Hello everyone. This strategy is the inverse of the mean reverting strategy on sp 500 I posted some time ago. It waits for candle who open and close above/below the bollinger bands to enter in the same direction. 2 parameter are optimized. Walk Forward analysis is attached.
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//------------------------------------------------------------------------- // Main code : meanreverting_boll_gbpjpy //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //optimized parameters bollingerperiod = 30 exitaverageperiod = 120 ///trend indicator fastavperiod = 10 slowavperiod = 100 slowav = average[slowavperiod](close) fastav = average[fastavperiod](close) // Conditions to enter long/short positions bollup = BollingerUp[bollingerperiod](close) bolldown = BollingerDown[bollingerperiod](close) cl = (close >= bollup) cl = cl AND (open >= bollup) cl = cl and close >max(fastav,slowav) cs = (close <= bolldown) cs = cs AND (open <= bolldown) cs = cs and close <min(fastav,slowav) IF cl THEN buy 1 PERPOINT AT MARKET ENDIF if cs then sellshort 1 perpoint at market endif // Conditions to exit long/short positions exitaver = Average[exitaverageperiod](close) c1 = (close CROSSES under exitaver) c2 = (close CROSSES over exitaver) IF c1 and longonmarket THEN sell AT MARKET ENDIF if c2 and shortonmarket then exitshort at market endif |
Hope you will like it.
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