Forex strategies » Demo scanner
Strategy Overview
Forex Strategy Builder v2.6.1.0
Strategy name: Demo scanner
Date: 09.5.2008 г. 14:07:36
Description
Forex Strategy Builder found several hundred ambiguous bars during the backtest of this strategy. Such a situation may lead to an inaccurate backtest result. To improve the reliability of the backtest FSB makes use of two tools - "Intrabar scanner" and "Method comparator".
We have an ambiguous bar when the backtesting algorithm is not 100% able to determine what the right sequence of the orders execution is. It usually happens when we have more than one active order within the bar range reachable at the same time. The sequence of the execution orders is of paramount importance for the correct strategy testing.
Forex Strategy Builder can use different methods to interpolate the price route inside an ambiguous bar. Of all the presented methods, the "Optimistic" one normally shows the best result (not always) and the "Pessimistic" one – the worst result (not always either).
You can compare the different methods and see the mean balance line by using the "Method Comparator". We can assume that the mean balance line is the nearest to the real one.
To improve the backtest accuracy you can use the "Scanner". It loads all available intrabar data (the shorter time frames) and uses it to work out a more precise price route.
It is also possible to combine the effect of the Scanner and the Comparator by switching on the automatic scan mode (from the Testing – Automatic scan menu). You should load the intrabar data from the scanner window after that.
Logic
Opening (Entry Signal)
Open a new long position at the Pivot Point Support 3 level.
Open a new short position at the Pivot Point Resistance 3 level.
Closing (Exit Signal)
Close an existing long position at the Pivot Point Support 1 level.
Close an existing short position at the Pivot Point Resistance 1 level.
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:
- A present position modification is not allowed. Cancel any additional order, which is in the opposite direction.
Trading Sizes
Trade always a constant number of lots.
- Opening of a new position - 1 lot.
Protection
The strategy does not provide a permanent loss limitation.
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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 | Does nothing |
Trading size | |
| Maximum open lots | 20 |
| Entry lots | 1 |
| Adding lots | 1 |
| Reducing lots | 1 |
Permanent loss protection | |
| Permanent Stop Loss | None |
Indicator Slots
The slots show logic for the long positions only. Forex Strategy Builder computes proper logic for the short positions automatically.
| Base price | - Previous bar range |
| Use previous bar value | - Yes |
| Base price | - Previous bar range |
| 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 | 592 |
| Date of updating | 18.04.08 | Tested bars | 4875 |
| Time of updating | 00:00 | Initial account | 10000,00 USD |
| Date of beginning | 27.06.89 | Account balance | 1720,00 USD |
| Time of beginning | 00:00 | Minimum account | 1544,00 USD |
| Data refining | Switched off | Maximum account | 10223,00 USD |
| Minimum price | 0,8229 | Maximum drawdown | 8679,00 USD |
| Maximum price | 1,5981 | Gross profit | 20973,00 USD |
| Average Gap | 5 pips | Gross loss | 29253,00 USD |
| Maximum Gap | 477 pips | Sent orders | 20970 |
| Average High-Low | 108 pips | Executed orders | 1345 |
| Maximum High-Low | 607 pips | Dealt lots | 1345 |
| Average Close-Open | 56 pips | Winning trades | 252 |
| Maximum Close-Open | 441 pips | Losing trades | 419 |
| Maximum days off | 5 | Win/loss ratio | 0,601432 |
| Maximum data bars | 20000 | Time in position | 42 % |
| No data older than | No limits | Charged spread | 2692,00 USD |
| No data newer than | No limits | Charged rollover | 2070,00 USD |
| Charged slippage | 0,00 USD | ||
| Total charges | 4762,00 USD | ||
| Balance without charges | 6482,00 USD | ||
| Account exchange rate | 1,0000 | ||
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