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Topic: Optimization: EURUSD 1H Profit 2580 Drawdown 220

This is an optimization of the Karl Marks'  strategy.

My goal was Min Drawdown.

Two new filters have been added:
Momentum - The Momentum value is rising.            - The trend is gaining power.
ADX           - The ADX value is lower than Level.     - The trend is nod exhausted.


Forex Strategy Builder V 2.3.1.0 Beta
Strategy name: EURUSD 1H Profit 2580 Drawdown 220
Exported on: 1/19/2007 5:12:45 PM

Market: EURUSD 1 Hour
Spread: 4 pips
Swap Number: 1 pips

Balance: 2584 pips
Min account: 0 pips
Max drawdown: 219 pips
Time in position: 36 %

The same dirrection signal  - does Nothing
The opposite dirrection signal - does Nothing

[Open] Price Open

[Filter] MACD
     Logic The MACD Line crosses the zero line from below.
     Smoothing Method Exponential
     Base Price Close
     Period Slow Line 27
     Period Fast Line 11
     Period Signal Line 9
     Use previous bar value True

[Filter] Momentum
     Logic The Momentum value is rising.
     Smoothing Method Simple
     Base Price Close
     Period 21
     Smoothing Period 16
     Level 0
     Use previous bar value True

[Filter] ADX
     Logic The ADX value is lower than Level.
     Smoothing Method Exponential
     Period 15
     Level 36
     Use previous bar value True

[Close] Bollinger Bands
     Logic The Price Open is lower than the Up Band.
     Smoothing Method Smoothed
     Base Price Median
     Period 30
     Multiplier 2
     Use previous bar value True

http://forexsb.com/img1/eurusd_1h_2580_220.jpg

Re: Optimization: EURUSD 1H Profit 2580 Drawdown 220

Produces a loss of 1247 pips

3 (edited by Jar Jar 2007-08-09 06:27:51)

Re: Optimization: EURUSD 1H Profit 2580 Drawdown 220

The best of Forex Strategy Builder is that it gives us ability to test our ideas in a minutes.

I, like a proud fan of FSB from its first beta versions was very surprised from your post. And, the first thing I've done was the retesting of the strategy.

At once I noticed the difference between the wast FSB version and the early beta, used in the previous example.
- Names of the logics are corrected
- Open / Close slots are exactly that - entry / exit points. They do not act as filters like before.

Here is the strategy tested with th last published version:

Forex Strategy Builder v2.5.2.0
Strategy name: New
Exported on: 8/9/2007 8:18:35 AM

Market: EURUSD 1 Hour
Spread: 4 pips
Swap Number: 1 pip

Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 19960
Balance: 2316 pips
Minimum account: -5 pips
Maximum drawdown: 296 pips
Time in position: 37 %

A same direction signal - Does nothing
An opposite direction signal - Does nothing

[Opening point of the position]
Bar Opening
     Enter the market at the beginning of the bar
     Base price  -  Open

[Opening logic condition]
MACD
     The MACD line crosses the zero line upward
     Smoothing method  -  Exponential
     Base price  -  Close
     Signal line method  -  Exponential
     Slow MA period  -  27
     Fast MA period  -  11
     Signal line period  -  9
     Use previous bar value  -  Yes

[Opening logic condition]
Momentum
     The Momentum rises
     Smoothing method  -  Simple
     Base price  -  Close
     Period  -  21
     Additional smoothing  -  16
     Level  -  0
     Use previous bar value  -  Yes

[Opening logic condition]
ADX
     The ADX is lower than the Level line
     Smoothing method  -  Exponential
     Period  -  15
     Level  -  36
     Use previous bar value  -  Yes

[Opening logic condition]
Bollinger Bands
     The bar opens below the Up Band
     Smoothing method  -  Smoothed
     Base price  -  Median
     MA period  -  30
     Multiplier  -  2
     Use previous bar value  -  Yes

[Closing point of the position]
Bollinger Bands
     Exit long at the Up Band
     Smoothing method  -  Smoothed
     Base price  -  Median
     MA period  -  30
     Multiplier  -  2
     Use previous bar value  -  Yes

Re: Optimization: EURUSD 1H Profit 2580 Drawdown 220

I too am a big fan, only having been using it for 1 day I have not known how to make proper inputs, therefore I have gotten different results. Using your above posting, I received similar (actually a little better, as I use "2" for spread) than you got. Thank you for making it clear. (Also, is there any stop loss with this system?)

One thing I think everybody who uses this wonderful software is going to need, is a way to translate the above code into an actual trading method. For instance, on my platform MT4 I do not have an ADX indicator, and there are some other differences also, such as on the Bolinger Bands there is no option for "smoothing method--smoothed" and a few other differences.

Do you know of any system that has produced good backtest results, such as the above, but that is also able to be translated into an actual trading system, such as on the MT4 platform?

Thank you for your help.

Re: Optimization: EURUSD 1H Profit 2580 Drawdown 220

Try the turtle system with donchian break outs. Find your own high-low bands for your style