EURUSD 5 min trading strategy

• 03/21/2017 at 12:21 PM #29276
  victormork

  Hi, I have a very short term system which I’m sharing to see if anyone have some ideas about how to improve it. I’m very well aware of that the spread is eating up a lot of the profit  on the shorter timeframe but even if the return is not very impressive, after the first three months of my test, it still looks stable so something must be right. Ideas about how to better capture short term momentum would be great. I have at the moment filtered out consolidations with the Bollinger bandwidth. The backtest is using 1 pip spread.

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Prevents the system from creating new orders to enter the market or increase position size before the specified time timeEnterBefore = time >= 070000 // Prevents the system from placing new orders to enter the market or increase position size after the specified time timeEnterAfter = time < 220000 // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = TEMA[21](close) indicator2 = Average[300](close) c1 = (indicator1 > indicator2) indicator3 = BollingerBandWidth[50](close) c2 = (indicator3 > 0.003) indicator4 = CCI[20] c3 = (indicator4 CROSSES OVER -110) IF (c1 AND c2 AND c3) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator5 = CCI[20] c4 = (indicator5 CROSSES OVER 210) IF c4 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator6 = TEMA[21](close) indicator7 = Average[300](close) c5 = (indicator6 < indicator7) indicator8 = BollingerBandWidth[50](close) c6 = (indicator8 > 0.003) indicator9 = CCI[20] c7 = (indicator9 CROSSES UNDER 160) IF (c5 AND c6 AND c7) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator10 = CCI[20] c8 = (indicator10 CROSSES UNDER -210) IF c8 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pLOSS 25

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Prevents the system from creating new orders to enter the market or increase position size before the specified time timeEnterBefore = time >= 070000   // Prevents the system from placing new orders to enter the market or increase position size after the specified time timeEnterAfter = time < 220000   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = TEMA[21](close) indicator2 = Average[300](close) c1 = (indicator1 > indicator2) indicator3 = BollingerBandWidth[50](close) c2 = (indicator3 > 0.003) indicator4 = CCI[20] c3 = (indicator4 CROSSES OVER -110)   IF (c1 AND c2 AND c3) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator5 = CCI[20] c4 = (indicator5 CROSSES OVER 210)   IF c4 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator6 = TEMA[21](close) indicator7 = Average[300](close) c5 = (indicator6 < indicator7) indicator8 = BollingerBandWidth[50](close) c6 = (indicator8 > 0.003) indicator9 = CCI[20] c7 = (indicator9 CROSSES UNDER 160)   IF (c5 AND c6 AND c7) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator10 = CCI[20] c8 = (indicator10 CROSSES UNDER -210)   IF c8 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pLOSS 25

   

  

  victormork

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  03/27/2017 at 2:14 PM #29986
  Nicolas

  Nice share Victor, thanks a lot. Results are somehow different before last year, but it’s already something interesting because you did not over optimised anything and intraday trading on forex pairs is a battlefield 🙂

  You’ll find attached the 200k bars backtest with tick/tick, 1 point spread like you did.

  

  Nicolas

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  03/27/2017 at 6:45 PM #30040
  victormork

  Thanks Nicolas. I know that intraday can be sometimes hopeless but it never hurts to try new things and learn from them. The second half of 2015 is maybe not to flattering even if it’s taken bak straight after.

  

  victormork

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