Smoothed Bollinger% Strategy Daily_Topic
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Thank you very much. Here I attach an AUD/USD optimised cross (tick by tick).
I’m from Italy too, not from Sweden.Hello
I´ve been testing this code on some different fx pairs and some other markets and have gotten some amazing results. Is this code really legit? I see that many of the trades are closed within the first bar (0 bar). But tested with t-b-t this shouldn´t be a problem.
Can´t see anything that looks non legit except for the result… What do you think?
You can see some of my backtest down below. I´ve optimized on the latest 5-10 years and the rest is OOS.
Sorry for dubbel posting but here´s the code for aud/Usd for example. Optimized from 2010-07-20 to 2018-02-01 (see the line in the picture). 1988-2010 is all oss.
DEFPARAM CumulateOrders = FALSE ONCE avgEnterEnabled = 2 //Moving Average Entry Filter - 0 OFF, 1 ON ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE takeprofit = 1.2 // Take Profit % ONCE stoploss = 0.9 // Stop Loss % ONCE trailingstoplong = 23 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 9 // Trailing Stop Atr Relative Distance ONCE barlong = 1 // Exit Time Long ONCE barshort = 3 // Exit Time Short ONCE atrtrailingperiod = 380 // Atr parameter Value ONCE minstop = 3 // Minimum Trailing Stop Distance // MOVING AVERAGE - Parameter ONCE avgLongPeriod = 200 // 100 // Smoothed Bollinger %b indicator - Parameters ONCE period = 3 ONCE TeAv = 1 ONCE SveEnterLongThreshold = 35 ONCE SveEnterShortThreshold = 65 // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize) trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF //-------------------------------------------------------------------------------------------------- // FILTER SETTINGS //-------------------------------------------------------------------------------------------------- //MOVING AVERAGE longAvg = Average[avgLongPeriod] (close) avgFilterEnterLong = (close>longAvg OR NOT avgEnterEnabled) avgFilterEnterShort = (close<longAvg OR NOT avgEnterEnabled) //Smoothed Bollinger %b indicator haOpen = ((Open[1]+High[1]+Low[1]+Close[1])/4 + (Open[2]+High[2]+Low[2]+Close[2]))/2 haC = ((Open+High+Low+Close)/4 + haOpen + Max(high,haOpen) + Min(low,haOpen)) /4 TMA1 = tema[TeAv](haC) TMA2 = tema[TeAv](TMA1) Diff = TMA1-TMA2 ZlHA = TMA1+Diff percb = (tema[TeAv](ZLHA)+2*STD[period](tema[TeAv](ZLHA))-weightedaverage[period](tema[TeAv](ZLHA))) / (4*STD[period](tema[TeAv](ZLHA)))*100 SveFilterEnterLong = (percb < SveEnterLongThreshold ) SveFilterEnterShort = (percb > SveEnterShortThreshold ) // STRATEGY //-------------------------------------------------------------------------------------------------- IF NOT LongOnMarket AND avgFilterEnterLong AND SvEFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF IF NOT ShortOnMarket AND avgFilterEnterShort AND SveFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF SET STOP %LOSS stoploss SET TARGET %PROFIT Takeprofit ///GRAPH TGLThanks Alberto and Nicolas.
The only problem I´ve noticed so far is that the code dosen´t seem to like to have a open position over the weekend. As you can see in the picture below the code is turning it self off.
Does anyone have an idea of what the problem could be?
Cheers
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5 years ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/07/2018 |
| Status: | Active |
| Attachments: | 22 files |
