Topic: Close and Reverse or Close Filters
We can write a strategy using Close and Reverse logic like this:
Forex Strategy Builder V 2.2.1.3 Beta
Strategy name: momentumcloseandreverse
Exported on: 12/30/2006 10:10:12 AM
Market: EURUSD 1 Day
Balance: -10433 pips
Min account: -10433 pips
Max account drop: 11246 pips
Time in position: 100 %
Add to an open position
The opposite signal reverses the position
[Open] Price Open
[Filter] Momentum
Logic The Momentum value is crossing the Level line from below.
Smoothing Method Simple
Base Price Close
Period 10
Smoothing Period 0
Level 0
Use previous bar value. True
[Close] Close and Reverse
The same logic we can express using a Close Filter
Forex Strategy Builder V 2.2.1.3 Beta
Strategy name: momentumclosefilter
Exported on: 12/30/2006 10:18:57 AM
Market: EURUSD 1 Day
Balance: -9390 pips
Min account: -9390 pips
Max account drop: 10829 pips
Time in position: 100 %
Add to an open position
The opposite signal reduces the position
[Open] Price Open
[Filter] Momentum
Logic The Momentum value is crossing the Level line from below.
Smoothing Method Simple
Base Price Close
Period 10
Smoothing Period 0
Level 0
Use previous bar value. True
[Close] Price Close
[Filter] Momentum
Logic The Momentum value is crossing the Level line from above.
Smoothing Method Simple
Base Price Close
Period 10
Smoothing Period 0
Level 0
Use previous bar value. False
Using Close and reverse we are 100% of the time in the market. The position is reversed at the time of bar 's opening.
Using Close Filter we close the position at the time of bar's closing and open a new one at the beginning of the next bar. This leads to saving the rollover fee (for the example 1043pips).