Triple EMA RSI Optimised Strategy

• 05/06/2020 at 10:47 PM #130343
  boonet

  Optimised Triple EMA cross strategy which checks for bullish or bearish trend for buying or shorting.

  I am also using the RSI criteria to sell or buy contracts when oversold or overbought.

  Replace x,y,z values with EMA values which work best for your instrument.

  This is a winner on FTSE 100 stocks with over 70% winnings with only £500 account balance

  This is a simple but effective program written by me as a newbie. Feel free to use it and feedback with any improvements.

   

  

  boonet

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  05/06/2020 at 11:00 PM #130345
  Francesco

  Code is not available, probably you protected it during the export from the platform.
  Please write it here throguh the “Insert PRT Code” option, and tell us on which timeframe should it work on.

  1 user thanked author for this post.

  robertogozzi

  

  Francesco

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  05/06/2020 at 11:41 PM #130347
  boonet

  FTSE100-15M

  // Triple EMA RSI Optimised //Naveen Reddy Ala //Optimised Triple MA Crossing //Trend Following //FTSE 100(UKX) 15M Recommended Values of x,y,z - //Gainers - (7,49,55) //Winners (7,50,55) //Gainer & Winner - (9,39,55) //Favourites - 7,48,55 // Spread 2 amount=1 //x=9 //y=39 //z=55 //BUY LONG indicator1 = exponentialAverage[x](close) indicator2 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA myRSI = RSI[14](close) SmoothRSI = Average[10](myRSI) myRSI = RSI[14](close) SmoothRSI = Average[10](myRSI) overbought = SmoothRSI >= 90 oversold = SmoothRSI <= 15 // c1 = (indicator1 crosses over indicator2) IF c1 THEN IF bullish then BUY amount shares AT MARKET nextbaropen ENDIF ENDIF If LONGONMARKET and overbought then SELL AT MARKET nextbaropen ENDIF //SELL LONG indicator3 = exponentialAverage[x](close) indicator4 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN IF bearish then SELL AT MARKET nextbaropen ENDIF ENDIF //SELL SHORT indicator5 = exponentialAverage[x](close) indicator6 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN IF bearish then SELLSHORT amount shares AT MARKET nextbaropen ENDIF ENDIF //Exit SHORT indicator7 = exponentialAverage[x](close) indicator8 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN IF bullish then EXITSHORT AT MARKET nextbaropen ENDIF ENDIF IF SHORTONMARKET and oversold then EXITSHORT AT MARKET ENDIF //SET STOP %LOSS 20 //SET TARGET pPROFIT 200

  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 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96

  // Triple EMA RSI Optimised //Naveen Reddy Ala //Optimised Triple MA Crossing //Trend Following //FTSE 100(UKX) 15M Recommended Values of x,y,z - //Gainers - (7,49,55) //Winners (7,50,55) //Gainer & Winner - (9,39,55) //Favourites - 7,48,55 // Spread 2     amount=1   //x=9 //y=39 //z=55     //BUY LONG indicator1 = exponentialAverage[x](close) indicator2 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA myRSI = RSI[14](close) SmoothRSI = Average[10](myRSI) myRSI = RSI[14](close) SmoothRSI = Average[10](myRSI) overbought = SmoothRSI >= 90 oversold = SmoothRSI <= 15 // c1 = (indicator1 crosses over indicator2)   IF c1 THEN IF bullish then BUY amount shares AT MARKET nextbaropen ENDIF ENDIF   If LONGONMARKET and overbought then SELL  AT MARKET nextbaropen ENDIF       //SELL LONG indicator3 = exponentialAverage[x](close) indicator4 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN IF bearish then SELL  AT MARKET nextbaropen ENDIF ENDIF   //SELL SHORT indicator5 = exponentialAverage[x](close) indicator6 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c3 = (indicator5 CROSSES UNDER indicator6)   IF c3 THEN IF bearish then SELLSHORT amount shares AT MARKET nextbaropen ENDIF ENDIF     //Exit SHORT indicator7 = exponentialAverage[x](close) indicator8 = exponentialAverage[y](close) trendEMA =exponentialAverage[z](close) bullish = indicator1 crosses over trendEMA bearish = indicator1 crosses under trendEMA c4 = (indicator7 CROSSES OVER indicator8)   IF c4 THEN IF bullish then EXITSHORT  AT MARKET nextbaropen ENDIF ENDIF   IF SHORTONMARKET and oversold then EXITSHORT AT MARKET ENDIF   //SET STOP %LOSS 20 //SET TARGET pPROFIT 200

   

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  robertogozzi

  

  boonet

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  05/07/2020 at 12:12 AM #130354
  robertogozzi

  Thank you boonet for your contribution. It’ s a good start

  A couple of suggestions:

  • performance looks extremely high due to an insufficient initial Capital, €500 is not enough for a drawdown of €800 (+ margin requirements), 5K€ would be a better choice (and balance performance will be ten times less)
  • backtest period is so small, try using 100K units

  Moreover, did you select the tick-by-tick mode?

   

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  boonet

  

  robertogozzi

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  05/07/2020 at 8:36 AM #130383
  Francesco

  Very bad on 200k; you overoptimized the system on a very short backtest time range and an highly ruinous strategy results

  

  Francesco

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  05/07/2020 at 12:30 PM #130429
  Nicolas

  Use Out Of Sample validation by using the walk forward analysis tool available in the optimization window, it will surely be an eye opener for you about what is overfitting.

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  boonet

  

  Nicolas

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  05/07/2020 at 10:55 PM #130529
  boonet

  Yes, I ran the test using the tick-by-tick mode.

  

  boonet

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