Need help with exit in my Bollinger bands reversion strategy

jebus89 · 2017-10-09T09:01:50+00:00

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.

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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 SS03.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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