Topic: Bollinger Bands with 200-day Moving Average Filter
One of the pitfalls of RSI extremes was that the average duration of a trade was the same as that of our intermediate-term trend-following systems. This problem can be eliminated by changing its exit condition #1 criteria, but to showcase another trend-following mean reversion system, I have chosen instead to introduce the fading of our trend-following Bollinger band system with the addition of a 200-day moving average criteria to filter out countertrend trades. Using CQG, the programming code for this trend-following mean rever- sion system is written in this way:
Long Entry:
Close(@)[–1] XBELOW BLO(@,Sim,20,2)[–1]AND Close(@)[–1] > MA(@,Sim,200)[–1]
Long Exit—Condition #1 set “Price” field to:
BMA(@,Sim,20)[–1]
Long Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)–(.025* EntryPrice(@,0,All,ThisTradeOnly))
Short Entry:
Close(@)[–1] XABOVE BHI(@,Sim,20,2)[–1] AND Close(@)[–1] < MA(@,Sim,75)[–1]
Short Exit—Condition #1 set “Price” field to:
BMA(@,Sim,20)[–1]
Short Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)+(.025* EntryPrice(@,0,All, ThisTradeOnly))
[Strategy Properties]
A same direction signal - Does nothing
An opposite direction signal - Does nothing
Permanent Stop Loss - None
Permanent Take Profit - None
Break Even - None[Opening Point of the Position]
Bar Opening
Enter the market at the beginning of the bar
Base price - Open[Opening Logic Condition]
Better Bollinger bands
The position opens below the Lower Band
Smoothing method - Simple
Base price - Close
Period - 20
Multiplier - 2.00
Use previous bar value - Yes[Opening Logic Condition]
Moving Average
The position opens above the Moving Average
Smoothing method - Simple
Base price - Close
Period - 200
Shift - 0
Use previous bar value - Yes[Closing Point of the Position]
Bar Closing
Exit the market at the end of the bar
Base price - Close[Closing Logic Condition]
Moving Average
The bar closes above the Moving Average
Smoothing method - Simple
Base price - Close
Period - 20
Shift - 0
Use previous bar value - No
This performs really well on the daily EURGBP! Did I get it right?
Pete