Need help with exit in my Bollinger bands reversion strategy

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

  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.

  

  jebus89

  Participant

  Topics: 118

  Replies: 587

  Been thanked: 240 times
  10/09/2017 at 10:11 AM #48728
  jebus89

  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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

  // 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

   

  

  jebus89

  Participant

  Topics: 118

  Replies: 587

  Been thanked: 240 times
• Author
  Posts