The MA-RSI Winner

• 05/24/2020 at 4:44 PM #133058
  Plaedies

  Hi All,

  This is my first strategy. Works really well on the 1HR timeframe on most Forex Pairs and most notibly on GBP/AUD.

  It uses the RSI indicator of 8 periods to identify volume at both 40 and 60 respectively to either go long or short. This is then paired with a Moving Average of 22 (Optimised) to look at crossovers for entering and exiting the trades.

  It uses a 4 Point/Pip Trailling Stop.

  What would I like to add?

  I would like to use an ATR at 20 periods to automatically calculate the Trailling Stop but I dont have the coding skills to add this.

  Short position example

  Current Timeframe Candle High price + (2*ATR) = Stop Loss

  Long Position Example

  Current Timeframe Candle Low Price – 2*ATR = Trailling Stop Value

  In the example above i’ve used 2 ATR. Ideally i would want this to be configurable or at least easy to change the number in the code as an integer.

  Appreciate any improvements, comments etc…

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = RSI[8](close) c1 = (indicator1 >= 60) indicator2 = ExponentialAverage[22](close) c2 = (close[1] > indicator2[1]) IF c1 AND c2 THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[22](close) c3 = (close < indicator3) IF c3 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator4 = RSI[8](close) c4 = (indicator4 <= 40) indicator5 = ExponentialAverage[22](close) c5 = (close[1] < indicator5[1]) IF c4 AND c5 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit short positions indicator6 = ExponentialAverage[22](close) c6 = (close > indicator6) IF c6 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 4

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = RSI[8](close) c1 = (indicator1 >= 60) indicator2 = ExponentialAverage[22](close) c2 = (close[1] > indicator2[1])   IF c1 AND c2 THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[22](close) c3 = (close < indicator3)   IF c3 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions indicator4 = RSI[8](close) c4 = (indicator4 <= 40) indicator5 = ExponentialAverage[22](close) c5 = (close[1] < indicator5[1])   IF c4 AND c5 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions to exit short positions indicator6 = ExponentialAverage[22](close) c6 = (close > indicator6)   IF c6 THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 4

   

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  Sebastian Arsjo

  

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  05/24/2020 at 4:48 PM #133083
  Nicolas

  Hi, thanks for sharing. Did you made the backtests with spread included and with tick-by-tick mode?

  

  Nicolas

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  05/25/2020 at 7:55 PM #133232
  Plaedies

  Hi @Nicolas

  Hmmm, that may have stumped me…. I thought the backtest automated the spread cost within the backtest automatically based against the Forex pair brokerage fee. Clearly this isnt the case? I am using CFD’s to demo trade this. Also the Tick by Tick shows an error so unable to verify unfortunately.

  When I do add a an average 1.57 pip spread it does decline considerably although still well profitable against a £500 start it finishes at £5K over 4 years backtesting alyjough the tick by tick may change that

  is there an area within the forum to request assistance with coding the above Trailling Stop?

  Best wishes,
  Plaedies

  

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  05/26/2020 at 10:58 AM #133294
  Nicolas

  Tick by tick mode is mandatory when you want to test the stoploss to be triggered inside a candlestick, otherwise the results could be VERY different in live trading.

  That’s why I always suggest to use a soft coded trailing stop in strategies AND to backtest with tick-by-tick mode enable (always!). There are many examples of trailing stop codes in forums and in the strategies posted in the library.

  

  Nicolas

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