The MA-RSI Winner

• 05/24/2020 at 4:44 PM #133058
  Plaedies

  Hi All,

  This is my first strategy. Works really well on the 1HR timeframe on most Forex Pairs and most notibly on GBP/AUD.

  It uses the RSI indicator of 8 periods to identify volume at both 40 and 60 respectively to either go long or short. This is then paired with a Moving Average of 22 (Optimised) to look at crossovers for entering and exiting the trades.

  It uses a 4 Point/Pip Trailling Stop.

  What would I like to add?

  I would like to use an ATR at 20 periods to automatically calculate the Trailling Stop but I dont have the coding skills to add this.

  Short position example

  Current Timeframe Candle High price + (2*ATR) = Stop Loss

  Long Position Example

  Current Timeframe Candle Low Price – 2*ATR = Trailling Stop Value

  In the example above i’ve used 2 ATR. Ideally i would want this to be configurable or at least easy to change the number in the code as an integer.

  Appreciate any improvements, comments etc…

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = RSI[8](close) c1 = (indicator1 >= 60) indicator2 = ExponentialAverage[22](close) c2 = (close[1] > indicator2[1]) IF c1 AND c2 THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[22](close) c3 = (close < indicator3) IF c3 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator4 = RSI[8](close) c4 = (indicator4 <= 40) indicator5 = ExponentialAverage[22](close) c5 = (close[1] < indicator5[1]) IF c4 AND c5 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator6 = ExponentialAverage[22](close) c6 = (close > indicator6) IF c6 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 4

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = RSI[8](close) c1 = (indicator1 >= 60) indicator2 = ExponentialAverage[22](close) c2 = (close[1] > indicator2[1])   IF c1 AND c2 THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[22](close) c3 = (close < indicator3)   IF c3 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator4 = RSI[8](close) c4 = (indicator4 <= 40) indicator5 = ExponentialAverage[22](close) c5 = (close[1] < indicator5[1])   IF c4 AND c5 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator6 = ExponentialAverage[22](close) c6 = (close > indicator6)   IF c6 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 4

   

  1 user thanked author for this post.

  Sebastian Arsjo

  

  Plaedies

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 2 times
  05/24/2020 at 4:48 PM #133083
  Nicolas

  Hi, thanks for sharing. Did you made the backtests with spread included and with tick-by-tick mode?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20830

  Been thanked: 4744 times
  05/25/2020 at 7:55 PM #133232
  Plaedies

  Hi @Nicolas

  Hmmm, that may have stumped me…. I thought the backtest automated the spread cost within the backtest automatically based against the Forex pair brokerage fee. Clearly this isnt the case? I am using CFD’s to demo trade this. Also the Tick by Tick shows an error so unable to verify unfortunately.

  When I do add a an average 1.57 pip spread it does decline considerably although still well profitable against a £500 start it finishes at £5K over 4 years backtesting alyjough the tick by tick may change that

  is there an area within the forum to request assistance with coding the above Trailling Stop?

  Best wishes,
  Plaedies

  

  Plaedies

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 2 times
  05/26/2020 at 10:58 AM #133294
  Nicolas

  Tick by tick mode is mandatory when you want to test the stoploss to be triggered inside a candlestick, otherwise the results could be VERY different in live trading.

  That’s why I always suggest to use a soft coded trailing stop in strategies AND to backtest with tick-by-tick mode enable (always!). There are many examples of trailing stop codes in forums and in the strategies posted in the library.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20830

  Been thanked: 4744 times
• Author
  Posts