RSI_BB_Long 5min trading strategy

• 09/15/2016 at 9:29 AM #13114
  JR1976

  My First code …

  EUR/USD mini ,Timeframe 5 min

  Only Long ,  and check RSI , Bollinger Band  with reinvestm. profit

  ////// RSI_BB_LONG ///// DEFPARAM CumulateOrders=False DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 120000 REINV = 1 // set-up 0 for not reinvest. levier = 5 IF REINV = 0 THEN n = levier ENDIF IF REINV = 1 THEN // Reinvest capital capital = 2000 + strategyprofit n = (capital / 200) *levier ENDIF if n > 30 then n = 30 endif // Variable c3 = Low < Bollingerdown c4 = Low[1] < Bollingerdown c6 = Close < Open c7 = Close[1] < Open[1] MM15 = ExponentialAverage[20](close) // Range r1 = range[1] > range c1 = RSI[10] < 30 IF c1 and c3 and c4 and c6 and c7 and r1 and not ONMARKET THEN BUY n SHARES AT High Stop //BUY 1 SHARES AT HIGH STOP //SET STOP %LOSS 0.8 //SET TARGET $PROFIT 15 ENDIF IF longonmarket and high > MM15 THEN SELL AT MARKET ENDIF SET STOP %LOSS 0.4

  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

  //////   RSI_BB_LONG  /////   DEFPARAM CumulateOrders=False DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter  = 120000     REINV = 1 // set-up 0  for not reinvest.   levier = 5       IF REINV = 0 THEN n = levier ENDIF   IF REINV = 1 THEN  // Reinvest capital capital = 2000 + strategyprofit n = (capital / 200) *levier ENDIF   if n > 30 then n = 30 endif   // Variable   c3  =  Low  <  Bollingerdown c4  =  Low[1]  <  Bollingerdown c6 =  Close   < Open c7 =  Close[1]   < Open[1]   MM15 =  ExponentialAverage[20](close) // Range   r1 = range[1] > range   c1 = RSI[10] < 30     IF c1  and c3 and c4   and c6 and c7 and r1 and  not  ONMARKET    THEN BUY n SHARES AT  High Stop //BUY 1 SHARES AT HIGH STOP //SET STOP %LOSS 0.8 //SET TARGET $PROFIT 15   ENDIF     IF longonmarket   and  high > MM15   THEN SELL   AT MARKET ENDIF   SET STOP %LOSS 0.4

  and somenthing else

  The Back test  is good  but only one year  back

  welcome your fdb

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  09/15/2016 at 9:35 AM #13116
  Nicolas

  Hello JR1976,

  Thanks for your contribution, I have moved your post from the Library pending list to the forum.

  My test shows that the strategy isn’t so good before the last year. Did you include the spread in your backtests?

  Your idea is good : taking long position while piercing the lowest bollinger band, but while it is very effective in ranging market (price revert to its mean), it is not the case in trending one, that’s the main reason I believe it doesn’t perform well before 2015.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4775 times
  09/15/2016 at 9:52 AM #13121
  JR1976

  Hi Nicolas ,

  Thanks for your consultant , I confirm I used the spread 1 point

  regards.

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  09/15/2016 at 9:46 PM #13149
  JR1976

  HI Nicolas,

  I’am checked there is an error in the  code , because not start the levrier

  This the rule correct
  IF REINV = 1

  THEN  // Reinvest capital
  capital = 200 + strategyprofit
  n = (capital / 200) *levier
  ENDIF

  Could you please  check If  should be better  before 2015 ?

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  09/16/2016 at 9:28 AM #13155
  JR1976

  HI ,

  I tried to optimized   the code  to avoid the trend period …   the new variable is  to trade  IF

  c8 = dailyhigh > Dhigh(50)
  dailyHigh = DHigh(1)

  Could you please backtest 2014  to  complete the check  ??

  ///// RSI_BB_LONG_Pr ///// DEFPARAM CumulateOrders=False DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 120000 REINV = 1 // set-up 0 for not reinvest. levier = 2 IF REINV = 0 THEN n = levier ENDIF IF REINV = 1 THEN // Reinvest capital capital = 200 + strategyprofit n = (capital / 150) *levier ENDIF if n > 30 then n = 30 endif // Variable c1 = RSI[10] < 30 c3 = Low < Bollingerdown c4 = Low[1] < Bollingerdown c6 = Close < Open c7 = Close[1] < Open[1] //new c8 = dailyhigh > Dhigh(50) dailyHigh = DHigh(1) MM15 = ExponentialAverage[20](close) //MM100 = ExponentialAverage[100](Dailyhigh) // Range r1 = range[1] > range IF c1 and c3 and c4 and c6 and c7 and r1 and c8 and not ONMARKET THEN BUY n SHARES AT High Stop //BUY 1 SHARES AT HIGH STOP //SET STOP %LOSS 0.8 //SET TARGET $PROFIT 15 ENDIF IF longonmarket and high > MM15 THEN SELL AT MARKET ENDIF SET STOP %LOSS 0.4

  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

  /////   RSI_BB_LONG_Pr  /////   DEFPARAM CumulateOrders=False DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter  = 120000   REINV = 1 // set-up 0  for not reinvest.   levier = 2   IF REINV = 0 THEN n = levier ENDIF   IF REINV = 1 THEN  // Reinvest capital capital = 200 + strategyprofit n = (capital / 150) *levier ENDIF   if n > 30 then n = 30 endif   // Variable c1 = RSI[10] < 30 c3  =  Low  <  Bollingerdown c4  =  Low[1]  <  Bollingerdown c6 =  Close   < Open c7 =  Close[1]   < Open[1] //new c8 = dailyhigh > Dhigh(50) dailyHigh = DHigh(1)   MM15 =  ExponentialAverage[20](close) //MM100 =  ExponentialAverage[100](Dailyhigh) // Range   r1 = range[1] > range IF c1  and c3 and c4   and c6 and c7 and r1 and  c8 and  not  ONMARKET    THEN BUY n SHARES AT  High Stop //BUY 1 SHARES AT HIGH STOP //SET STOP %LOSS 0.8 //SET TARGET $PROFIT 15   ENDIF IF longonmarket   and  high > MM15   THEN SELL   AT MARKET ENDIF   SET STOP %LOSS 0.4

   

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  09/16/2016 at 11:02 AM #13159
  Nicolas

  I’m sorry, it is still not good. Please use the “Insert PRT code” when you add codes in your post, thank you.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4775 times
• Author
  Posts