1 Min Trading Strategy

juanj · Thu, 13 Jul 2017 11:29:26 +0000

Good Day, I have seen many people asking for a 1 min trading strategy so I decided to make one. I personally don’t like HFT type strategies as the spread can really eat away at profits compared to a nice trend following strategy. The strategy is based on candle formations, along with a Long/Near Moving Average Trend Check and a RSI[2] check. The trigger is made by a Bullish (or Bearish) candle formation and if the MA and RSI checks are valid a position is opened in the direction of the trend. Some candle patterns are counter intuitive and hence some should be commented out (this would require some testing). It is currently configured for long only trades (although the code is included for short trades). I don’t think it is exceptionally effective, but maybe someone here can make something worthwhile out of it. Results on 1min for thr EUR/USD with spread set to 0.8: Defparam cumulateorders = false If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then Sell at market ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then Exitshort at market EndIf body=close-open abody=abs(body) if range>0 then ratio=abody/range else ratio=0 endif middle=(open+close)/2 bodytop=max(open, close) bodybottom=min(open, close) shadowtop=high-bodytop shadowbottom=bodybottom-low longcandle= (ratio>0.6) Bull = 0 Bear = 0 //Bullish Signals MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close) if MorningStar then Bull = 1 //Positive endif PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1]) if PiercingLine then Bull = 1 //None endif AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low) if AbandonedBabyBottom then Bull = 1 //None endif ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1]) if ThreeInsideUp then Bull = 1 //Positive endif ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1]) if ThreeOutsideUp then Bull = 1 //Positive endif ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1]) if ThreeWhiteSoldiers then //Bull = 1 //Increase Drawdown endif ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1]) if ConcealingBabySwallow then Bull = 1 //None endif BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if BullishHarami then //Bull = 1 //Negative Impact endif HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if HomingPigeon then Bull = 1 //None endif BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if BullishEngulfing then Bull = 1 //Positive endif LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if LastEngulfingBottom then Bull = 1 //None endif DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3) if DragonflyDojiBottom then Bull = 1 //None endif GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3) if GravestoneDojiBottom then Bull = 1 //None endif DojiStarBottom=(body[1]<0 AND longcandle[1] AND low<low[1] AND open<close[1] AND ratio<0.3 AND range<0.3*range[1]) if DojiStarBottom then Bull = 1 //None endif BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1]) if BullishHaramiCross then Bull = 1 //None endif ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2] and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4) if ThreeStarsInTheSouth then Bull = 1 //None endif BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3]) if BullishBreakaway then Bull = 1 //None endif Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody) if Hammer then Bull = 1 //None endif InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody) if InvertedHammer then Bull = 1 //None endif RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1]) if RisingThreeMethods then Bull = 1 //None endif BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3]) if BullishThreeLineStrike then Bull = 1 //None endif BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1]) if BullishMatHold then Bull = 1 //None endif BullSash=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>close[1] AND open<open[1] AND close>open[1] AND shadowtop<0.1*abody) if BullSash then Bull = 1 //Positive endif BullSeparatingLine=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop<0.1*abody) if BullSeparatingLine then Bull = 1 //None endif BullishCounterAttack=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND close<=close[1]) if BullishCounterAttack then Bull = 1 //None endif BullishKicking=(body[1]<0 AND longcandle[1] AND body>0 AND longcandle AND open>=open[1] AND shadowtop=0 AND shadowbottom=0) if BullishKicking then Bull = 1 //None endif //Bearish Signal EveningStar=(body[2]>0 AND body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close) if EveningStar then Bear = 1 endif DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1]) if DarkCloudCover then Bear = 1 endif AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high) if AbandonedBabyTop then Bear = 1 endif ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishharami[1] and close<close[1]) if ThreeInsideDown then Bear = 1 endif ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and bearishengulfing[1] and close<close[1]) if ThreeOutsideDown then Bear = 1 endif ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1]) if ThreeBlackCrows then Bear = 1 endif UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2]) if UpsideGapTwoCrows then Bear = 1 endif BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if BearishHarami then Bear = 1 endif DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1]) if DescendingHawk then Bear = 1 endif BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if BearishEngulfing then Bear = 1 endif LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle) if LastEngulfingTop then Bear = 1 endif DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3) if DragonflyDojiTop then Bear = 1 endif GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3) if GravestoneDojiTop then Bear = 1 endif DojiStarTop=(body[1]>0 AND longcandle[1] AND high>high[1] AND open>close[1] AND ratio<0.3 AND range<0.3*range[1]) if DojiStarTop then Bear = 1 endif BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1]) if BearishHaramiCross then Bear = 1 endif AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1]) if AdvanceBlock then Bear = 1 endif TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2]) if TwoCrows then Bear = 1 endif BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3]) if BearishBreakaway then Bear = 1 endif ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody) if ShootingStar then Bear = 1 endif HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody) if HangingMan then Bear = 1 endif FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1]) if FallingThreeMethods then Bear = 1 endif BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3]) if BearishThreeLineStrike then Bear = 1 endif BearishMatHold=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and close[3]<close[4] and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1]) if BearishMatHold then Bear = 1 endif BearSash=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open>open[1] AND open<close[1] AND close<open[1] AND shadowbottom<0.1*abody) if BearSash then Bear = 1 endif BearSeparatingLine=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowbottom<0.1*abody) if BearSeparatingLine then Bear = 1 endif BearishCounterAttack=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND close>=close[1]) if BearishCounterAttack then Bear = 1 endif BearishKicking=(body[1]>0 AND longcandle[1] AND body<0 AND longcandle AND open<=open[1] AND shadowtop=0 AND shadowbottom=0) if BearishKicking then Bear = 1 endif //Entry/Exit Criteria possize = 1 NearMA = Average[7,2](close) If countofposition = 0 and Bull = 1 and NearMA[1] > NearMA[3] and RSI[2](close) > 75 and NearMA > Average[150,2](close) Then //If shortonmarket Then //Exitshort at market //EndIf Buy possize contract at market EndIf If countofposition = 0 and Bear = 1 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close) Then //If longonmarket Then //Sell at market //EndIf //Sellshort possize contract at market EndIf Set Target pProfit 8 Set Stop pLoss 100

This topic has 219 replies, 29 voices, and was last updated 7 years ago by Leo.

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09/27/2017 at 2:23 PM #47532

Despair

The short side of my version is about breakeven or a tiny profit in backtest (50% winners and 1,02 gain/loss ratio). But maybe good have the short in case of a downtrend. Not sure…

Despair

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09/27/2017 at 2:30 PM #47534

juanj

Best would then obviously be to adapt and test your strategy on something in a downtrend over the last 3 to 4 months.

juanj

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09/27/2017 at 3:57 PM #47544

Despair

I will ahne a closer look at this. I check only very quickly. I will let you know if I find something.

Despair

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09/27/2017 at 8:12 PM #47569

Inertia

Hope this help…

from a Backtest on 200K, TF1′, Tick by tick.

1 user thanked author for this post.

Despair

Inertia

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09/27/2017 at 8:24 PM #47571

juanj

Check out these two sites, it has some statistics on all the different candlestick patterns:

http://thepatternsite.com/chartpatterns.html

http://paststat.com/Screener/signal/Bullish-Engulfing

3 users thanked author for this post.

manel,

Despair,

Inertia

juanj

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09/27/2017 at 8:31 PM #47572

Inertia

To be checked.

That is the best I can get from my side…

DEFPARAM CumulateOrders = True
DEFPARAM FLATBEFORE = 085500 // 85500
DEFPARAM FLATAFTER = 200000
noEntryBeforeTime = 085500
timeEnterBefore = time >= noEntryBeforeTime
noEntryAfterTime = 170000
timeEnterAfter = time < noEntryAfterTime
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
 
If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then
Sell at market
ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then
Exitshort at market
EndIf
 
body=close-open
abody=abs(body)
if range>0 then
ratio=abody/range
else
ratio=0
endif
longcandle= (ratio>0.6)
indicator1 = Average[1000](close)
c1 = (close CROSSES UNDER indicator1)
 
Bear = 0
 
//Bearish Signal
 
ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and close<close[1])
if ThreeInsideDown then
Bear = 1
endif
 
ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])
if ThreeBlackCrows then
Bear = 1
endif
  
//Entry/Exit Criteria
 
possize = 1

NearMA = Average[7,2](close)
If countofposition = 0 and Bear = 1 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close) and c1 and timeEnterBefore and timeEnterAfter and not daysForbiddenEntry Then
//If shortonmarket Then
//Exitshort at market
//EndIf
sellshort possize contract at market
EndIf
 
//trailing stop
trailingstop = 10
 
//resetting variables when no trades are on market
if not onmarket then
MINPRICE = close
priceexit = 0
endif
 
//case SHORT order
if shortonmarket then
MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade
if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
endif
endif
 
//exit on trailing stop price levels
if onmarket and priceexit>0 then
EXITSHORT AT priceexit STOP
SELL AT priceexit STOP
endif
 
Set Target %Profit 0.8 // 0.42
SET STOP %loss 0.34 // 0.46

DEFPARAM CumulateOrders = True

DEFPARAM FLATBEFORE = 085500 // 85500

DEFPARAM FLATAFTER = 200000

noEntryBeforeTime = 085500

timeEnterBefore = time >= noEntryBeforeTime

noEntryAfterTime = 170000

timeEnterAfter = time < noEntryAfterTime

daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

If longonmarket and close < positionprice and (barindex-tradeindex) > 650 Then

Sell at market

ElsIf shortonmarket and close > positionprice and (barindex-tradeindex) > 60 then

Exitshort at market

EndIf

body=close-open

abody=abs(body)

if range>0 then

ratio=abody/range

else

ratio=0

endif

longcandle= (ratio>0.6)

indicator1 = Average[1000](close)

c1 = (close CROSSES UNDER indicator1)

Bear = 0

//Bearish Signal

ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and close<close[1])

if ThreeInsideDown then

Bear = 1

endif

ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])

if ThreeBlackCrows then

Bear = 1

endif

//Entry/Exit Criteria

possize = 1

NearMA = Average[7,2](close)

If countofposition = 0 and Bear = 1 and NearMA[1] < NearMA[3] and RSI[2](close) < 25 and NearMA < Average[150,2](close) and c1 and timeEnterBefore and timeEnterAfter and not daysForbiddenEntry Then

//If shortonmarket Then

//Exitshort at market

//EndIf

sellshort possize contract at market

EndIf

//trailing stop

trailingstop = 10

//resetting variables when no trades are on market

if not onmarket then

MINPRICE = close

priceexit = 0

endif

//case SHORT order

if shortonmarket then

MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade

if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then

priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level

endif

//exit on trailing stop price levels

if onmarket and priceexit>0 then

EXITSHORT AT priceexit STOP

SELL AT priceexit STOP

endif

Set Target %Profit 0.8 // 0.42

SET STOP %loss 0.34 // 0.46

Inertia

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09/28/2017 at 4:19 PM #47695

Despair

I played a little bit around with the short side and interestingly same as for the long side, thursdays are losing days. Mondays are much better short though with being second best (wednesdays are best).

No matter what, you don’t want to trade this strategy on thursdays, that’s for sure.

Despair

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09/28/2017 at 8:15 PM #47728

juanj

Okay folks, time for us to change gear. Let’s build a lean long and short scalper based on real research.

This guy has done some serious research on all known candlestick patterns. He has documented over 1000 candlestick patterns along with their stats.

Here is his Top 10 (I have already started coding some of them)

Bulkowski’s Top 10 Continuation Candlesticks:
http://thepatternsite.com/CandleContinue.html

Bulkowski’s Top 10 Reversal Candlesticks:
http://thepatternsite.com/CandleReverse.html

Bulkowski’s Top 10 Performing Candlesticks:
http://thepatternsite.com/CandlePerformers.html

juanj

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09/28/2017 at 8:57 PM #47731

juanj

Here is something I coded to use as a platform for testing the different candlestick patterns.

Defparam cumulateorders = False

If hour > x and hour < x+y Then
possize = 1
If positionperf(1) < 0 and positionperf(2) < 0 Then
possize = possize*2
ElsIf positionperf(1) < 0 Then
possize = possize*3
ElsIf positionperf(1) > 0 and positionperf(2) > 0 and positionperf(3) > 0 Then
possize = possize*3
ElsIf positionperf(1) > 0 and positionperf(2) > 0 Then
possize = possize*2
EndIf
Else
If longonmarket then
sell at market
ElsIf shortonmarket then
exitshort at market
EndIf
possize = 0
EndIf

//Three Line Strike Buillish Reversal
//If countofposition = 0 and (close[3] < open[3] and low[2] < low[3] and close[2] < close[3] and low[1] < low[2] and close[1] < close[2] and low < low[1] and open < close[1] and close > high[3] and close < Average[20](close)) Then

//Three Black Crows Bearish Continuation
If countofposition = 0 and (close[2] < open[2] and ((high[2] - open[2]) <= (open[2]-close[2]/5)) and ((close[2] - low[2]) <= (open[2]-close[2]/5)) and open[1] > low[2] and close[1] < open[1] and ((high[1] - open[1]) <= (open[1]-close[1]/5)) and ((close[1] - low[1]) <= (open[1]-close[1]/5)) and close[1] < low[2] and open > low[1] and close < open and ((high - open) <= (open-close/5)) and ((close - low) <= (open-close/5)) and low < low[1] and close < Average[20](close)) Then
Sellshort possize contract at market
EndIf

If positionperf(1) < 0 Then
Set Stop $Loss 90/possize
EndIf
Set Target $Profit 30*possize

Defparam cumulateorders = False

If hour > x and hour < x+y Then

possize = 1

If positionperf(1) < 0 and positionperf(2) < 0 Then

possize = possize*2

ElsIf positionperf(1) < 0 Then

possize = possize*3

ElsIf positionperf(1) > 0 and positionperf(2) > 0 and positionperf(3) > 0 Then

possize = possize*3

ElsIf positionperf(1) > 0 and positionperf(2) > 0 Then

possize = possize*2

EndIf

Else

If longonmarket then

sell at market

ElsIf shortonmarket then

exitshort at market

EndIf

possize = 0

EndIf

//Three Line Strike Buillish Reversal

//If countofposition = 0 and (close[3] < open[3] and low[2] < low[3] and close[2] < close[3] and low[1] < low[2] and close[1] < close[2] and low < low[1] and open < close[1] and close > high[3] and close < Average[20](close)) Then

//Three Black Crows Bearish Continuation

If countofposition = 0 and (close[2] < open[2] and ((high[2] - open[2]) <= (open[2]-close[2]/5)) and ((close[2] - low[2]) <= (open[2]-close[2]/5)) and open[1] > low[2] and close[1] < open[1] and ((high[1] - open[1]) <= (open[1]-close[1]/5)) and ((close[1] - low[1]) <= (open[1]-close[1]/5)) and close[1] < low[2] and open > low[1] and close < open and ((high - open) <= (open-close/5)) and ((close - low) <= (open-close/5)) and low < low[1] and close < Average[20](close)) Then

Sellshort possize contract at market

EndIf

If positionperf(1) < 0 Then

Set Stop $Loss 90/possize

EndIf

Set Target $Profit 30*possize

juanj

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09/28/2017 at 9:51 PM #47733

AVT

@juanj The patternsite was “my dentist” at least for Dax, as he often already says patterns used to perform better in the past. Even when concentrating on the tops, I went better with breakout line patterns than with candle patterns. Just my experience.

AVT

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09/30/2017 at 4:42 PM #47884

Andre Vorster

@juanj

As I mentioned before I have access to powerful computers with internet access that is online 24/7.
I did dome comparative tests. The conclusion is the more processing power does make some difference but the bottle neck is still data transfer from PRT.

I can’t write code but I’m willing to help you with backtesting and WFA on these strategies.

Thank you.

Andre Vorster

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09/30/2017 at 5:50 PM #47889

juanj

@AVT I am not familiar with the expression ‘My Dentist’ but take it you meant you used to reference it regularly as an authoritative source.

I have found that much of his research still hold value today. So pattern reliability may have changed but I still use it on a daily basis as confirmation of my other signals.

juanj

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09/30/2017 at 6:32 PM #47893

Despair

I think there is still value in Bulkowskis work on both candlesticks and chart patterns but one has to keep in mind that he did all his research on stocks. Some of them might also apply to commodities and stock indices but some also might be plain wrong for other assets than stocks.

Despair

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09/30/2017 at 6:49 PM #47896

Despair

@Andre: I’m actually wondering where is done what when running a backtest. I was surprised what happened to me this week. I was running a backtest and then my internet failed so I was disconnected from the PRT server (happens since I live outside town little in the woods and still waiting for somebody to lay fiberoptic-cable to my house LOL). Anyway the backtest seemed unaffected and continued also while I was disconnected. I was amazed to see this since I thought all was done on the server side. So this would mean that backtest ARE run on ones computer and therefore should speed up with more computing power.

Despair

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10/01/2017 at 1:06 PM #47920

AVT

@juanj Sorry, it’s based on a phrase. Example: I have the idea, buy every 3rd day and sell 2 days later. Now you answer, due to statistics you are ruined within a month. “You pulled me this tooth” means you convinced me, that this idea does not work. If we play this several times, you might say, seems I am your dentist, next time I will invoice the treatment 😉

AVT

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