Bollinger Reversion Strategy – USD/JPY

• 05/19/2018 at 12:30 PM #70867
  BC

  I found this strategy from below website, made some minor modification, and add a MA filter, 240 per unit to simulate a daily MA.

  https://www.babypips.com/trading/system-short-term-bollinger-reversion-180426

  Walk forward by MA filter, stop loss and target profit screen capture attached.

  Please enjoy and comment.

  Bollinger Reversion Strategy

  // Bollinger Reversion Strategy // Market: USD-JPY // Time Frame: 1 Hour // Time Zone: Any // Spread: 2 // Original Idea from below website // https://www.babypips.com/trading/system-short-term-bollinger-reversion-180426 defparam preloadbars = 5000 defparam cumulateorders = True // no MM Position Size Once noMMPositionSizeLong = 1 Once noMMPositionSizeShort = 1 // Optional Function ( 1 = Enable 0 = Disable ) BollingerMiddleExit = 1 BollingerUpDownExit = 0 MAFilter = 1 MaxStopLoss = 1 MaxTargetProfit = 1 MoneyManagement = 0 // Main Indicators Parameters Setup Once BollingerMAPeriods = 50 // Not Optimize Once RSIPeriods = 9 // Not Optimize // Optional Function Parameters Setup // MA Filter If MAFilter then Once MAFilterPeriods = 1680 // Variables Optimized, Range: 240-2400 Step: 240 TrendMA = Average[MAFilterPeriods](close) LongMAFilter = Close > TrendMA ShortMAFilter = Close < TrendMA Endif // 1) MaxStopLoss Setting If MaxStopLoss then //Long ONCE stopLossLong = 1.4 // by %, Variables Optimized //Short ONCE stopLossShort = 1 // by %, Variables Optimized Endif //2) Target Profit Setting If MaxTargetProfit then //Long ONCE takeProfitLong = 1.2 // by %, Variables Optimized //Short ONCE takeProfitShort = 1 // by %, Variables Optimized Endif // Money Management If MoneyManagement then Once StartPositionSize = 1 Once Size = StartPositionSize Once InitialCapital = (100000*Size) Once LastBalance = 0 Equity = InitialCapital + LastBalance + StrategyProfit Once MaxPosition = 100 Once StepX = InitialCapital * 1 For TimesX = 1 to MaxPosition Do If Equity >= StepX * TimesX then PositionSize = Size * TimesX ElsIf Equity <= InitialCapital then PositionSize = StartPositionSize endif Next PositionSizeLong = PositionSize PositionSizeShort = PositionSize // Fuse System Once CloseBalanceMaxDrop = 50 If equity<QuickLevel then Quit Endif RecordHighest = MAX(RecordHighest,Equity) QuickLevel = RecordHighest*((100-CloseBalanceMaxDrop)/100) Endif //Core Indicator MyBollingerUpBand = BollingerUp[BollingerMAPeriods](close) MyBollingerLowBand = BollingerDown[BollingerMAPeriods](close) MyBollingerMidBand = Average[BollingerMAPeriods](close) MyRSILong = RSI[RSIPeriods](close) MyRSIShort = RSI[RSIPeriods](close) //Long Setup LongCondition1 = Close < Open LongCondition2 = Low < MyBollingerLowBand LongCondition3 = Close > MyBollingerLowBand LongCondition4 = High < MyBollingerMidBand LongCondition5 = MyRSILong < 30 // Not Optimize LongSignal = LongCondition1 and LongCondition2 and LongCondition3 and LongCondition4 and LongCondition5 //Short Setup ShortCondition1 = Open > Close ShortCondition2 = High > MyBollingerUpBand ShortCondition3 = Close < MyBollingerUpBand ShortCondition4 = Low > MyBollingerMidBand ShortCondition5 = MyRSIShort > 70 // Not Optimize ShortSignal = ShortCondition1 and ShortCondition2 and ShortCondition3 and ShortCondition4 and ShortCondition5 //Trading Action GoLong = LongSignal GoShort = ShortSignal If MAFilter then GoLong = LongSignal and LongMAFilter GoShort = ShortSignal and ShortMAFilter Endif //Long Entry If GoLong then If MoneyManagement then Buy PositionSizeLong Contract at Market Else Buy noMMPositionSizeLong Contract at Market Endif If MaxStopLoss then StopLoss = StopLossLong Endif If MaxTargetProfit then TakeProfit = TakeProfitLong Endif Endif //Short entry If GoShort then If MoneyManagement then SellShort PositionSizeShort Contract at Market Else SellShort noMMPositionSizeShort Contract at Market Endif If MaxStopLoss then StopLoss = StopLossShort Endif If MaxTargetProfit then TakeProfit = TakeProfitShort Endif Endif // Bollinger Middle Exit If BollingerMiddleExit then If LongonMarket and Close > MyBollingerMidBand then Sell at Market Endif If ShortonMarket and Close < MyBollingerMidBand then ExitShort at Market Endif Endif // Bollinger Up Down Exit If BollingerUpDownExit then If LongonMarket and Close > MyBollingerUpBand then Sell at Market Endif If ShortonMarket and Close < MyBollingerLowBand then ExitShort at Market Endif Endif // Stop Loss If MaxStopLoss then Set Stop %Loss StopLoss Endif // Target Profit If MaxTargetProfit then Set Target %Profit TakeProfit Endif

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  // Bollinger Reversion Strategy // Market: USD-JPY // Time Frame: 1 Hour // Time Zone: Any // Spread: 2 // Original Idea from below website // https://www.babypips.com/trading/system-short-term-bollinger-reversion-180426   defparam preloadbars = 5000 defparam cumulateorders = True   // no MM Position Size Once noMMPositionSizeLong = 1 Once noMMPositionSizeShort = 1   // Optional Function ( 1 = Enable  0 = Disable ) BollingerMiddleExit = 1 BollingerUpDownExit = 0 MAFilter = 1 MaxStopLoss = 1 MaxTargetProfit = 1 MoneyManagement = 0   // Main Indicators Parameters Setup Once BollingerMAPeriods = 50  // Not Optimize Once RSIPeriods = 9           // Not Optimize   // Optional Function Parameters Setup // MA  Filter If MAFilter then Once MAFilterPeriods = 1680   // Variables Optimized, Range: 240-2400 Step: 240 TrendMA = Average[MAFilterPeriods](close) LongMAFilter = Close > TrendMA ShortMAFilter = Close < TrendMA Endif   // 1) MaxStopLoss Setting If MaxStopLoss then //Long ONCE stopLossLong = 1.4   // by %, Variables Optimized //Short ONCE stopLossShort = 1    // by %, Variables Optimized Endif   //2) Target Profit Setting If MaxTargetProfit then //Long ONCE takeProfitLong = 1.2 // by %, Variables Optimized //Short ONCE takeProfitShort = 1  // by %, Variables Optimized Endif     // Money Management If MoneyManagement then   Once StartPositionSize = 1 Once Size = StartPositionSize Once InitialCapital = (100000*Size) Once LastBalance = 0 Equity = InitialCapital + LastBalance + StrategyProfit Once MaxPosition = 100     Once StepX = InitialCapital * 1 For TimesX = 1 to MaxPosition Do If Equity >= StepX * TimesX  then PositionSize = Size * TimesX ElsIf Equity <= InitialCapital then PositionSize = StartPositionSize endif Next   PositionSizeLong = PositionSize PositionSizeShort = PositionSize   // Fuse System Once CloseBalanceMaxDrop = 50 If equity<QuickLevel then Quit Endif RecordHighest = MAX(RecordHighest,Equity) QuickLevel = RecordHighest*((100-CloseBalanceMaxDrop)/100)   Endif   //Core Indicator MyBollingerUpBand = BollingerUp[BollingerMAPeriods](close) MyBollingerLowBand = BollingerDown[BollingerMAPeriods](close) MyBollingerMidBand = Average[BollingerMAPeriods](close) MyRSILong = RSI[RSIPeriods](close) MyRSIShort = RSI[RSIPeriods](close)   //Long Setup LongCondition1 = Close < Open LongCondition2 = Low < MyBollingerLowBand LongCondition3 = Close > MyBollingerLowBand LongCondition4 = High < MyBollingerMidBand LongCondition5 = MyRSILong < 30    // Not Optimize   LongSignal = LongCondition1 and LongCondition2 and LongCondition3 and LongCondition4 and LongCondition5   //Short Setup ShortCondition1 = Open > Close ShortCondition2 = High > MyBollingerUpBand ShortCondition3 = Close < MyBollingerUpBand ShortCondition4 = Low > MyBollingerMidBand ShortCondition5 = MyRSIShort > 70  // Not Optimize   ShortSignal = ShortCondition1 and ShortCondition2 and ShortCondition3 and ShortCondition4 and ShortCondition5   //Trading Action GoLong = LongSignal GoShort = ShortSignal   If MAFilter then GoLong = LongSignal and LongMAFilter GoShort = ShortSignal and ShortMAFilter Endif   //Long Entry If  GoLong  then   If MoneyManagement then Buy PositionSizeLong Contract at Market Else Buy noMMPositionSizeLong Contract at Market Endif   If MaxStopLoss then StopLoss = StopLossLong Endif   If MaxTargetProfit then TakeProfit = TakeProfitLong Endif   Endif   //Short entry If GoShort  then   If MoneyManagement then SellShort PositionSizeShort Contract at Market Else SellShort noMMPositionSizeShort Contract at Market Endif   If MaxStopLoss then StopLoss = StopLossShort Endif   If MaxTargetProfit then TakeProfit = TakeProfitShort Endif   Endif   // Bollinger Middle Exit If BollingerMiddleExit then If LongonMarket and Close > MyBollingerMidBand then Sell at Market Endif   If ShortonMarket and Close < MyBollingerMidBand then ExitShort at Market Endif Endif   // Bollinger Up Down  Exit If BollingerUpDownExit then If LongonMarket and Close > MyBollingerUpBand then Sell at Market Endif   If ShortonMarket and Close < MyBollingerLowBand then ExitShort at Market Endif Endif   // Stop Loss If MaxStopLoss then Set Stop %Loss StopLoss Endif   // Target Profit If MaxTargetProfit then Set Target %Profit TakeProfit Endif

   

  , please enjoy and comment.

  

  BC

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  05/19/2018 at 12:55 PM #70871
  BC

  Another version with different SL, TP method and exit module.

  

  BC

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  05/19/2018 at 4:15 PM #70890
  JR1976

  good strategy ,   only  consideration is  few  trade

  

  JR1976

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  05/19/2018 at 4:43 PM #70892
  Vonasi

  JR1976 wrote:

  only  consideration is  few  trade

  Unfortunately this is quite often the way. Some of the best strategies place very few trades – but good trades, unfortunately the lack of trades makes them tough to test for robustness. A portfolio of many strategies that place few trades but good trades is a desirable thing to have but achieving this can be difficult due to the time required to prove robustness on this type of strategy. Also lots of strategies means the potential of lots of positions open at the same time so a big bank is needed to avoid ruin in this scenario.

  Sometimes it just seems easier to buy an ETF and open a beer and just get on with life!

  

  Vonasi

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  05/19/2018 at 4:50 PM #70893
  BC

  Hi Vonsai

  😩😩😩😩I wish someday I can meet u and beer togeher

  1 user thanked author for this post.

  Vonasi

  

  BC

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  06/24/2018 at 4:43 PM #74254
  chichihang

  Hi Bin

  Thanks for sharing I like this strategy much! This one is pretty similar as my trading habit as I always look for the opportunities of BB reversal.

  Apart from RSI, Stochastic is one of my favorite indicator combining with BB for determining a reversal e.g. <20 go long, >80 go short. Could be a good filter maybe : P

  Best

  Hang

  

  chichihang

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  06/27/2018 at 1:28 PM #74537
  JR1976

  COngrats for  this work

  COuld you test the strategy also for other  FOREX  ?

  Thanks

  

  JR1976

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