I have not been backtesting it for more than 10K candles because it is not a holy grail to work all the time in every market conditions.
I backtest mostly 3 months on specially selected markets. As I don’t try to force my strategies on markets but use the right tool for the current condition.
I specifically said that it is a range trading strategy (it won’t work in trend simple as that).
ADX[100] < 15.0 is to pre-filter market conditions for range only.
If a market is historically unlikely to range this strategy will not work on it. But say CHF/JPY hardly ever trend so as EUR/USD since a year.
1st you select a market which is mostly ranging and never trending then apply this strategy and optimise values to last 3-4 months data.
Values to optimise (important in this order):
1. Switch off (comment off) money management all completely and set a fix positionLong = 1, positionShort = 1
2. Comment off all stop loss (no stop loss at all) and ATR
3. Set all values to default. (Stochastic[20,5] trigger bottom = 20.0, top = 80.0); (RSI[14] trigger bottom = 30.0, top = 70.0); (CCI[100] trigger bottom = -100, top = 100)
4. Optimise CCI[length] (min=50, max=200, step=50) / CCI trigger bottom line (min=-300, max=-50, step=50) / CCI trigger top line (min=50, max=300, step=50)
5. Optimise RSI[length] (min=5, max = 20, step= 1 or 5) / RSI trigger bottom line (min=10, max=40, step=5) / RSI trigger top line (min=60, max=90, step=5)
6. Optimise Stochastic[length,smooth] (length min=1, max=20, step=1 / smooth min=1, max=10, step=1) / Stochastic trigger bottom line (min=10, max=30, step=5) / Stochastic trigger top line (min=70, max=90, step=5)
7. Uncomment ATR and stop loss
8. Optimise ATR[length] (min=1, max=20, step=1) / and stop loss myATR multiplayer separately for long and short stop loss (min=1, max=10, step=1)
9. Uncomment money management.
Results are as best as they can be.
These steps are to be taken in strict order.
Never apply to market which is likely to trend.
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