Riaprire argomento su strategia proposta 3 anni fa

Buongiorno doctrading e buongiorno a tutti.
Vorrei riportare all’attenzione della community il sistema “FINE GIORNATA” postato tre anni fa da doctrading perchè le performance sono ancora interessanti.
Con USD/JPY i backtest sono ottimi negli ultimi 4 mesi, in particolare con timeframe  1 minuto.
Se qualche membro della community ha la possibilità e la pazienza di effettuare backtest più lunghi potrebbe essere utile per capire se questo sistema è veramente ottimo anche nel lungo periodo.
Di seguito propongo una mia versione aggiornata in cui ho inserito la gestione della posizione tramite il sistema KAMA & SMA proposto da Roberto tempo fa, con uno stop fisso a 30.

Defparam cumulateorders = false
 
// TAILLE DES POSITIONS
n = 1
 
// PARAMETRES
// high ratio = few positions
// AUD/JPY : ratio = 0.5 / SL = 0.8 / TP = 1.2 / Period = 12
// EUR/JPY : ratio = 0.6 / SL = 1 / TP = 0.8 / Period = 8
// GBP/JPY : ratio = 0.5 / SL = 0.6 / TP = 1 / Period = 8
// USD/JPY : ratio = 0.5 / SL = 1 / TP = 0.8 / Period = 12
 
ratio = 0.6
period = 8
 
// HORAIRES
startTime = 210000
endTime = 231500
exitLongTime = 210000
exitShortTime = 80000
 
 
// BOUGIE REFERENCE à StartTime
if time = startTime THEN
amplitude = highest[Period](high) - lowest[Period](low)
ouverture = close
endif
 
// LONGS & SHORTS : every day except Fridays
// entre StartTime et EndTime
if time >= startTime and time <= endTime and dayOfWeek <> 5 then
buy n shares at ouverture - amplitude*ratio limit
sellshort n shares at ouverture + amplitude*ratio limit
endif
 
// Stop Loss & Take Profit
// Stop e target
//SET STOP PLOSS 25
//SET TARGET PPROFIT 13 //395

//////////////////////////////////////////////////////////////////////////////////////////////////////////
//                                Trailing Stop
//------------------------------------------------------------------------------------
IF Not OnMarket THEN
TrailStart    = 10          //10     Start trailing profits from this point
BasePerCent   = 0.100       //10.0%  Profit to keep
StepSize      = 6           //6      Pips chunks to increase Percentage
PerCentInc    = 0.100       //10.0%  PerCent increment after each StepSize chunk
RoundTO       = -0.5        //-0.5   rounds to Lower integer,  +0.4 rounds to Higher integer
PriceDistance = 7 * pipsize//8.9    minimun distance from current price
y1            = 0
y2            = 0
ProfitPerCent = BasePerCent
ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG
x1 = (close - tradeprice) / pipsize                            //convert price to pips
IF x1 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff1         = abs(TrailStart - x1)
Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y1 = max(x1 * ProfitPerCent, y1)                            //y = % of max profit
ENDIF
ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT
x2 = (tradeprice - close) / pipsize                            //convert price to pips
IF x2 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff2         = abs(TrailStart - x2)
Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y2 = max(x2 * ProfitPerCent, y2)                           //y = % of max profit
ENDIF
ENDIF
IF y1 THEN                                        //Place pending STOP order when y>0
SellPrice = Tradeprice + (y1 * pipsize)        //convert pips to price
IF abs(close - SellPrice) > PriceDistance THEN
IF close >= SellPrice THEN
SELL AT SellPrice STOP
ELSE
SELL AT SellPrice LIMIT
ENDIF
ELSE
SELL AT Market
ENDIF
ENDIF
IF y2 THEN                                        //Place pending STOP order when y>0
ExitPrice = Tradeprice - (y2 * pipsize)        //convert pips to price
IF abs(close - ExitPrice) > PriceDistance THEN
IF close <= ExitPrice THEN
EXITSHORT AT ExitPrice STOP
ELSE
EXITSHORT AT ExitPrice LIMIT
ENDIF
ELSE
EXITSHORT AT Market
ENDIF
ENDIF

set stop ploss 30