Bearish gap MM50 High/low strategy
- This topic has 9 replies, 5 voices, and was last updated 7 years ago by
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Hello everybody !
I’d like to share my first strategy so please, be lenient and don’t hesitate to comment it.
The principle is playing gap down only, no bullish. We sell (or not) just before the market close on Friday and we exitshort on Sunday at the open market.We have to sell only because there are more probability to have a big gap down than a big gap up. The filter is a moving average 50 high and low :
- If the market close over the MM50 high, we estimate that the market will do a correction at the next open market
- If the market close under the MM50 low, we immediately close the position.
- No trade between the channel
Good trades !
12345678910111213141516171819202122232425262728293031//EUR/USD//TF : 5MIN//SPREAD : 1.5// Définition des paramètres du codeDEFPARAM CumulateOrders = False // Cumul des positions désactivé// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".DEFPARAM FLATBEFORE = 220000// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiésdaysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 2 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 4// Conditions pour ouvrir une position en vente à découvertindicator1 = Average[50](high)c1 = (close CROSSES OVER indicator1)IF c1 AND not daysForbiddenEntry THENSELLSHORT 1 CONTRACT AT MARKETENDIF// Conditions pour fermer une position en vente à découvertindicator2 = Average[50](low)c2 = (close CROSSES UNDER indicator2)IF c2 THENEXITSHORT AT MARKETENDIF// Stops et objectifsSET STOP pLOSS 30SET TARGET pPROFIT 81 user thanked author for this post.
Hi Turame, thanks for posting your strategy. I moved it from the pending review of the library to this topic instead to discuss about it:
You found a recurring pattern that works through the last maximum history and that’s clever. However, I’d like to point you to some problems that may occurred with gaps in real life trading, things that the backtester can not simulate. Sometimes, if the gap is wider than your stoploss, the loss encountered could be worse than the one coded in the system (30 pips in this case), and vice-versa for takeprofit.
There is also overnight / overweekend fees that should consider, here is that I found on IG website:
Forex and spot metals
For forex and spot metals deals, we charge the tom-next rate plus a small admin fee (no more than 0.0022% per day).
Once again, thanks for sharing your discover, this recurring pattern is very interesting! 🙂
1 user thanked author for this post.
Thank you everybody for your useful comments !
@Nicolas : Thanks for those points I missed. I backtested again with additional taxes (5% per trade to be large) and the results are almost the same. You can see the picture below.
@Eric : It’s an interesting way, but I backtested it and I’m afraid because the results are quite identical… Good try !
@Francesco78 : It’s a good test to do ! If you test with a SL around 1000, the results are almost the same. Please see the picture below.I didn’t precise that the strategy works for lots of currency pairs.
1 user thanked author for this post.
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