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Forex Forum → Forex Strategies → First Strategy, Pivot(Bar)/Scalping Strategy M5

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Posts: 4

Topic: First Strategy, Pivot(Bar)/Scalping Strategy M5

Hey,
this is my first strategy that I am publishing, data is M5 from 20/5/11 to 15/6/12 for EURUSD.
It opens positions based on pivot points and stochastics, and closes based on envelopes. Stop loss is at 490, take profit at 800 (5decimal pip), trading with a constant number of lots rather than a % of account.
The strategy seems to work for the past year, but data from the year before backtesting started does not work, it doesn't lead to a margin call and has some profitable periods but in total leads to a large loss. I am not sure whether it is just lucky over the past 12months, or whether it performs well only in volatile times. The pivot points are set for each bar rather than each day.



Strategy name: pivotbar
Forex Strategy Builder v2.70.0.0
Exported on: 30/06/2012 18:08:53

Description:
   None.

Market: EURUSD 5 Minutes
Spread in pips: 30.00
Swap Long in pips: 2.00
Swap Short in pips: -2.00
Commission per lot at opening and closing in pips: 0.00
Slippage in pips: 0

Maximum open lots: 3.30
Entry lots: 1.00
Martingale money management multiplier: 1.10

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 8
Tested bars: 49986
Balance: 42141 pips (52141.42 USD)
Minimum account: 0 pips (10000.00 USD)
Maximum drawdown: 6702 pips (6701.80 USD)
Time in position: 99 %


http://s13.postimage.org/sos7bxu39/balequchart.jpg

Feedback would be greatly appreciated! Especially if it is pointing out mistakes.
Regards,
Matthew

Re: First Strategy, Pivot(Bar)/Scalping Strategy M5

http://s14.postimage.org/u3bl41ajj/statistics.jpg

Re: First Strategy, Pivot(Bar)/Scalping Strategy M5

Your images failed to load so I have reposted them. As a start you might want to run the analyser to see how sensitive the strategy is from variations in the indicator parameters.

http://s17.postimage.org/oxeb3654b/Snap_2012_07_01_17_17_58_004.jpg

http://s17.postimage.org/7t66rzbzf/Snap_2012_07_01_17_17_21_003.jpg

Re: First Strategy, Pivot(Bar)/Scalping Strategy M5

Something like this?
Strategy name: Generated
Forex Strategy Builder v2.72.0.0
Exported on: 10/4/2012 5:29:14 PM

Description:
(This description might be outdated!)

This is an "empty" strategy.

You can use it as a base to build your strategy from scratch.

Feel free to experiment!

You can set the opening and the closing point of the position, add opening or closing logic conditions, and adjust the strategy properties.

The "Opening Point of the Position" slot shows the price, at which the strategy enters the market and adds/removes from an open position. We enter the market at a price level determined by an indicator value or by time ("Bar Opening" for example). However, before we open position we need confirmation from the "Opening Logic Condition" slots.

The "Opening Logic Conditions" basically tell you whether to enter the market or not when the entry price has been reached. They also determine the position's direction (whether we enter short or long). There is no any "Opening Logic Condition" in this strategy and that leads to undetermined entry direction.   Because of that the program doesn’t open positions during the backtest.

The "Closing Point of the Position" sets the exit price. If you set it at "Bar Closing", you can add "Closing Logic Conditions". They will block the exit until at least one of them is fulfilled. If you do not use "Closing Logic Conditions", the position will be closed when the "Closing Point" is reached.

The Strategy Overview explains the strategy logic in an additional window and can be exported to a file.

Look in the forum for help or more information on creating forex strategies.

Remember! The strategy slots describe the long position logic only. Forex Strategy Builder will set the short position logic automatically using the same logic but in the opposite direction.


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Modified by the strategy generator on 10/4/2012 5:08 PM.

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Modified by the strategy generator on 10/4/2012 5:10 PM.

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Modified by the strategy generator on 10/4/2012 5:13 PM.

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Market: EURUSD 5 Minutes
Spread in pips: 3.00
Swap Long in pips: -1.00
Swap Short in pips: -1.00
Commission per lot at opening in USD: 10.00
Slippage in pips: 1

Use account % for margin round to whole lots
Maximum open lots: 10.00
Entry lots: 1.00% of the account for margin

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 2
Tested bars: 124634
Balance: 10547 pips (20547.07 USD)
Minimum account: -1287 pips (8713.17 USD)
Maximum drawdown: 5904 pips (5903.85 USD)
Time in position: 57 %

[Strategy Properties]
     A same direction signal - Does nothing
     An opposite direction signal - Does nothing
     Permanent Stop Loss - 1200
     Permanent Take Profit - 2180
     Break Even - None

[Opening Point of the Position]
     Pivot Points
     Enter the market at the Pivot Point
     Base price  -  One day
     Vertical shift  -  -1405
     Use previous bar value  -  Yes

[Opening Logic Condition]
     Stochastics
     [ A ]   The %K is lower than the Slow %D
     Smoothing method  -  Smoothed
     %K period  -  90
     Fast %D period  -  155
     Slow %D period  -  118
     Level  -  20
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Envelopes
     Exit long at the Lower Band
     Smoothing method  -  Weighted
     Base price  -  Close
     MA period  -  32
     Deviation %  -  9.42
     Use previous bar value  -  Yes

Posts: 4

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