I like the argument of the compound interest. I inserted it from this link:
https://www.prorealcode.com/blog/learning/money-management-prorealtime-code/I hope I have inserted this correctly … does not look bad, but I have not tested if that works. (EUR/USD mini)
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert // Das Handelssystem wird um 0:00 Uhr alle pending Orders stornieren und alle Positionen schließen. Es werden vor der "FLATBEFORE"-Zeit keine neuen Orderaufträge zugelassen. DEFPARAM FLATBEFORE = 100000 // Stornieren aller pending Orders und Schließen aller Positionen zur "FLATAFTER"-Zeit DEFPARAM FLATAFTER = 140000 // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit noEntryBeforeTime = 100000 timeEnterBefore = time >= noEntryBeforeTime // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit noEntryAfterTime = 140000 timeEnterAfter = time < noEntryAfterTime // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Bedingungen zum Einstieg in Short-Positionen indicator1 = Average[80](close) c1 = (close < indicator1) REM Money Management Capital = 1000 Risk = 10 StopLoss = 0.75 // Could be our variable X REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) // SELL order example IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then SELLSHORT PositionSize CONTRACTS AT MARKET ENDIF // Stops und Targets SET STOP %LOSS StopLossI Just want to update this thread, with very little improvement (more histroy). Its the Resault with the max Profit and not with the min Drawdown. With SMA80 there is a big Drawdown from 2012 -2016. With the SMA 14 its much better but since 2020 a little worse.indicator1 = Average[14](close)Nicolas and Midlanddave thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/13/2019 |
| Status: | Active |
| Attachments: | 12 files |
