Buy at Support system

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  • This topic has 12 replies, 4 voices, and was last updated 7 years ago by avatarHuw.
Viewing 13 posts - 1 through 13 (of 13 total)
  • 08/21/2017 at 12:57 PM #44300
    Huw

    Hi Everyone, Here is a simple market neutral strategy. It identifies the seven day low on a 5 min timeframe and buys the index. It then sells at a quarter of the distance between support and resistance. The attached images are of a comparison of buy and hold, buy in October sell in May and buy on Monday sell on Friday. It beats them all. Please note though that it only has just over a year of data and is set up for the ASX. You can change it to any other index by changing the contract size. You can also modify it to any other timeframe by changing the  parameter T to the timeframe you wish to use.

    4 users thanked author for this post.
    avatar mamio, avatar Nicolas, avatar dreads, avatar Derek
    09/04/2017 at 1:34 PM #45363
    dreads

    Hi Huw,

    Have you tried it on Forex? It looks promising unless I’ve made a mistaking back-testing it (I’m new at this). I’m running some pairs on demo to see how it goes.

     

     

    09/04/2017 at 10:50 PM #45431
    Huw

    Hi Dreads,

     

    Buy on support tends to work in an up trending market. Given that equities trend upwards over time then it tends to work a little better than buy and hold because it spends a bit less time in the market and rides a bit more of the volatility

     

    I’ve toyed with it on forex using a 100 pip stop loss in a daily time frame and only taking trades when the 50, 100 and 200 moving averages are aligned. I can post the code here in the next day or two. I wouldn’t like to run a forex strategy without a stop loss though and would advise against it.

    Thanks for your reply, I was beginning to think nobody was interested in this strategy. I’m sure it can be improved by some of the more seasoned traders and coders.

    09/04/2017 at 11:23 PM #45435
    dreads

    I usually go to the ProOrder section for automated strategies, so people might not have seen your thread here.

    09/10/2017 at 11:45 AM #45866
    Huw

    Hi Dreads, I’ve put some moving averages in but I think the system could maybe do with a better dynamic stop loss and a dynamic take profit. Still looks alright though.

    1 user thanked author for this post.
    avatar dreads
    09/10/2017 at 11:52 AM #45871
    Huw

    Hi All, I have a system to take trades on a seven day support and then takes profit on a 25% retracement to a recent high. The numbers look fairly good and the time in market looks ok too. My concern is I have no stop loss and the take profit is a bit static too. Just wondering if anybody has suggestions for a better dynamic stop loss and take profit which can also take into account a relatively large swing?

     

    Huw

    09/10/2017 at 12:15 PM #45878
    Nicolas

    Topics moved to ProOrder support and merged together.

    09/10/2017 at 12:20 PM #45879
    dreads

    Thanks, it looks good. I’m going to be testing this is demo for the next couple of weeks, I’ll let you know how it goes.

    09/24/2017 at 8:30 AM #47101
    Huw

    Hi Dreads,

    Please see the attached. I’ve modified the system to take shorts when the averages switch. I’ve also put a volatility stop loss in. I’ve left the three variables to optimise which are the amount of retracement for the long and short sides and an extra stop loss that exits a long position if the price drops too far below the support level. This works on backtests for every instrument across every time frame. To work on a one hour just switch out the variable of 60*24 to 60, if you want it for 5 mins then switch to 5. I’m going to run a few of these in demo first then maybe run in live if they work well.

    2 users thanked author for this post.
    avatar Marlon, avatar Nicolas
    09/24/2017 at 10:22 AM #47117
    Despair

    Hi Huw,

    Just had a look at your code and noticed that you have no similar exit condition for short trades like for long trades. Is this on purpose?

    09/24/2017 at 10:34 PM #47167
    Huw

    Hi Dispair, yes it’s correct. I tried to code it but the volatility stop seemed to work best for short trades on the back tests. The strategy still needs some work but I think I’m heading in the right direction. Any ideas or suggestions welcomed

    09/25/2017 at 9:43 AM #47189
    Despair

    Results improve some if you change the lookback period to 5 days (1 week of trading days) instead of 7.

    09/25/2017 at 10:18 PM #47316
    Huw

    Thanks for the tip despair. I’ve started a couple of these systems on my demo account on different time frames. I also took out the stop based on the price moving below the support by a certain % and left only the atr stop. I toyed with entering a long or a short if the price moves a certain% in the wrong direction but it doesn’t seem to work very well on the back test.

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