Scalping EURUSD

• 08/13/2017 at 2:23 PM #43115
  Ronny

  Just to add som information to this thread, I have been running this algo live since mid May. The results are attached in a PDF.

  This is the version I have been running, Maz version (I have not done any manual interference):

  // ADX-Bollinger Mean Reversion v 1.12 // Version 0.23 // https://www.prorealcode.com/topic/scalping-eurusd/ DEFPARAM cumulateOrders = false DEFPARAM preloadBars = 300 once GMTOffset = 2 // Your time zone reletive to +/- GMT (in hours) 0=GMT | 1=CET once optimization = 1 // -- Optimizations selection -- if optimization = 1 then // USD_JPY :: M5 (Jan 2016- Apr 2017) startTime = 090000 // 100000 endTime = 230000 // 240000 fridayEndTime = 225000 // bolUpPeriod = 20 bolDnPeriod = 20 maShrtPeriod = 8 maLongPeriod = 200 adxPeriod = 21 adxThreshold = 22 stopLossMode = 3 // 1: Static | 2: Dynamic | 3: Trailing1 | 4: Trailing2 stopLoss = 67 // For Static stop slATRmultiple = 5 // For Dynamic stop targetATRmultiple = 7 // For Dynamic target //tslATRmultiple = 8 // For Dynamic trailing stop, also try 5 and 3 moneymgmt = 1 // 1: Fixt position size | 2: Increasing position size elsif optimization = 2 then startTime = 090000 // 100000 endTime = 230000 // 240000 fridayEndTime = 225000 // bolUpPeriod = 20 bolDnPeriod = 20 maShrtPeriod = 8 maLongPeriod = 200 adxPeriod = 21 adxThreshold = 22 stopLossMode = 3 // 1: Static | 2: Dynamic | 3and4: Trailing stops stopLoss = 70 // For Static stop slATRmultiple = 5 // For Dynamic stop moneymgmt = 1 // 1: Fixt position size | 2: Increasing position size // elsif optimization = 3 then // ... and so on endif // Money mgmt IF moneymgmt = 1 then positionSize = 1 elsif moneymgmt = 2 then REM Money Management Capital = 10000 Risk = 0.2 Sl = 70 // Could be our variable X REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/Sl)/PointValue)*pipsize) endif // -- Time zone adjustments -- startTime = startTime + ( GMTOffset * 10000 ) endTime = endTime + ( GMTOffset * 10000 ) fridayEndTime = fridayEndTime + ( GMTOffset * 10000 ) // -- Indicators ----- bLow = BollingerDown[bolUpPeriod] bHigh = BollingerUp[bolDnPeriod] MA1 = average[maShrtPeriod] MA2 = average[maLongPeriod] ad = adx[adxPeriod] atr = averageTrueRange[40] // -- Entry conditions ----- // -- Common Conditions (for both long and short) -- isTradingTime = (currenttime > startTime and currenttime < endTime) atADXLevel = (ad > adxThreshold) isLateFriday = (dayOfWeek = 5 and time >= fridayEndTime) if isTradingTime and atADXLevel then // -- long conditions only -- bc1 = not longOnMarket //and isTradingTime and atADXLevel bc1 = bc1 and (max(low, close) < bLow) //(low < bLow and close < bLow) bc1 = bc1 and (MA1 > MA2) //and (MA2 > MA2[1]) // -- Short conditions only -- sc1 = not shortOnMarket //and isTradingTime and atADXLevel sc1 = sc1 and (min(high, close) > bHigh) //(high > bHigh and close > bHigh) sc1 = sc1 and (MA1 < MA2) //and (MA2 < MA2[1]) else bc1 = 0 sc1 = 0 endif if onMarket then // -- Long EXIT conditions only -- le1 = longOnMarket and ( (close > bHigh) or isLateFriday ) // -- Short EXIT conditions only -- se1 = shortOnMarket and ( (close < bLow) or isLateFriday ) else le1 = 0 se1 = 0 endif // -- Execution Handlers ----- if bc1 then buy positionSize contract at market elsif sc1 then sellShort positionSize contract at market elsif le1 then sell at market elsif se1 then exitshort at market endif SET TARGET pPROFIT (atr * targetATRmultiple)/pointsize //dynamic ATR based target if stopLossMode = 1 then // static stop loss SET STOP pLOSS stopLoss elsif stopLossMode = 2 then // dynamic ATR based stop loss SET STOP pLOSS (atr * slATRmultiple)/pointsize elsif stopLossMode = 3 then // trailing stop 1 SET STOP pLOSS stoploss //trailingstop = (atr * tslATRmultiple)/pointsize trailingstop = 30 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE (Maximum favorable excursion) of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif elsif stopLossMode = 4 then // trailing stop 2 SET STOP pLOSS stoploss trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 10 //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF ENDIF

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  // ADX-Bollinger Mean Reversion v 1.12 // Version 0.23 // https://www.prorealcode.com/topic/scalping-eurusd/   DEFPARAM cumulateOrders = false DEFPARAM preloadBars    = 300   once GMTOffset    = 2 // Your time zone reletive to +/- GMT (in hours) 0=GMT | 1=CET once optimization = 1   // -- Optimizations selection  --   if optimization = 1 then      // USD_JPY :: M5 (Jan 2016- Apr 2017) startTime     = 090000 // 100000 endTime       = 230000 // 240000 fridayEndTime = 225000 //   bolUpPeriod   = 20 bolDnPeriod   = 20 maShrtPeriod  = 8 maLongPeriod  = 200 adxPeriod     = 21 adxThreshold  = 22   stopLossMode  = 3          // 1: Static | 2: Dynamic | 3: Trailing1 | 4: Trailing2 stopLoss      = 67         //   For Static stop slATRmultiple = 5          //   For Dynamic stop targetATRmultiple = 7      //   For Dynamic target //tslATRmultiple = 8         //   For Dynamic trailing stop, also try 5 and 3 moneymgmt = 1 // 1: Fixt position size | 2: Increasing position size   elsif optimization = 2 then startTime     = 090000 // 100000 endTime       = 230000 // 240000 fridayEndTime = 225000 //   bolUpPeriod   = 20 bolDnPeriod   = 20 maShrtPeriod  = 8 maLongPeriod  = 200 adxPeriod     = 21 adxThreshold  = 22   stopLossMode  = 3          // 1: Static | 2: Dynamic | 3and4: Trailing stops stopLoss      = 70         //   For Static stop slATRmultiple = 5          //   For Dynamic stop moneymgmt = 1 // 1: Fixt position size | 2: Increasing position size   // elsif optimization = 3 then // ... and so on endif   // Money mgmt IF moneymgmt = 1 then positionSize = 1   elsif moneymgmt = 2 then REM Money Management Capital = 10000 Risk = 0.2 Sl = 70 // Could be our variable X   REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/Sl)/PointValue)*pipsize) endif   // -- Time zone adjustments -- startTime     = startTime     + ( GMTOffset * 10000 ) endTime       = endTime       + ( GMTOffset * 10000 ) fridayEndTime = fridayEndTime + ( GMTOffset * 10000 )   // -- Indicators ----- bLow  = BollingerDown[bolUpPeriod] bHigh = BollingerUp[bolDnPeriod] MA1   = average[maShrtPeriod] MA2   = average[maLongPeriod] ad    = adx[adxPeriod] atr   = averageTrueRange[40]   // -- Entry conditions ----- // -- Common Conditions (for both long and short) -- isTradingTime = (currenttime > startTime  and currenttime < endTime) atADXLevel    = (ad > adxThreshold) isLateFriday  = (dayOfWeek = 5 and time >= fridayEndTime)   if isTradingTime and atADXLevel then // --  long conditions only -- bc1 = not longOnMarket //and isTradingTime and atADXLevel bc1 = bc1 and (max(low, close) < bLow) //(low < bLow and close < bLow) bc1 = bc1 and (MA1 > MA2) //and (MA2 > MA2[1])   // -- Short conditions only -- sc1 = not shortOnMarket //and isTradingTime and atADXLevel sc1 = sc1 and (min(high, close) > bHigh) //(high > bHigh and close > bHigh) sc1 = sc1 and (MA1 < MA2) //and (MA2 < MA2[1]) else bc1 = 0 sc1 = 0 endif   if onMarket then // -- Long EXIT conditions only -- le1 = longOnMarket and ( (close > bHigh) or isLateFriday ) // -- Short EXIT conditions only -- se1 = shortOnMarket and ( (close < bLow) or isLateFriday ) else le1 = 0 se1 = 0 endif   // -- Execution Handlers ----- if bc1 then buy positionSize contract at market elsif sc1 then sellShort positionSize contract at market   elsif le1 then sell at market elsif se1 then exitshort at market endif   SET TARGET pPROFIT (atr * targetATRmultiple)/pointsize       //dynamic ATR based target   if stopLossMode = 1 then           // static stop loss SET STOP pLOSS stopLoss   elsif stopLossMode = 2 then        // dynamic ATR based stop loss SET STOP pLOSS (atr * slATRmultiple)/pointsize   elsif stopLossMode = 3 then        // trailing stop 1 SET STOP pLOSS stoploss //trailingstop = (atr * tslATRmultiple)/pointsize trailingstop = 30   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE (Maximum favorable excursion) of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif   elsif stopLossMode = 4 then        // trailing stop 2 SET STOP pLOSS stoploss trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 10 //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF ENDIF

   

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  DanInvest

  

  Ronny

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  08/14/2017 at 8:52 AM #43134
  victormork

  Hi Ronny! Thanks for sharing! I tested this strategy mostly on demo and after letting it run for some time and a few tries on backtest I decided not to run it live. The main problem that I found was trades it got into when the short term trend was turning around ( same problem as with all mean-rev.) However on such short timeframe I found it hard to determinate if it was possible to get a long term edge and not just a short term curve fit.

  

  victormork

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  08/14/2017 at 9:41 AM #43144
  Ronny

  I can understand that this one easily gets curve fitted. It’s a pity actually, I like the idea behind it. Looking at the equity curve, it has a quite stable downwards movement. Maybe it could tell us that it’s something there to explore 🙂 Anyway 55 trades is not representative, but I get a feeling that I should shut it down. I like testing the strategys with small amounts in live trade, more than demotrading.

  

  Ronny

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