Mean Reverting Strategy on AUDCAD on h1 timeframe

Francesco78 · Mon, 05 Mar 2018 10:27:53 +0000

This is a mean reverting strategy that I currently run live on AUDCAD. Enjoy, comment and improve 🙂 //------------------------------------------------------------------------- // Main code : audcad_meanrevert_v2 //------------------------------------------------------------------------- defparam cumulateorders = false n = 1 m = 3 l = 90 cs= summation[n](close>open) = n cs = cs and close>bollingerup[20](close) and close>dlow(2) cl= summation[m](close<open) = m cl = cl and close<bollingerdown[20](close) and close<Dhigh(2) size = 2 //entry conditions if cs then sellshort size contract at market endif if cl then buy size contract at market endif //exit conditions if shortonmarket and close<average[l](close) then exitshort at market endif if longonmarket and close>average[l](close) then sell at market endif

This topic has 36 replies, 13 voices, and was last updated 5 years ago by Yngve.

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05/13/2018 at 12:13 PM #70286

Jan

If interested, I made an existing Monte Carlo Excel model much faster, see my post: https://www.prorealcode.com/topic/monte-carlo-analysis/page/2/#post-70252

Regards, Jan

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07/17/2018 at 9:36 AM #76114

Yngve

Hi

What is the purpose of this line?

cs= summation[n](close>open) = n

1

cs= summation[n](close>open) = n

It does not make sense to me

Regards

Yngve

Yngve
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07/17/2018 at 9:57 AM #76116

Vonasi

It simply counts the number of bars with the close greater than the open in the last n bars. If they all have the close greater than the open then the outcome will equal n and the variable cs will become true.

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Yngve

Vonasi
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07/27/2018 at 11:15 AM #76873

Yngve

Is anyone trading this system?

I cant get it to take the same trades in Demo as in Live

Yngve
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07/27/2018 at 11:29 AM #76876

Matriciel

I have not tested this strategy but many of my robots do not have the same results in the demo and in real life.

Matriciel
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07/27/2018 at 2:45 PM #76892

matsodont

Yngve wrote:

Is anyone trading this system?

I cant get it to take the same trades in Demo as in Live

I have had it running live for two months and it didn’t take a single trade… But lots of trades in back test…

matsodont
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07/27/2018 at 3:20 PM #76896

Ronny

I’ve had this running live since May 6th. You can compare results.

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Yngve

Ronny
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07/31/2018 at 7:54 AM #77131

Yngve

Ronny, I assume your running the code that does not have the max bar condition included? I am having problems getting that code to work, which is a shame cause I do see that your two largest losses are on trades that ran for a long time.

The Code took its first trade yesterday, so I’ll see how the results develop. I compared your stats to a back test and they are comparable.

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07/31/2018 at 8:53 AM #77136

Yngve

How about this instead ?

Yngve
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07/31/2018 at 3:40 PM #77202

Ronny

This is the simplest strategy from the 1st post, yes. It’s too risky, I agree! I started it as it had some months of positive OOS in addition the backtest in the first post. And love KISS! Now, with the new margins, I have to stop it all and reconsider everything.

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07/31/2018 at 6:49 PM #77210

Vonasi

Ronny wrote:

Now, with the new margins, I have to stop it all and reconsider everything.

The ESMA will be pleased to know that you can no longer afford your previous level of risk. They seem to have missed the point that newbies will have an expensive lesson working the same thing out.

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08/01/2018 at 7:13 AM #77233

Yngve

Open an account in Switzerland, with IG. Its done within a few hours.

Yngve
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08/01/2018 at 7:44 AM #77235

Vonasi

Yngve wrote:

Open an account in Switzerland, with IG. Its done within a few hours.

Did they open a limited risk account or a standard account for you?

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08/01/2018 at 12:56 PM #77300

jebus89

@Yngve im also very intrigued.. being that we’re from the same country; how did u do it? 🙂

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08/01/2018 at 1:48 PM #77315

Yngve

@jebus89 use this link https://www.ig.com/en-ch/welcome

Yngve
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Mean Reverting Strategy on AUDCAD on h1 timeframe

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