Random 1min EURUSD Scalper

• 02/05/2018 at 1:37 PM #61531
  juanj

  This scalping strategy is based on the concept of following a coin flip randomized approach to picking market direction and then simply managing the trade according to a Risk:Reward ratio of 1:2. The strategy also has equity curve management built-in to help optimize performance.

  The direction of the trade is randomly determined based on the fact that at any given point the direction of a candle will be either be red or green. The algorithm used will pick an historic candle between 1 and 5 bars back and use this as a binary coin flip to determine direction.

  Stoploss distance is determined dynamically through the use of a smoothed ATR and Take Profit is simply twice the Stoploss distance.

  DEFPARAM CUMULATEORDERS = FALSE CurvePeriod = 90 Type = 0 Capital = 10000 Equity = Capital + StrategyProfit EquityCurve = Average[CurvePeriod,Type](Equity) If hour >= 9 and hour <= 22 Then possize = 1 Else possize = 0 If longonmarket Then Sell at market ElsIf shortonmarket Then Exitshort at market EndIf EndIf once RX = 1 once SV = 1 If RX > 5 Then If SV > 5 Then SV = 2 EndIf RX = RX-SV If RX <=0 Then SV = 2 EndIf Else RX = RX + 2 SV = SV + 1 EndIf once dir = 0 If dir = 0 and close[RX] > open[RX] Then dir = 1 ElsIf dir = 1 and close[RX] < open[RX] Then dir = 0 EndIf //GRAPH RX coloured(255,0,0) AS "RX" //GRAPH SV coloured(255,0,255) AS "SV" //GRAPH DIR AS "DIR" If countofposition = 0 and (barindex < curveperiod or (barindex > curveperiod and equity >= equitycurve)) and dir = 0 Then Buy possize contract at market ElsIf countofposition = 0 and (barindex < curveperiod or (barindex > curveperiod and equity >= equitycurve)) and dir = 1 Then Sellshort possize contract at market EndIf SL = ((average[20](range)+1.2*STD[20](range))*100000) SET STOP pLOSS SL*possize SET TARGET pPROFIT SL*2*possize

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  DEFPARAM CUMULATEORDERS = FALSE   CurvePeriod = 90 Type = 0 Capital = 10000 Equity = Capital + StrategyProfit EquityCurve = Average[CurvePeriod,Type](Equity)   If hour >= 9 and hour <= 22 Then   possize = 1 Else   possize = 0 If longonmarket Then   Sell at market ElsIf shortonmarket Then   Exitshort at market EndIf EndIf   once RX = 1 once SV = 1   If RX > 5 Then If SV > 5 Then   SV = 2 EndIf RX = RX-SV If RX <=0 Then   SV = 2 EndIf Else   RX = RX + 2   SV = SV + 1 EndIf   once dir = 0   If dir = 0 and close[RX] > open[RX] Then dir = 1 ElsIf dir = 1 and close[RX] < open[RX] Then dir = 0 EndIf   //GRAPH RX coloured(255,0,0) AS "RX" //GRAPH SV coloured(255,0,255) AS "SV" //GRAPH DIR AS "DIR"   If countofposition = 0 and (barindex < curveperiod or (barindex > curveperiod and equity >= equitycurve)) and dir = 0 Then Buy possize contract at market ElsIf countofposition = 0 and (barindex < curveperiod or (barindex > curveperiod and equity >= equitycurve)) and dir = 1 Then Sellshort possize contract at market EndIf   SL = ((average[20](range)+1.2*STD[20](range))*100000)   SET STOP pLOSS SL*possize SET TARGET pPROFIT SL*2*possize

   

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  juanj

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  02/05/2018 at 1:42 PM #61553
  Nicolas

  Thank you Juanj, interesting concept 🙂 I move your post submission from the Library to the forum, because I’m not able to replicate the same interesting result on my side. Do you know why?

  

  Nicolas

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  02/05/2018 at 1:50 PM #61556
  juanj

  Hi Nicolas, maybe it is the way prices are quoted on your system.

  Change the multiplication factor on line 55, start removing zeros until you get the same result as me.

  SL = ((average[20](range)+1.2*STD[20](range))*100000)

  

  juanj

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  02/06/2018 at 5:59 AM #61623
  juanj

  @Nicolas or it could be due to our time zone difference, so you can try changing line 10 to:

  If hour >= 8 and hour <= 21 Then

  But can’t think it would have such large effect. The strategy if adjusted for timezone differences is profitable on multiple markets that I have tested.

  

  juanj

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  02/06/2018 at 6:59 AM #61627
  Leo

  This concept interesting, what is your opinions about: trend is your friend, follow the SMA200 , bla bla Bla?

  can you please post a pic of the values RX and SV, why you are saying is random? Looks pretty deterministic for me.

  In your fuction for ATR, you can use the function “pipsize”

  Cheers

  

  Leo

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  02/06/2018 at 8:02 AM #61632
  Nicolas

  @juanj

  Better, but still not as good as your own test.. with or without spread.. I don’t understand why. Do anybody get the same result as juanj?

  
  @Leo

  Did you test the code? You can decomment lines 45 and 46 to get the RX and SV values on your own screen 🙂

  

  Nicolas

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  02/06/2018 at 11:25 AM #61662
  juanj

  @Leo, yes I do believe trading with the 200SMA is a good idea athough for this specific strategy I did not want to add a trend bias. I consider the trade direction random, because if you GRAPH DIR you will not see any recognizable pattern.

   

  
  @Nicolas, I cannot understand your result. I tested with a spread of 0.8, maybe see if that makes the difference.

  Attached is the exact same algorithm on the AUDUSD tested with a spread of 1 and trading time of 2-19 (GMT), you need to adjust for GMT+1

  

  juanj

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  02/06/2018 at 1:51 PM #61686
  Nicolas

  Same spread and GMT+1, tick mode, no same result! Can someone else confirm?

  

  Nicolas

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  02/06/2018 at 2:00 PM #61691
  T-rader

  This is my result. Looks like Nicolas.
  I´m GMT+1 but it dosen´t matter how I change the time in the code, I still get bad results.

  

  T-rader

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  02/06/2018 at 2:01 PM #61694
  juanj

  I realize now that because the direction is technically random the result will never be exactly the same as the starting point is always different.

  Yet the results should still not differ much. Will back test in my demo account to see if there is a difference.

  

  juanj

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  02/06/2018 at 6:52 PM #61764
  Leo

  The system is chaotically in a pure sense. Slight difference in input cause totally different results.

  Very  interesting approach in any case.

  

  Leo

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  02/09/2018 at 2:13 PM #62125
  Leo

  I am not at home at the moment, but I still thinking in your concept @juanj. Many authors can be agreed that invest in finantial markets is like flipping a coin.

  Therefore, try the same with some bias or another conditions,

  -momentum Like: ” close[RX] > Close”

  – a filter like for entry long, price should be avobe a parabolic SAR.

  Did you try another reward ratio like 1.5 or 3 ?

  Cheers

  

  Leo

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  02/10/2018 at 6:59 AM #62182
  Leo

  Here my test.

  I will start experimenting

  

  Leo

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  02/10/2018 at 9:56 AM #62184
  Leo

  Hi,

  I tried several things but still not being profitable.

  I tried: parabolic SAR and momentum and pending ordes

  Hope you get some other ideas

  DEFPARAM CUMULATEORDERS = FALSE DEFPARAM PreLoadBars = 10000 possize=1 once RX = 1 once SV = 1 If RX > 5 Then If SV > 5 Then SV = 2 EndIf RX = RX-SV If RX <=0 Then SV = 2 EndIf Else RX = RX + 2 SV = SV + 1 EndIf dir = 0 if not onmarket and hour >= 7 and hour <= 21 then If close[RX] > open[RX] Then dir = 1 ELSE dir = -1 EndIf ENDIF //GRAPH RX coloured(255,0,0) AS "RX" //GRAPH SV coloured(255,0,255) AS "SV" //GRAPH DIR AS "DIR" SL = average[20](range)+2*STD[20](range) SL = SL/pipsize MySAR= SAR[0.02,0.02,0.2] If not longonmarket and dir = 1 and close > mySAR and close>close[RX] Then Buy possize contract at high+2*pipsize stop SET STOP pLOSS SL SET TARGET pPROFIT 3*SL ENDIF If not shortonmarket and dir = -1 and close <mySAR and close<close[RX] Then Sellshort possize contract at low-2*pipsize stop SET STOP pLOSS SL SET TARGET pPROFIT 3*SL EndIf If longonmarket Then if hour <= 7 or hour >= 22 Then Sell at market ENDIF If close crosses under mySAR then Sell at market ENDIF ENDIF If shortonmarket Then if hour <= 7 or hour >= 22 Then Exitshort at market EndIf If close crosses over mySAR then Sell at market ENDIF EndIf

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  DEFPARAM CUMULATEORDERS = FALSE DEFPARAM PreLoadBars = 10000 possize=1   once RX = 1 once SV = 1   If RX > 5 Then If SV > 5 Then SV = 2 EndIf RX = RX-SV If RX <=0 Then SV = 2 EndIf Else RX = RX + 2 SV = SV + 1 EndIf   dir = 0 if not onmarket and hour >= 7 and hour <=  21 then If close[RX] > open[RX] Then dir = 1 ELSE dir = -1 EndIf ENDIF   //GRAPH RX coloured(255,0,0) AS "RX" //GRAPH SV coloured(255,0,255) AS "SV" //GRAPH DIR AS "DIR"     SL = average[20](range)+2*STD[20](range) SL = SL/pipsize   MySAR= SAR[0.02,0.02,0.2]   If not longonmarket  and dir = 1  and close > mySAR and close>close[RX] Then Buy possize contract at high+2*pipsize stop SET STOP pLOSS SL SET TARGET pPROFIT 3*SL ENDIF   If not shortonmarket and dir = -1 and close <mySAR and close<close[RX] Then Sellshort possize contract at low-2*pipsize stop SET STOP pLOSS SL SET TARGET pPROFIT 3*SL EndIf   If longonmarket Then if  hour <= 7 or hour >=  22 Then Sell at market ENDIF   If close crosses under mySAR then Sell at market ENDIF ENDIF   If shortonmarket Then if  hour <= 7 or hour >=  22 Then Exitshort at market EndIf   If close crosses over mySAR then Sell at market ENDIF EndIf

   

  

  Leo

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  02/10/2018 at 10:09 AM #62185
  Gertrade

  Hi,
  I just studied this strategy whose concept is very interesting.
  However, it is not profitable such as with a TF 1min on a full day.
  So I set up a trading limit and go out every day with a gain.
  To optimize the number of trades per day, I’m spending on an 18s TF.
  The results are positive over a period of 20,000 units (impossible to go beyond, with a TF of 18s there is no more history)

  I give you my version below. I look forward to your comments.

  

  Gertrade

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