RSI_BB_Long 5min trading strategy

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09/15/2016 at 9:29 AM #13114 quote
JR1976
Participant

Veteran
My First code …

EUR/USD mini ,Timeframe 5 min

Only Long , and check RSI , Bollinger Band with reinvestm. profit
```
//////   RSI_BB_LONG  /////

DEFPARAM CumulateOrders=False
DEFPARAM FLATBefore = 083000
DEFPARAM FLATAfter  = 120000


REINV = 1 // set-up 0  for not reinvest.

levier = 5



IF REINV = 0 THEN
n = levier
ENDIF

IF REINV = 1 THEN  // Reinvest capital
capital = 2000 + strategyprofit
n = (capital / 200) *levier
ENDIF

if n > 30 then
n = 30
endif

// Variable

c3  =  Low  <  Bollingerdown
c4  =  Low[1]  <  Bollingerdown
c6 =  Close   < Open
c7 =  Close[1]   < Open[1]

MM15 =  ExponentialAverage[20](close)
// Range

r1 = range[1] > range

c1 = RSI[10] < 30


IF c1  and c3 and c4   and c6 and c7 and r1 and  not  ONMARKET    THEN
BUY n SHARES AT  High Stop
//BUY 1 SHARES AT HIGH STOP
//SET STOP %LOSS 0.8
//SET TARGET $PROFIT 15

ENDIF


IF longonmarket   and  high > MM15   THEN
SELL   AT MARKET
ENDIF

SET STOP %LOSS 0.4
```
and somenthing else

The Back test is good but only one year back

welcome your fdb

14738697084cp8l1.png
09/15/2016 at 9:35 AM #13116 quote

Nicolas
Keymaster

Master

Hello JR1976,

Thanks for your contribution, I have moved your post from the Library pending list to the forum.

My test shows that the strategy isn’t so good before the last year. Did you include the spread in your backtests?

Your idea is good : taking long position while piercing the lowest bollinger band, but while it is very effective in ranging market (price revert to its mean), it is not the case in trending one, that’s the main reason I believe it doesn’t perform well before 2015.

rsi-bollinger-bands-trading-system-dont-perform-well.png

09/15/2016 at 9:52 AM #13121 quote

JR1976
Participant

Veteran

Hi Nicolas ,

Thanks for your consultant , I confirm I used the spread 1 point

regards.

09/15/2016 at 9:46 PM #13149 quote

JR1976
Participant

Veteran

HI Nicolas,

I’am checked there is an error in the code , because not start the levrier

This the rule correct
IF REINV = 1

THEN // Reinvest capital
capital = 200 + strategyprofit
n = (capital / 200) *levier
ENDIF

Could you please check If should be better before 2015 ?

09/16/2016 at 9:28 AM #13155 quote
JR1976
Participant

Veteran
HI ,

I tried to optimized the code to avoid the trend period … the new variable is to trade IF

c8 = dailyhigh > Dhigh(50)
dailyHigh = DHigh(1)

Could you please backtest 2014 to complete the check ??
```
/////   RSI_BB_LONG_Pr  /////

DEFPARAM CumulateOrders=False
DEFPARAM FLATBefore = 083000
DEFPARAM FLATAfter  = 120000

REINV = 1 // set-up 0  for not reinvest.

levier = 2

IF REINV = 0 THEN
n = levier
ENDIF

IF REINV = 1 THEN  // Reinvest capital
capital = 200 + strategyprofit
n = (capital / 150) *levier
ENDIF

if n > 30 then
n = 30
endif

// Variable
c1 = RSI[10] < 30
c3  =  Low  <  Bollingerdown
c4  =  Low[1]  <  Bollingerdown
c6 =  Close   < Open
c7 =  Close[1]   < Open[1]
//new
c8 = dailyhigh > Dhigh(50)
dailyHigh = DHigh(1)

MM15 =  ExponentialAverage[20](close)
//MM100 =  ExponentialAverage[100](Dailyhigh)
// Range

r1 = range[1] > range
IF c1  and c3 and c4   and c6 and c7 and r1 and  c8 and  not  ONMARKET    THEN
BUY n SHARES AT  High Stop
//BUY 1 SHARES AT HIGH STOP
//SET STOP %LOSS 0.8
//SET TARGET $PROFIT 15

ENDIF
IF longonmarket   and  high > MM15   THEN
SELL   AT MARKET
ENDIF

SET STOP %LOSS 0.4
```
09/16/2016 at 11:02 AM #13159 quote

Nicolas
Keymaster

Master

I’m sorry, it is still not good. Please use the “Insert PRT code” when you add codes in your post, thank you.

BACKTEST-EURUSD.png
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RSI_BB_Long 5min trading strategy

ProOrder: Automated Strategies & Backtesting

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JR1976 @jr1976 Participant

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This topic contains 5 replies,
has 2 voices, and was last updated by Nicolas
9 years, 5 months ago.

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Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	09/15/2016
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