Trend following strategy, multi market, 30min to 4h

• 08/08/2019 at 5:28 PM #104431
  jeremyben

  Hello,

   

  I developed this strategy that follows the trend (buy and sell). It’s based on 3 conditions only related with the exponential moving average.

  It works better without target and stop loss.

  It keeps positions open for a minimum of 24h.

   

  You can backtest this strategy with different timeframe, but you’ll have to adapt R :
  – R=200 for TF=30min
  – R=100 for TF=1h
  – R=50 for TF=2h
  – R=25 for TF=4h

   

  It gives good results with all the major indices and forex (TF=2H) :
  – DAX, GL=3.07 (90 trades)
  – FTSE, GL=2.20 (81 trades)
  – CAC, GL=2.07 (86 trades)
  – US500, GL=2.41 (69 trades)
  – DOW, GL=1.83 (69 trades)
  – US100, GL=1.65 (72 trades)
  – ASX, GL=1.54 (96 trades)
  – EURUSD, GL=1.95 (91 trades)
  – GBPUSD, GL=1.43 (82 trades)
  – USDJPY, GL=1.27 (75 trades)

   

  These results are with the exact same code for each market with a timeframe=2H

  You can easily get a better GL for each market by changing few settings, but the initial idea was to use the same code for all markets.

   

  These backtests are with no spreads, and no fees, how much fees we can expect for 1 contrat on one of this market for a duration of 1 week open?

   

  What are your ideas to improve this strategy?

   

  Jérémy

  4h, all market

  DEFPARAM cumulateorders = false positionSize = 1 SL = 0 // stop loss in %, set to 0 to not use TP TP = 0 // target in %, set to 0 to not use SL minimumBarKeepOpen = 12 // keep open at least 24h, as example if TF=2h then the calcul is 24/2h = 12 R = 50 // R=200 for TF=30min, R=100 for TF=1h, R=50 for TF=2h, R=25 for TF=4h crossEntry = R * 1 crossExit = R * 2 period1 = R * 2 period2 = R * 2 period3 = R * 4 MM1 = Average[period1](close) MM2 = Average[period2](close) MM3 = Average[period3](close) entryBuy = MM1 > MM1[crossEntry] and MM2 > close and MM3 > close entrySell = MM1 < MM1[crossEntry] and MM2 < close and MM3 < close exitBuy = shortonmarket and MM1 < MM1[crossExit] AND BarIndex - TradeIndex > (minimumBarKeepOpen - 1) exitSell = longonmarket and MM1 > MM1[crossExit] AND BarIndex - TradeIndex > (minimumBarKeepOpen - 1) IF not onmarket and entryBuy THEN SELLSHORT positionSize SHARES AT MARKET ENDIF IF not onmarket and entrySell THEN BUY positionSize SHARES AT MARKET ENDIF IF exitBuy THEN exitshort at market ENDIF IF exitSell THEN SELL AT MARKET ENDIF IF SL > 0 THEN SET STOP %LOSS SL ENDIF IF TP > 0 THEN SET TARGET %PROFIT TP ENDIF

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  DEFPARAM cumulateorders = false   positionSize = 1 SL = 0 // stop loss in %, set to 0 to not use TP TP = 0 // target in %, set to 0 to not use SL minimumBarKeepOpen = 12 // keep open at least 24h, as example if TF=2h then the calcul is 24/2h = 12   R = 50 // R=200 for TF=30min, R=100 for TF=1h, R=50 for TF=2h, R=25 for TF=4h   crossEntry = R * 1 crossExit = R * 2 period1 = R * 2 period2 = R * 2 period3 = R * 4   MM1 = Average[period1](close) MM2 = Average[period2](close) MM3 = Average[period3](close)   entryBuy = MM1 > MM1[crossEntry] and MM2 > close and MM3 > close entrySell = MM1 < MM1[crossEntry] and MM2 < close and MM3 < close exitBuy = shortonmarket and MM1 < MM1[crossExit] AND BarIndex - TradeIndex > (minimumBarKeepOpen - 1) exitSell = longonmarket and MM1 > MM1[crossExit] AND BarIndex - TradeIndex > (minimumBarKeepOpen - 1) IF not onmarket and entryBuy THEN SELLSHORT positionSize SHARES AT MARKET ENDIF IF not onmarket and entrySell THEN BUY positionSize SHARES AT MARKET ENDIF   IF exitBuy THEN exitshort at market ENDIF IF exitSell THEN SELL AT MARKET ENDIF   IF SL > 0 THEN SET STOP %LOSS SL ENDIF IF TP > 0 THEN SET TARGET %PROFIT TP ENDIF

   

  

  jeremyben

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  08/08/2019 at 9:09 PM #104443
  jeremyben

  Oops, wrong section, anybody can move my post to “ProOrder support” please?

  

  jeremyben

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  08/08/2019 at 9:40 PM #104445
  robertogozzi

  Done.

  

  robertogozzi

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  08/09/2019 at 1:43 PM #104472
  Magifina

  Hi Jeremyben,

  Thanks for sharing this strategy. It proves that a simple strategy can be performant.
  I have tries to tweak the different variables but I couldn’t lower the drawdown. In fact the drawdown is due to the fact that we are keeping our position for one day.
  To improve the performance MM3 can be removed. It allows to double the number of trades.

  

  Magifina

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  08/09/2019 at 2:16 PM #104475
  jeremyben

  By removing MM3, I get nearly the same number of trades. How did you get the double?

   

  The effect I see without MM3 are:

  • longer time spent in market (x1.5, an it reaches 100% time in market if we remove MM2 and MM3)
  • a slight improvement of GL

   

  And yes the main problem of this strategy is its potential huge DD because of no stop. How can we solve it?

  We are loosing performance by using any StopLoss. I’ve tried the trailing stop, but it doesn’t help. This strategy bet on a return of the market for the loosing trades so that make sense any Stoploss will go against the strategy.

  

  jeremyben

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  08/09/2019 at 3:42 PM #104480
  Magifina

  I got the double with dax that works very well with this strategy.
  Maybe with a volatility filter you can improve drawdown but I don’t think significantly.

  On dax I had these conclusions:
  – The biggest lost are always with trades lasting more than 2 days
  –  A trade with a mfe of 0 will always end with a lost and one with a mae of 0 a win

  This strategy can be profitable if you have the necessary capital to handle the drawdown.
  It can be a good manual strategy but is too risky to be automated.

   

  

  Magifina

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