The FTSE is lying!! intraday trading strategy

Hi all. I’m new to this website.

I have been live trading the FSTE100 and some forex pairs for about 6 years now and have been trying to automate my strategies to free up my time. I have found this site very useful to get me up and running. So i wanted to give back a little.

So here is my crude attempt at coding one of my very successful inter-day strategy on the ftse. Most of the code is “borrowed”off you guys in one way or another, and the results are a good bit less than i actually got over this time period when i was trading it real time.

Any help on how to improve the code or the strategy would be much appreciated.

DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 210000

atr = AverageTrueRange[12]

// LONG
IF (abs(open-close) > (atr*2) and close < open) THEN
 BUY 10 CONTRACTS AT MARKET
 SET STOP pLOSS abs(close-open)
 SET TARGET pPROFIT abs(close-open)*2.5
ENDIF

//SHORT
IF (abs(open-close) > (atr*2) and close > open) THEN
 SELLSHORT 10 CONTRACTS AT MARKET
 SET STOP pLOSS abs(close-open)
 SET TARGET pPROFIT abs(close-open)*2.5
ENDIF

DEFPARAM CumulateOrders = False

DEFPARAM FLATBEFORE = 080000

DEFPARAM FLATAFTER = 210000

atr = AverageTrueRange[12]

// LONG

IF (abs(open-close) > (atr*2) and close < open) THEN

BUY 10 CONTRACTS AT MARKET

SET STOP pLOSS abs(close-open)

SET TARGET pPROFIT abs(close-open)*2.5

ENDIF

//SHORT

IF (abs(open-close) > (atr*2) and close > open) THEN

SELLSHORT 10 CONTRACTS AT MARKET

SET STOP pLOSS abs(close-open)

SET TARGET pPROFIT abs(close-open)*2.5

ENDIF

ftse

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No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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Maz • 05/07/2017 #
Nice idea thanks for sharing. I think you forgot to simulate spread thought, in the back test? Similar to something I’ve previously worked on – I think it has potential.
I’ve opened a forum topic here for discussion

Maz • 05/07/2017 #
https://www.prorealcode.com/topic/ftse-is-lying-strategy-discussion/

Maz • 05/07/2017 #
Have added a basic framework for further optimization and left some screen shots and source file in the forum topic

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