1 (edited by kazik1616 2012-10-11 18:51:09)

Topic: donchian channe

Strategy name: donchian channel
Forex Strategy Builder v2.72.0.0
Exported on: 2012-10-11 19:46:17

The strategy opens position on highest bar of 20 days. The position is closed on lowest low of 10 days. Additionaly it is MA Cross added to indicate the trend.

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.

Market: USDJPY 1 Day
Spread in pips: 20,00
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

Use account % for margin round to whole lots
Maximum open lots: 100,00
Entry lots: 2,00% of the account for margin

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 2
Tested bars: 5511
Balance: 3337 pips (12567,08 JPY)
Minimum account: -1339 pips (8969,75 JPY)
Maximum drawdown: 5760 pips (4430,71 JPY)
Time in position: 46 %

[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]
     Donchian Channel
     Enter long at the Upper Band
     Base price  -  High & Low
     Period  -  20
     Shift  -  0
     Use previous bar value  -  Yes

[Opening Logic Condition]
     Moving Averages Crossover
     The Fast MA is higher than the Slow MA
     Base price  -  Close
     Fast MA method  -  Exponential
     Slow MA method  -  Exponential
     Fast MA period  -  25
     Slow MA period  -  200
     Fast MA shift  -  0
     Slow MA shift  -  0
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Donchian Channel
     Exit long at the Lower Band
     Base price  -  High & Low
     Period  -  10
     Shift  -  0
     Use previous bar value  -  Yes

Post's attachments

donchian cannel.xml 5.41 kb, 23 downloads since 2012-10-11 

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