RSI-EMA EurUsd M15

• 05/17/2021 at 7:11 AM #169771
  phoentzs

  Here is a little strategy from me. Profitable over a full 200,000 bars in a small time unit. Unfortunately, the yield is not huge. But the interesting thing is that you can trade well with just a single filter for such a long time. Also works with a Bollinger entry and EMA60 as a filter.
  Maybe someone has an idea how to get more yield out.
  Unfortunately, I have not yet found any other currency pair that works consistently well in a similar manner.
  Ideas and improvements are very welcome.

  //------------------------------------------------------------------------- // Hauptcode : #KISS RSI5 EurUsd M15 //Spread = 1 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = false defparam preloadbars = 2000 Nlong = 1 Nshort = 1 MAXSHARES = abs(COUNTOFPOSITION) <= 1 //EMA-Trend EMA1 = ExponentialAverage[45](close) //50 //EMA2 = ExponentialAverage[ma*1](close)//H1 EMA3 = ExponentialAverage[45](close) //60 EMAlong = close > EMA3 EMAshort = close < EMA3 steigunglong = EMA1 > EMA1[1] steigungshort = EMA1 < EMA1[1] myATR = AverageTrueRange[12](close) //RSI5-Eingang myRSI = RSI[5](close) rsilong = (myRSI[1] > 30) and (myRSI < 30) rsishort = (myRSI[1] < 70) and (myRSI > 70) rsilongraus = myRSI > 75 rsishortraus = myRSI < 30 IF Time >= 010000 AND Time <= 230000 THEN IF rsilong and EMAlong and steigunglong and MAXSHARES THEN //and emalongkurz BUY Nlong shares at market //SET STOP %LOSS 0.35 //120 //Set target %profit 0.975 //40 SET STOP LOSS myATR*6 //120 Set target profit myATR*7 ENDIF IF rsishort and EMAshort and steigungshort and MAXSHARES THEN //and emashortkurz sellshort Nshort shares at market //BollUp[1]limit //SET STOP %LOSS 0.975 //130 //Set target %profit 0.9 //40 SET STOP LOSS myATR*10 //120 Set target profit myATR*9.25 ENDIF endif if longonmarket and rsilongraus then //c2 sell at market endif if shortonmarket and rsishortraus then //c1 exitshort at market endif //if time = 230000 then //and dayofweek = 5 then //sell at market //EXITSHORT at market //endif //************************************************************************ //trailing stop function trailingstartL = 23 //30 15 trailing will start @trailinstart points profit trailingstartS = 18 //30 15 trailing will start @trailinstart points profit trailingstepL = 9 //2 1 trailing step to move the "stoploss" trailingstepS = 2 //2 1 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstartL*pipsize THEN newSL = tradeprice(1)+trailingstepL*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstepL*pipsize THEN newSL = newSL+trailingstepL*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartS*pipsize THEN newSL = tradeprice(1)-trailingstepS*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstepS*pipsize THEN newSL = newSL-trailingstepS*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101

  //------------------------------------------------------------------------- // Hauptcode : #KISS RSI5 EurUsd M15 //Spread = 1 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = false defparam preloadbars = 2000   Nlong = 1 Nshort = 1   MAXSHARES = abs(COUNTOFPOSITION) <= 1   //EMA-Trend EMA1 = ExponentialAverage[45](close) //50 //EMA2 = ExponentialAverage[ma*1](close)//H1 EMA3 = ExponentialAverage[45](close) //60   EMAlong = close > EMA3 EMAshort = close < EMA3   steigunglong = EMA1 > EMA1[1] steigungshort = EMA1 < EMA1[1]   myATR = AverageTrueRange[12](close)   //RSI5-Eingang myRSI = RSI[5](close) rsilong = (myRSI[1] > 30) and (myRSI < 30) rsishort = (myRSI[1] < 70) and (myRSI > 70)   rsilongraus = myRSI > 75 rsishortraus = myRSI < 30   IF Time >= 010000 AND Time <= 230000 THEN   IF rsilong and EMAlong and steigunglong and MAXSHARES THEN //and emalongkurz BUY Nlong shares at market //SET STOP %LOSS 0.35 //120 //Set target %profit 0.975 //40 SET STOP LOSS myATR*6 //120 Set target profit myATR*7 ENDIF   IF rsishort and EMAshort and steigungshort and MAXSHARES THEN //and emashortkurz sellshort Nshort shares at market //BollUp[1]limit //SET STOP %LOSS 0.975 //130 //Set target %profit 0.9 //40 SET STOP LOSS myATR*10 //120 Set target profit myATR*9.25 ENDIF endif   if longonmarket and rsilongraus then //c2 sell at market endif if shortonmarket and rsishortraus then //c1 exitshort at market endif   //if time = 230000 then //and dayofweek = 5 then //sell at market //EXITSHORT at market //endif   //************************************************************************ //trailing stop function trailingstartL = 23 //30 15 trailing will start @trailinstart points profit trailingstartS = 18 //30 15 trailing will start @trailinstart points profit trailingstepL = 9 //2 1 trailing step to move the "stoploss" trailingstepS = 2 //2 1 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstartL*pipsize THEN newSL = tradeprice(1)+trailingstepL*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstepL*pipsize THEN newSL = newSL+trailingstepL*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartS*pipsize THEN newSL = tradeprice(1)-trailingstepS*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstepS*pipsize THEN newSL = newSL-trailingstepS*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  3 users thanked author for this post.

  Eric, Midlanddave, Nicolas

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  05/19/2021 at 2:36 PM #169985
  phoentzs

  Can one of the coders please help me? Unfortunately, my abilities are limited. If I understand correctly, my strategy here is a greatly simplified variant of the Vectorial DAX system. The trend is only given via the slope of an EMA. With WF in different variants, I always got EMA45 as a result. So I assume that it seems to be quite robust.

  Can someone give me the code snipet with which I can calculate the slope directly? Or the angle of the slope? Or even incorporate it into my strategy? Many Thanks!

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  05/19/2021 at 2:48 PM #169987
  robertogozzi

  These are some links where you can find info about slope and angle of indicators:

  https://www.prorealcode.com/prorealtime-indicators/moving-average-slope/

  https://www.prorealcode.com/prorealtime-indicators/tma-slope/

  https://www.prorealcode.com/prorealtime-indicators/b-m-i-angle-of-ma/

  https://www.prorealcode.com/topic/indicator-angle-of-sma-20/#post-119113

  https://www.prorealcode.com/topic/angle-oscillateur/#post-37563

  https://www.prorealcode.com/topic/ema-45-degres-uptrend/#post-70279

   

  1 user thanked author for this post.

  Edmond

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17138

  Been thanked: 4032 times
  05/19/2021 at 9:13 PM #170007
  phoentzs

  Thank you Roberto for pointing this out. I can now see how simple my code is. But maybe this simplicity also makes it so robust? 8 years in M15 and always a winner almost every quarter. I’ll try to work my way into the topic and maybe even tinker something.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 12:24 PM #172642
  deletedaccount100622

  Lovely system

  

  deletedaccount100622

  Participant

  Topics: 13

  Replies: 116

  Been thanked: 60 times
  06/28/2021 at 12:29 PM #172644
  phoentzs

  Sehr einfach, aber profitabel über Jahre hinweg. Hast du einen Vorschlag für Verbesserungen? Ich habe festgestellt, je mehr Filter man verwendet, desto eher landet man bei Überoptimierung.

  Very easy, but profitable for years. Do you have a suggestion for improvements? I’ve found that the more filters you use, the more likely you are to end up over-optimizing.
  

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 1:32 PM #172647
  robertogozzi

  @phoentzs

  Only post in the language of the forumthat you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.

  Thank you 🙂

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17138

  Been thanked: 4032 times
  06/28/2021 at 2:24 PM #172655
  phoentzs

  Oh sorry, my mistake.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 3:18 PM #172659
  Magifina

  Hello phoentzs,

  Great strategy with potential of improvment^^.

  You must be careful with spread that has a high impact on performance. Your strategy is running at night and spread can be higher.
  Otherwise you have included a trailing stop but it doesn’t improve the performance and you can curve fit results.

  

  Magifina

  Participant

  Topics: 2

  Replies: 41

  Been thanked: 12 times
  06/28/2021 at 4:08 PM #172663
  phoentzs

  In the strategy, the spread is: 1, since the spread is 0.9 at night and 0.6 during the day, the maximum risk is for positions over the weekend. In the backtest, however, weekend positions do not have a bad effect. The trailing stop is actually only an emergency solution for large movements. The strategy without a TP also works almost as well.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 4:27 PM #172664
  deletedaccount100622

  Hi

  I’ve recommended it to viewers of my site, at the moment I have tried a couple of things, will attach the code for you to review

  It seems hard to balance the increasing P/L with drawdowns, it feels like there’s another filter needed

  I tried making it a day trading system but that didn’t work so maybe as an overnight scalping system?

  https://robofuturestrader.com/kiss-eur-usd-system-on-prorealcode-to-pick-up/

  1 user thanked author for this post.

  phoentzs

  

  deletedaccount100622

  Participant

  Topics: 13

  Replies: 116

  Been thanked: 60 times
  06/28/2021 at 4:36 PM #172666
  phoentzs

  Thank you for your interest. I’ll look at the code later. I tried a lot as a filter … EMA tandem, EMA triple, momentum … a rising / falling EMA had the best results. I still have a version with an EMA angle, similar to Vectorial DAX … but this version is only slightly better. I think the “secret” lies in this: you only take / get what the market gives you. The more trades you filter out, the bigger the drawdown will be later. Tonight I’ll have a look at your code.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 8:03 PM #172679
  Eric

  Maybe change time filter to 22 instead of 23?

  Long time since i traded forex but i remember the spread could be wide sometimes in the evening, dont remember exactly when but around 22-23?

  

  Eric

  Participant

  Topics: 18

  Replies: 441

  Been thanked: 84 times
  06/28/2021 at 8:21 PM #172680
  phoentzs

  Yes that’s right. From 23: 00-01: 00 the spread is around 5 … that’s why I took a break during this time.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 960

  Been thanked: 198 times
  06/28/2021 at 8:46 PM #172681
  Eric

  Yes 2300 seems to the line in the sand

  This another shop but i guess IG also do this?

  https://www1.oanda.com/forex-trading/markets/recent

  

  Eric

  Participant

  Topics: 18

  Replies: 441

  Been thanked: 84 times
• Author
  Posts