Backtest FX Strategy

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01/08/2023 at 8:31 PM #207085 quote

Participant

New

Currently using the below screener to check for large moves on Fridays in FX pairs. I need to add the following parameters:

– Price above BB in uptrend or below BB in downtrend (Daily)
– RSI Above 65 in uptrend or below 35 in downtrend (Daily)
– Price at highest weekly close in uptrend or lowest weekly close in downtrend (Daily)

Signal = 0
 
If DayOfWeek = 5 and OpenTime = 080000 then
xOpen080000 = Open
ElsIf DayOfWeek = 5 and OpenTime = 210000 then
xClose210000 = Close
EndIf
 
xMovedown = ((xOpen080000 - xClose210000) / xOpen080000)
xMoveUp = ((xClose210000 - xOpen080000) / xOpen080000)
 
If xMovedown > xPercent then
Signal = 1
Elsif xmoveUp > xpercent then
Signal = 1
EndIf
 
Screener[Signal]

01/08/2023 at 10:41 PM #207088 quote

Participant

Master

Hi @Philey

Here is the screener…

You can set the periods of the different signals (Bollinger, RSI, Highest, Lowest) yourself…

TimeFrame(Daily)
S1=BollingerUp[5](close)
S2=BollingerDown[5](close)
S3=RSI[5](close)
S4=Highest[5](Close)
S5=Lowest[5](Close)

TimeFrame(1 hour)
Signal=0
xPercent=1 //Minimal 1% move
 
If DayOfWeek = 5 and OpenTime = 080000 then
xOpen080000 = Open
ElsIf DayOfWeek = 5 and OpenTime = 210000 then
xClose210000 = Close
EndIf
 
xMove = ((xClose210000 - xOpen080000) / xOpen080000)*100

C1=xMove>= xPercent
C2=xMove<= -xPercent
C3=xClose210000>S1
C4=xClose210000<S2
C5=S3>65
C6=S3<35
C7=xClose210000>=S4
C8=xClose210000<=S5

If C1 and C3 and C5 and C7 then
Signal=1
ElsIf C2 and C4 and C6 and C8 then
Signal=2
EndIf
 
Screener[Signal](Signal as "1=Long, 2=Short")