Need help with exit in my Bollinger bands reversion strategy

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  • 10/09/2017 at 10:01 AM #48719 quote
    jebus89
    Participant
    Master

    Hi all, first time posting a strategy here!

    I’ve been working on a bollinger reversion strategy. Ive gotten this far but still have a long way to go it feels like.

    I need some help from some of you pro’s! I’ve gotten a decent winrate % on the trades, but a weak gain/loss ratio. I think that it could be A LOT better if i could somehow let my winners run. In other words my exit is horrible.

    At the moment my exit is when close crosses over bollinger mid. I’ve included a picture (SS03) that shows a couple of “small trades” that are good, but also 1 that could have been huge if it was allowed to run further.

    There has been no WF testing and no 200K units testing. I want to see if theres a better exit strategy here before i keep working on it. At the moment im a bit lost at what to do.

    SS01.png SS01.png SS03.png SS03.png SS02.png SS02.png
    10/09/2017 at 10:11 AM #48728 quote
    jebus89
    Participant
    Master

    I forgot to add the strategy and i forgot to mention: long trades only.

    Please note: it is not finished at all. For instance i have not finished tweaking ATR so i just put it at 1 for the time being. 🙂

     

    // Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Conditions to enter long positions
indicator1 = BollingerDown[20](close)
c1 = (close <= indicator1)
indicator2 = AroonDown[14]
c2 = (indicator2 = 100)
indicator3 = RSI[14](close)
c3 = (indicator3 <= 30)
indicator4 = AverageTrueRange[14](close)
c4 = (indicator4 >= 1)



IF c1 AND c2 AND c3 AND c4 THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions to exit long positions
indicator5 = Average[20](close)
c5 = (close CROSSES OVER indicator5)

IF c5 THEN
SELL AT MARKET
ENDIF

// Stops and targets
SET STOP pLOSS 50
set target pprofit 70
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Need help with exit in my Bollinger bands reversion strategy


ProOrder: Automated Strategies & Backtesting

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jebus89 @jebus89 Participant
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This topic contains 1 reply,
has 1 voice, and was last updated by jebus89
8 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/09/2017
Status: Active
Attachments: 3 files
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