Topic: Trend following on EURUSD strategy

Hello,
What do you think about this strategy? What would you add/change here?


Strategy name: Trend following strategy
Forex Strategy Builder v2.72.0.0
Exported on: 2013-02-07 01:46:37

Market: EURUSD 1 Day
Spread in pips: 20,00
Swap Long in pips: -20,61
Swap Short in pips: -19,83
Commission per deal at opening and closing in percents: 0,01
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: 0
Tested bars: 5598
Balance: 38909 pips (50679,07 USD)
Minimum account: -11 pips (9998,00 USD)
Maximum drawdown: 10362 pips (10287,08 USD)
Time in position: 65 %

[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  -  10
     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  -  85
     Slow MA period  -  115
     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  -  15
     Shift  -  0
     Use previous bar value  -  Yes

Post's attachments

wig20.xml 5.4 kb, 22 downloads since 2013-02-07 

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Re: Trend following on EURUSD strategy

I tried it on 1/1/2009 - 1/1/2012
It is making very few trades
It is a losing strategy...
I suggest to use this on lower timeframe and optimize more

3 (edited by kazik1616 2013-02-08 08:24:42)

Re: Trend following on EURUSD strategy

Hi Togr,
I have changed EMA parameters to 42 and 35. Now it should be better.

Strategy name: EURUSD
Forex Strategy Builder v2.74.0.0
Exported on: 2013-02-08 08:20:51

Description:
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.


Market: EURUSD 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: 0
Tested bars: 5671
Balance: 46053 pips (45948,67 USD)
Minimum account: -956 pips (9074,19 USD)
Maximum drawdown: 7223 pips (5994,47 USD)
Time in position: 71 %

[Strategy Properties]
     A same direction signal - Does nothing
     An opposite direction signal - Reverses the position
     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  -  10
     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  -  35
     Slow MA period  -  42
     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  -  15
     Shift  -  0
     Use previous bar value  -  Yes

Post's attachments

EURUSD.xml 13.84 kb, 20 downloads since 2013-02-08 

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