Morning-Seasonality (EU Session) – EUR/USD 15min
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- This topic has 12 replies, 1 voice, and was last updated 3 years ago by imokdesign.
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05/13/2019 at 11:14 AM #98251
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.
12345678910111213141516171819202122232425262728// Festlegen der Code-ParameterDEFPARAM 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"-ZeitDEFPARAM FLATAFTER = 140000// Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten UhrzeitnoEntryBeforeTime = 100000timeEnterBefore = time >= noEntryBeforeTime// Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten UhrzeitnoEntryAfterTime = 140000timeEnterAfter = time < noEntryAfterTime// Verhindert das Trading an bestimmten WochentagendaysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0// Bedingungen zum Einstieg in Short-Positionenindicator1 = Average[200](close)c1 = (close < indicator1)IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THENSELLSHORT 5 CONTRACT AT MARKETENDIF// Stops und TargetsSET STOP %LOSS 12 users thanked author for this post.
05/13/2019 at 1:36 PM #98357Hi imokdesign
Thanks for sharing! Did give it a spin and I’am surprised about the results!
1234567891011121314151617181920defparam cumulateorders = falseDEFPARAM FLATBEFORE = 100000DEFPARAM FLATAFTER = 140000noEntryBeforeTime = 100000timeEnterBefore = time >= noEntryBeforeTimenoEntryAfterTime = 140000timeEnterAfter = time < noEntryAfterTimedaysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0indicator1 = Average[200](close)c1 = (close < indicator1)if c1 and timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THENsellshort 5 contract at marketendifSET STOP %LOSS 107/22/2019 at 10:50 PM #10317007/23/2019 at 2:37 AM #10317807/23/2019 at 8:36 AM #10318807/23/2019 at 11:22 AM #10321707/23/2019 at 12:21 PM #10322707/23/2019 at 1:20 PM #10323808/06/2019 at 12:55 PM #104272The best results are with the average between 70 and 120
1indicator1 = 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
08/15/2019 at 7:45 PM #104823What 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)
Vormittags - Seasonal Code 1h123456789101112131415161718192021222324252627282930313233343536373839// Festlegen der Code-ParameterDEFPARAM 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"-ZeitDEFPARAM FLATAFTER = 140000// Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten UhrzeitnoEntryBeforeTime = 100000timeEnterBefore = time >= noEntryBeforeTime// Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten UhrzeitnoEntryAfterTime = 140000timeEnterAfter = time < noEntryAfterTime// Verhindert das Trading an bestimmten WochentagendaysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0// Bedingungen zum Einstieg in Short-Positionenindicator1 = Average[80](close)c1 = (close < indicator1)REM Money ManagementCapital = 1000Risk = 10StopLoss = 0.75 // Could be our variable XREM Calculate contractsequity = Capital + StrategyProfitmaxrisk = round(equity*Risk)PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)// SELL order exampleIF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry thenSELLSHORT PositionSize CONTRACTS AT MARKETENDIF// Stops und TargetsSET STOP %LOSS StopLoss01/17/2020 at 11:57 AM #117051I noticed that the author runs the moving average on a daily basis. that would be multitime. It would also work so far, except that sometimes whole months are not traded.
01/17/2020 at 1:20 PM #117077i think is more or less exactly the same as the other “Short the eur/usd in this time” code which is on this forum? Cant find it right now but its not old either. I do belive the other one looks better than this one. Someone dig it up! 🙂
02/22/2021 at 10:18 PM #162382I 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.
1indicator1 = Average[14](close)2 users thanked author for this post.
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