scalping on the short Cac40 and FTSE100 1hr

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Viewing 10 posts - 1 through 10 (of 10 total)
  • 06/27/2017 at 1:03 PM #39197
    Francesco78

    Hello,

    I found this simple strategy who works that has been working very well on 100K 1hr history on the Cac40 and Ftse100

    The idea is simple: go short when the average of the “bullish fullness” of the last 5 candle is greater than x%

    Optimized value for both cac and ftse turns out to be 89%

    Only other optimized variable is the profit target.

    There are not many trades (50/60) but I found it nice that 100% of them are winning with little drawdown.

    Would be great if someone could optimize the strategy on a 200k history and if you have any suggestion to limit the drawdown.

    Best

    Francesco

    1 user thanked author for this post.
    avatar Eric
    06/27/2017 at 1:11 PM #39204
    Nicolas

    Thank you Francesco for this new strategy. However, I moved your post from the library pending review to this topic to discuss a  bit about it. I attached the 200.000 bars backtests.

    Before you could resubmit it, I know you are used to the WF tool and I think this strategy would benefit from it, even if the results before 2014 are not so bad in my backtest (an OOS test in the past this time indeed!) and because you have optimized it after that period.

    06/27/2017 at 1:24 PM #39209
    Francesco78

    Thank you Nicolas, I agree, the strategy needs to be discussed further. I will post the WF analysis asap. The good thing is that this strategy is very general and seems to give good results also for many currency pairs, the bad thing is that it act only on very rare event and the sample is necessarily small, and saying something statistically relevant is not easy. The other downside is that to make it warking the stops have to be much greater than the target, I guess this is something typical of mean reverting strategies of this kind.

    06/27/2017 at 1:39 PM #39216
    Nicolas

    Did you try to mean revert the bearish momentum in the bullish trend with the same ‘fullness’ analysis? (I know it comes from Andrea Unger 🙂 )

    06/27/2017 at 1:45 PM #39220
    Francesco78

    eheh yes it comes from him indeed, I just extended it to create an oscillator with the average of the last 5 “fullness” with their sign, so that it is bounded between -1 and +1.

    Yes I tried, and unvariangly, it works only with bull momentum converted into bear. Which I find quite interesting because it reflects the asymmetry between long and short in the market.

     

    1 user thanked author for this post.
    avatar Nicolas
    06/27/2017 at 4:55 PM #39233
    reb

    Hello Francesco, hello Nicolas

    Nice idea, I check a bit this strat

    1 user thanked author for this post.
    avatar Francesco78
    07/03/2017 at 10:33 AM #39662
    Nicolas

    @Francesco78 @reb

    Any update for this one?

    07/03/2017 at 10:38 AM #39663
    Francesco78

    Hello Nicolas, I am a bit too busy today, will try to post the WF later today or tomorrow.

    1 user thanked author for this post.
    avatar Nicolas
    07/03/2017 at 5:12 PM #39713
    Francesco78

    WF are not good at all. With only Trailing stops it doesnt improve to a decent level, I think we should forget about this strategy or find some creative twist which at the moment I have no idea about.

    Thanks

    Francesco

    07/04/2017 at 9:02 AM #39757
    Nicolas

    Ok Francesco, since there are not so many trades in backtests (only a few), I suppose you are right. Thanks again for this idea 😉

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