I have the big pleasure of sharing with you the Nasdaq version of the Universal XBody Strategy (which you can find here), with the parameters optimized for this market.
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//------------------------------------------------------------------------- defparam cumulateorders=false //------------------ SYSTEM VARIABLES--------------------------------------- //DAX40 Values: -------------------------------------------- Ottimization info period=878// Optimize best value for each Symbol, range=1-1000, with step=1 mode=1// Optimize the best trading mode , range=1-4, with step=1 invertsignal=1// 1=positive signal, -1=negative signal, range=-1/1, with step=2 //*********************************************************************************************** //------------------ SYSTEM FILTER--------------------------------------- filter1=41// to set after the variable optimization, range=1-100, with step=1 filter2=0// to set after the variable optimization, range=1-100, with step=1 //------------------ INDICATOR --------------------------------------- body=close-open var=(body-body[1]) sumvar=summation[period](var) if sumvar>filter1*pipsize then green=(sumvar) endif if sumvar<-filter2*pipsize then red=(sumvar) endif if mode=1 then c1=red<red[1] c2=green>green[1] endif if mode=2 then c1=red>red[1] c2=green<green[1] endif if mode=3 then c1=red<red[1] c2=green<green[1] endif if mode=4 then c1=red>red[1] c2=green>green[1] endif if c1 then signal=1*invertsignal elsif c2 then signal=-1*invertsignal endif // Conditions for entering long positions and exit short positions IF signal>0 then BUY n contract AT market ENDIF // Conditions for entering short positions and exit long positions IF signal<0 THEN SELLSHORT n CONTRACTs AT market ENDIF |
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Hello David, can you explain to me this strategy ?
You calculate the difference between the opening and closing of a candlestick, then the difference again from one to another, and you add up this difference over a given period, that’s it ? But if the backtesting gives a period of 854, it means 854 days before ? So, It means more than 3 years ! Thank you
The strategy calculates the variation between the body and the previous body (however in prorealtime strategies the body is equivalent to the body[1] and the body[1] to the body[2]. It then adds this variation for a period of days in the past. This period which is between 1 and 1000 days (by convention) in the past, moves forward with each new closure. There is then a filter which by convention is 0, but can be perfected, which is used to split the aforementioned sum into positive and negative values. There are finally 4 ways in which a bullish or bearish signal can be generated, to be backtested together with the period.
Thanks David it looks great. I am playing with it to get familiar.
Do you think it would be relevant to add a trailing stop once the position becomes a winner ?