RSI-EMA EurUsd M15

phoentzs · Mon, 17 May 2021 06:11:10 +0000

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

This topic has 79 replies, 14 voices, and was last updated 1 year ago by fifi743.

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06/28/2021 at 9:31 PM #172682

phoentzs

Yes, it’s similar with IG too. But has no effect on the strategy.

phoentzs

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06/28/2021 at 10:55 PM #172684

phoentzs

~~Ich habe bereits mit diesen Tools experimentiert. Bei mir läuft das System live in den Einstellungen des Originals. Gibt es vielleicht einen besseren Filter? Gibt es Vorschläge?~~

I’ve already experimented with these tools. For me, the system runs live in the settings of the original. Could there be a better filter? Are there any suggestions?

phoentzs

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06/28/2021 at 10:55 PM #172685

phoentzs

Robo Futures Trader wrote:

Hallo

Ich habe es den Zuschauern meiner Website empfohlen, im Moment habe ich ein paar Dinge ausprobiert, werde den Code anhängen, damit Sie ihn überprüfen können

Es scheint schwierig zu sein, das steigende P/L mit Drawdowns auszugleichen, es fühlt sich an, als wäre ein weiterer Filter erforderlich

Ich habe versucht, es zu einem Daytrading-System zu machen, aber das hat nicht funktioniert, also vielleicht als Overnight-Scalping-System?

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

I have already experimented with these tools. For me, the system runs live in the settings of the original. Maybe there is a better filter? Are there any suggestions?

phoentzs

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06/28/2021 at 11:02 PM #172687

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 🙂

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06/30/2021 at 10:08 AM #172779

deletedaccount100622

Sorry should have said my time zone is UK

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06/30/2021 at 10:39 AM #172786

MauroPro

Interesting strategy.

I have tried to improve only the exit signal with a new exit: the output parameter of the RSI has been changed from 5 to 7 and “close” has been replaced with “typicalPrice”.

I also added a different trailingstop in percentage.

(below are shown the results for both System with: 200 – 100K).

// Hauptcode : #KISS RSI5 EurUsd M15<strong> newExitRsi</strong>
//Spread = 1
//-------------------------------------------------------------------------
DEFPARAM CumulateOrders = false
defparam preloadbars = 2000
Nlong = 1
Nshort = 1
MAXSHARES = abs(COUNTOFPOSITION) <= 1
//---------------------------------------------------------------------------
// ATR for Stop & Target
myATR = AverageTrueRange[12](close)

//EMA-Trend
EMA = ExponentialAverage[45](close)
EMAlong = close > EMA
EMAshort = close < EMA

// EMA-Steigung
steigungEmaLong = EMA > EMA[1]
steigungEmaShort = EMA < EMA[1]

//RSI5-Eingang
myRSI = RSI[5](close)
rsiLong = (myRSI[1] > 30) and (myRSI < 30)
rsiShort = (myRSI[1] < 70) and (myRSI > 70)

//RSI5-Ausgang
myRsiExit = RSI[7](typicalPrice)                              // NEW  RSI EXIT
rsiLongRaus  = myRsiExit > 75
rsiShortRaus = myRsiExit < 30

//-------------------------------------------------------------------------------
cLongEntry  = emaLong and steigungEmaLong and rsiLong
cShortEntry = emaShort and steigungEmaShort and rsiShort
//-------------------------------------------------------------------------------
cLongExit  = rsiLongRaus
cShortExit = rsiShortRaus
//-------------------------------------------------------------------------------

IF Time >= 010000 AND Time <= 230000 THEN
IF cLongEntry and MAXSHARES THEN
BUY Nlong shares at market
SET STOP LOSS myATR*6
Set target profit myATR*7
ENDIF

IF cShortEntry and MAXSHARES THEN
sellshort Nshort shares at market
SET STOP LOSS myATR*10
Set target profit myATR*9.25
ENDIF
endif
//-------------------------------------------------------------------------------
if longonmarket and cLongExit then
sell at market
endif
if shortonmarket and cShortExit then
exitshort at market
endif
//*******************************************************************************
percentageLong  = 0.2                                    // NEW TRAILING %
percentageShort = 0.3
percentagestep  = 0.05
trailingStartL = (close/100)*percentageLong
trailingStartS = (close/100)*percentageShort
trailingStep   = (close/100)*percentageStep

if not onmarket then
MAXPRICE = 0
MINPRICE = close
PREZZOUSCITA = 0
ENDIF
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close)
if MAXPRICE-tradeprice(1)>=trailingStartL then
PREZZOUSCITA = MAXPRICE-trailingStep
ENDIF
ENDIF
if shortonmarket then
MINPRICE = MIN(MINPRICE,close)
if tradeprice(1)-MINPRICE>=trailingStartS then
PREZZOUSCITA = MINPRICE+trailingStep
ENDIF
ENDIF
if onmarket and PREZZOUSCITA>0 then
EXITSHORT AT PREZZOUSCITA STOP
SELL AT PREZZOUSCITA STOP
ENDIF
//-----------------------------------------------------------------------------

// Hauptcode : #KISS RSI5 EurUsd M15<strong> newExitRsi</strong>

//Spread = 1

//-------------------------------------------------------------------------

DEFPARAM CumulateOrders = false

defparam preloadbars = 2000

Nlong = 1

Nshort = 1

MAXSHARES = abs(COUNTOFPOSITION) <= 1

//---------------------------------------------------------------------------

// ATR for Stop & Target

myATR = AverageTrueRange[12](close)

//EMA-Trend

EMA = ExponentialAverage[45](close)

EMAlong = close > EMA

EMAshort = close < EMA

// EMA-Steigung

steigungEmaLong = EMA > EMA[1]

steigungEmaShort = EMA < EMA[1]

//RSI5-Eingang

myRSI = RSI[5](close)

rsiLong = (myRSI[1] > 30) and (myRSI < 30)

rsiShort = (myRSI[1] < 70) and (myRSI > 70)

//RSI5-Ausgang

myRsiExit = RSI[7](typicalPrice) // NEW RSI EXIT

rsiLongRaus = myRsiExit > 75

rsiShortRaus = myRsiExit < 30

//-------------------------------------------------------------------------------

cLongEntry = emaLong and steigungEmaLong and rsiLong

cShortEntry = emaShort and steigungEmaShort and rsiShort

//-------------------------------------------------------------------------------

cLongExit = rsiLongRaus

cShortExit = rsiShortRaus

//-------------------------------------------------------------------------------

IF Time >= 010000 AND Time <= 230000 THEN

IF cLongEntry and MAXSHARES THEN

BUY Nlong shares at market

SET STOP LOSS myATR*6

Set target profit myATR*7

ENDIF

IF cShortEntry and MAXSHARES THEN

sellshort Nshort shares at market

SET STOP LOSS myATR*10

Set target profit myATR*9.25

ENDIF

endif

//-------------------------------------------------------------------------------

if longonmarket and cLongExit then

sell at market

endif

if shortonmarket and cShortExit then

exitshort at market

endif

//*******************************************************************************

percentageLong = 0.2 // NEW TRAILING %

percentageShort = 0.3

percentagestep = 0.05

trailingStartL = (close/100)*percentageLong

trailingStartS = (close/100)*percentageShort

trailingStep = (close/100)*percentageStep

if not onmarket then

MAXPRICE = 0

MINPRICE = close

PREZZOUSCITA = 0

ENDIF

if longonmarket then

MAXPRICE = MAX(MAXPRICE,close)

if MAXPRICE-tradeprice(1)>=trailingStartL then

PREZZOUSCITA = MAXPRICE-trailingStep

ENDIF

if shortonmarket then

MINPRICE = MIN(MINPRICE,close)

if tradeprice(1)-MINPRICE>=trailingStartS then

PREZZOUSCITA = MINPRICE+trailingStep

ENDIF

if onmarket and PREZZOUSCITA>0 then

EXITSHORT AT PREZZOUSCITA STOP

SELL AT PREZZOUSCITA STOP

ENDIF

//-----------------------------------------------------------------------------

5 users thanked author for this post.

Meta Signals Pro,

Eric,

murre87,

GraHal,

phoentzs

MauroPro

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06/30/2021 at 10:50 AM #172791

MauroPro

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06/30/2021 at 11:47 AM #172801

phoentzs

@MauroPro

I like this variant very much. Unfortunately, I can’t come up with such simple ideas myself. Good idea. I’ll be testing it out on the platform tonight.

phoentzs

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07/03/2021 at 8:42 PM #173068

Eric

Just curious, how do you handle this?

Pro?

https://www.elitetrader.com/et/threads/the-new-german-derivatives-trading-tax-law.359800/

Eric

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07/03/2021 at 10:44 PM #173072

phoentzs

At the moment I am not able to make a loss of 20k €. My stakes are not so high that I can make a living from it. It’s a sideline. If I ever get into that order of magnitude … the goal would not be to exceed a loss of € 20k.

phoentzs

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07/04/2021 at 8:32 AM #173075

GraHal

From the links above, seems below is an example of the tax rules our German members trading under?

if you make 100k euros in gross profit by EOY by having 500k in wins and 400k in losses, then you’d have to pay (131,500 – 2630) = 128,870 euros in taxes?

so basically you’d end up owing money even after having a gross profit of 100k euros EOY? who the hell even comes up with stuff like this?

PS
If we discuss much more on this then we need to raise a new / separate Topic.

GraHal

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07/04/2021 at 8:37 AM #173076

Eric

Ok, better with 20K (think it was talk about 10K in the beginning?)

It would have been even better if we could trade Turbos (turbo24) with proorder, attach a system on a CFD like DOW, EURUSD and then link the trades to a turbo

Small size to test things, and for us in Sweden no tax on profits and no paperwork, but i will not hold my breath waiting for it

a well back to topic, i started up three systems, one on EU 15 min and two on GU 5 and 10 min, lets see what happens?

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GraHal

Eric

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07/04/2021 at 2:18 PM #173091

phoentzs

That was decided by very clever politicians who have no idea. It’s exactly like Grahal calculated. That means, if I have reached a loss of € 20k per year with my strategies, I would have to pause for the asset class until the new year. That’s why I actually need strategies with a 90% hit rate and high yield. Does anyone have a good suggestion? 😉

phoentzs

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07/04/2021 at 2:19 PM #173092

phoentzs

@Eric

What strategies did you take online?

phoentzs

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07/04/2021 at 4:16 PM #173094

nonetheless

Here’s a quick treatment, a few minor changes, EurUsd Mini 15min, 1m bar backtest

Looking good, thanks for sharing!

4 users thanked author for this post.

Midlanddave,

phoentzs,

Eric,

GraHal

nonetheless

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