Strategy trend trading when CCI is back from overbought zone

• 09/10/2021 at 8:46 AM #177184
  Swingueur

  Hello,
  On Twitter, someone was manually backtesting CCI crosses under 100 with SMA200 increasing, on GLO (GL Events).
  We were exchanging on the SL position, SMA200 vs SMA20.
  I was thinking that BOLLINGERDOWN could be a good compromise, so decided to code this strategy, comparing the 3 SLs.

  Assets: stocks
  Period: Daily
  Fees: 0.5% per order
  Position: 1000EUR

  Strategy CCI in an uptrend

  DEFPARAM CumulateOrders=False // Variables to optimize CAPITALInit = 1000 // amount to invest REINV = 0 // reinvest profits or not strategy = 2 // SL BOLLINGERDOWN RRR=1 // Risk Reward Ratio IF REINV = 0 THEN n = round((CapitalInit / close)) ELSIF REINV = 1 THEN capital = (CAPITALinit + strategyprofit) n = round((capital/close)) ENDIF ma200 = Average[200] c0 = Close>0.5 c1 = c0 and CCI[20] crosses under 100 and ma200>ma200[1] IF strategy = 1 THEN // SL: MA20 sellprice = min(close*0.97,Average[20]) ELSIF strategy = 2 THEN // SL: Boll Inf sellprice = min(close*0.97,BollingerDown[20]) ELSIF strategy = 3 THEN // SL: MA200 sellprice = min(close*0.97,Average[200]) ENDIF // Buy order if not LongOnMarket and c1 then BUY n shares at market tomorrowopen myStop = n*(close-sellprice) SET STOP $LOSS myStop SET TARGET $PROFIT RRR*myStop ENDIF

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  DEFPARAM CumulateOrders=False   // Variables to optimize CAPITALInit = 1000 // amount to invest REINV = 0 // reinvest profits or not strategy = 2 // SL BOLLINGERDOWN RRR=1 // Risk Reward Ratio   IF REINV = 0 THEN n = round((CapitalInit / close)) ELSIF REINV = 1 THEN capital = (CAPITALinit + strategyprofit) n = round((capital/close)) ENDIF   ma200 = Average[200] c0 = Close>0.5 c1 = c0 and CCI[20] crosses under 100 and ma200>ma200[1]   IF strategy = 1 THEN // SL: MA20 sellprice = min(close*0.97,Average[20]) ELSIF strategy = 2 THEN // SL: Boll Inf sellprice = min(close*0.97,BollingerDown[20]) ELSIF strategy = 3 THEN // SL: MA200 sellprice = min(close*0.97,Average[200]) ENDIF   // Buy order if not LongOnMarket and c1 then BUY n shares at market tomorrowopen myStop = n*(close-sellprice) SET STOP $LOSS myStop SET TARGET $PROFIT RRR*myStop ENDIF

  PS: I don’t think similar subject exist. If yes, the post can be deleted of course

  

  Swingueur

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  09/10/2021 at 10:05 AM #177192
  Nicolas

  Mean reversion strategy on up trend. You could use any bounded oscillators: RSI, Stochastic, .. They are used to time the entries.

  

  Nicolas

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  09/10/2021 at 5:27 PM #177220
  Swingueur

  I believe the intent was more to detect a consolidation (though this signal may be too early).
  Mean reversion would be to buy out of oversold zone with SMA20 (or any other criteria) as TP, no?
  Anyway, I posted here in case someone request the code, so that it can be shared, modified with other entry signals for those who are not confident in programming such simple strategy based on an entry signal (the initial backtest was done manually on graph and in Excel..)
  Plus if some members have ideas of improvements to share, this would be a win-win situation.

  1 user thanked author for this post.

  GraHal

  

  Swingueur

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  09/14/2021 at 5:18 AM #177478
  murre87

  Hi. Thanks for sharing. Did u find any improvements ur self ?

  

  murre87

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  09/14/2021 at 8:10 AM #177490
  Swingueur

  Not yet. I’m developing a file in which I compare several “famous” entry signals returns (MACD+SMA200, Supertrend+SMA200 etc…)
  This condition will be added to my file to compare with other strategies
  Following the recent excitement around ExtraTrend in the French community, I copied the money management script of the video, with some alternatives.
  The next step would be to combine entries and exits to create complex strategy with re-entries, break even levels, and partial profits.
  However, I like the simple approach of having a clear signal, SL and TP, backtested as profitable in the long term, and here we go!

  

  Swingueur

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  09/14/2021 at 10:14 AM #177532
  murre87

  Okey. Will be intresting to folow ur results.

  Have u checked out this thread?

   

  

  murre87

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  09/14/2021 at 10:23 AM #177533
  murre87

  https://www.prorealcode.com/topic/new-strategy-template/

  

  murre87

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  09/14/2021 at 3:11 PM #177559
  murre87

  Btw can u share the snippetcode of moneymanagement u refered to?

  

  murre87

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