1 (edited by sc 2011-06-28 22:45:46)

Topic: Trend Following EURUSD

Theory: trend following.
ENTER a long position (inverse for shorting) if:
1- Aroon Histogram is positive
2- fast MA >slow MA
3- price > 30 MA for both Daily and Weekly
EXIT when fast MA crosses slow MA in opposite direction.

I would like to test with WTF (Wider time frame) for all indicatiors, but only MA exists at the moment.Also, my empirical studies show better results with aroon up - aroon down >= 60. but I cannot model it in FSB, so i used the Aroon histogram as an approximation.

last note - this obviously is promising and works great for EURUSD daily, but not as well for other pairs.

Let me know what you think. Thanks!

ps- details in next post as there is a limit per-post.

2

Re: Trend Following EURUSD

http://s3.postimage.org/fbmgnn9g/forexsb_eurusd.jpg

3

Re: Trend Following EURUSD

Forex Strategy Builder v2.56.4.0
Strategy name: my trending with wtf
Exported on: 06/28/2011 17:09:27

Description
Automatically generated on 06/09/2011 11:48 PM.

Market: EURUSD 1 Day
Spread in pips: 2
Swap Long in pips: 2
Swap Short in pips: -2
Commission per lot at opening and closing in pips: 0
Slippage in pips: 0

Maximum open lots: 20
Entry lots: 1
Adding lots: 1
Reducing lots: 1

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 5440
Balance: 138140 pips (148140.00 USD)
Minimum account: -794 pips (9206.00 USD)
Maximum drawdown: 12902 pips (12902.00 USD)
Time in position: 44 %

A same direction signal - Does nothing
An opposite direction signal - Does nothing
Permanent Stop Loss - 750
Permanent Take Profit - None

[Opening Point of the Position]
Bar Opening
     Enter the market at the beginning of the bar
     Base price  -  Open

[Opening Logic Condition]
Aroon Histogram
     [ A ]   The Aroon Histogram rises
     Base price  -  Close
     Period  -  30
     Level  -  0
     Use previous bar value  -  Yes

[Opening Logic Condition]
Moving Averages Crossover
     [ A ]   The Fast MA is higher than the Slow MA
     Base price  -  Close
     Fast MA method  -  Simple
     Slow MA method  -  Simple
     Fast MA period  -  10
     Slow MA period  -  20
     Fast MA shift  -  0
     Slow MA shift  -  5
     Use previous bar value  -  Yes

[Opening Logic Condition]
Moving Average (WTF beta 2)
     [ A ]   The Moving Average rises
     Smoothing method  -  Simple
     Base price  -  Close
     Line Color  -  Blue
     Wider Time Frame Reference  -  1 Week
     Period  -  14
     Shift  -  0

[Closing Point of the Position]
Bar Closing
     Exit the market at the end of the bar
     Base price  -  Close

[Closing Logic Condition]
Moving Averages Crossover
     [ b ]   The Fast MA crosses the Slow MA downward
     Base price  -  Close
     Fast MA method  -  Simple
     Slow MA method  -  Simple
     Fast MA period  -  10
     Slow MA period  -  20
     Fast MA shift  -  0
     Slow MA shift  -  0
     Use previous bar value  -  No

Re: Trend Following EURUSD

WTF -- it looks like you need Aroon Histogram and MA Crossover, is that right? I'll try to make versions and post soon.

Re: Trend Following EURUSD

Just found a copy of MA Crossover WTF -- try this one, please advise if you find any unexpected issues. thanks !!

Post's attachments

WTF Moving Averages Crossover.cs 26.25 kb, 41 downloads since 2011-06-28 

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Re: Trend Following EURUSD

Hi sc, here is Aroon Histogram (WTF). Try this one out, please advise if you find any unexpected issues. thanks !!

Post's attachments

WTF Aroon Histogram.cs 26.2 kb, 31 downloads since 2011-06-30 

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Re: Trend Following EURUSD

Where can I get the Moving Average (WTF beta 2) to test?
Thanks

Re: Trend Following EURUSD

please find on this thread:
Technical Indicators/HTF Fix thread
http://forexsb.com/forum/topic/2145/htf … ta-series/
there is a zip pack with a few others that have been converted to higher time frame, and a discussion of how they are supposed to work. If you find any unexpected behavior, or FST does not match FSB, or crashes, please post a note on that thread, I'll try to fix it.