Forex strategies » MACD Reversal
Strategy Overview
Forex Strategy Builder v2.6.1.0
Strategy name: MACD reversal
Date: 09.5.2008 г. 14:13:02
Description
"MACD Reversal" strategy demonstrates the "Close and Reverse" technique.
This is a classic reversal strategy with additional stop-loss. It maintains a given position at almost 100% of the time.
The strategy raises a signal when the MACD line crosses the zero line, and that signal reverses the position at the next bar opening.
The "Close and Reverse" logic, set in the "Closing point of the position" slot, implements the reversal behaviour. It forces an opposite direction signal to close the present position and to open an opposite one.
Notice that the Opposite signal dropdown menu in the strategy properties dialog is locked to "Reverse" mode. The "Close and Reverse" logic makes this the only possible option.
The “Permanent Stop Loss” limits the loss to 200 pips. When the market reaches the stop level, the strategy closes the position without reversing it. That is the only situation when the strategy is out of the market.
The settings of the "Same direction signal behaviour" are not important here since every next raised signal can only be opposite (MACD cannot cross the zero line twice in the same direction).
Logic
Opening (Entry Signal)
Open a new long position or reverse a short position at the beginning of the bar when the following logic condition is satisfied:
- MACD* (Exponential, Close, Simple, 26, 12, 9); the MACD line crosses the zero line upward.
Open a new short position or reverse a long position at the beginning of the bar when the following logic condition is satisfied:
- MACD* (Exponential, Close, Simple, 26, 12, 9); the MACD line crosses the zero line downward.
Closing (Exit Signal)
Close an existing long position and open a new short one, at the entry price, when a sell entry signal arises.
Close an existing short position and open a new long one, at the entry price, when a buy entry signal arises.
Additional entry** signals handling
Entry signal in the direction of the present position:
- An averaging is not allowed. Cancel any additional order, which is in the same direction.
Entry signal in the opposite direction:
- Close the existing position and open a new one in the opposite direction using the entry rules.
Trading Sizes
Trade always a constant number of lots.
- Opening of a new position - 1 lot.
- On reversing - open 1 lot in the opposite direction.
Protection
The Permanent Stop Loss limits the loss of a position to 200 pips per open lot (plus the charged spread and rollover).
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* Use the indicator value from the previous bar for all indicators marked with asterisk!
** The averaging rules concern the entry signals only. Exit signals close a position. They are not allowed to open, add or reduce one.
Environment
| Market | ||
| Symbol: | EURUSD | |
| Time frame: | 1 Day | |
| Spread: | 4 pips | (4,00 USD) |
| Swap Long: | 1 pip | (1,00 USD) |
| Swap Short: | -1 pip | (-1,00 USD) |
| Slippage: | 0 pips | (0,00 USD) |
| Lot size: | 10000,00 EUR | |
| Leverage: | 1/100 | |
Account | ||
| Initial account: | 10000,00 USD | |
| Required margin: | 100,00 USD for each open lot | |
Strategy Properties
| Additional entry signals handling | |
| A same direction signal | Does nothing |
| An opposite direction signal | Reverses the position |
Trading size | |
| Maximum open lots | 20 |
| Entry lots | 1 |
| Adding lots | 1 |
| Reducing lots | 1 |
Permanent loss protection | |
| Permanent Stop Loss | -200 |
Indicator Slots
The slots show logic for the long positions only. Forex Strategy Builder computes proper logic for the short positions automatically.
| Base price | - Open |
| Smoothing method | - Exponential |
| Base price | - Close |
| Signal line method | - Simple |
| Slow MA period | - 26 |
| Fast MA period | - 12 |
| Signal line period | - 9 |
| Use previous bar value | - Yes |
Statistic Information
| Market | Account | ||
|---|---|---|---|
| Symbol | EURUSD | Intrabar scanning | Not accomplished |
| Period | 1 Day | Interpolation method | Pessimistic scenario |
| Number of bars | 4877 | Ambiguous bars | 0 |
| Date of updating | 18.04.08 | Tested bars | 4837 |
| Time of updating | 00:00 | Initial account | 10000,00 USD |
| Date of beginning | 27.06.89 | Account balance | 13003,00 USD |
| Time of beginning | 00:00 | Minimum account | 10000,00 USD |
| Data refining | Switched off | Maximum account | 14529,00 USD |
| Minimum price | 0,8229 | Maximum drawdown | 1591,00 USD |
| Maximum price | 1,5981 | Gross profit | 18001,00 USD |
| Average Gap | 5 pips | Gross loss | 14998,00 USD |
| Maximum Gap | 477 pips | Sent orders | 4521 |
| Average High-Low | 108 pips | Executed orders | 181 |
| Maximum High-Low | 607 pips | Dealt lots | 257 |
| Average Close-Open | 56 pips | Winning trades | 45 |
| Maximum Close-Open | 441 pips | Losing trades | 83 |
| Maximum days off | 5 | Win/loss ratio | 0,5421687 |
| Maximum data bars | 20000 | Time in position | 91 % |
| No data older than | No limits | Charged spread | 516,00 USD |
| No data newer than | No limits | Charged rollover | 6103,00 USD |
| Charged slippage | 0,00 USD | ||
| Total charges | 6619,00 USD | ||
| Balance without charges | 19622,00 USD | ||
| Account exchange rate | 1,0000 | ||
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