The following code looks for a close position 6 points or more below the low Bollinger line, as a secondary check it also then assesses if the current close is lower than the current day open position (US time) alongside making sure the averages 50 and 20 are positioned right for a long trade.
The stops and take profits are sized to the US Tech 100 (DFB) so I would advise caution if you decide to use this on other instruments. I’ve also experimented with different time periods and it’s safe to say that it runs best on 10 minute intervals.
As you can see from the image, the back testing has produced some very positive results and the strategy seems to be getting stronger over time as the index grows.
Naturally past results are not indictive of future results, so please use responsibly at your own risk.
The code stops a bad trade, the points trailing stop loss is 475 points below the opening position. This is just an additional failsafe should the market fall dramatically. At which point it would more than have likely trailed above the opening position.
Yeah, got it, it’s not a type of stop I ever use and I confused it for something else. When I think of trailing stop, I want something that locks in profit once it’s moved in my favour, rather than just reducing the max loss. But it seems to work, so go for it – best of luck.
475 is the most optimal starting position. Any less and the overall gains take a hit because trades close too early, making profit but not at the maximum potential.
Thanks very much for posting, looks interesting. As this is a long only strategy, trading an index that has been in a long up trend, please could anyone with a Premium account run it on 1M bars to see how it fairs during a down turn?
I like how it performs through the volatile months (Oct – US Election, Feb – Bond rally, Mar – Hedge Fund blow). The DD in Oct was relative, but not significant in terms of performance.
I’ve provided a more detailed view by month covering the events you mention above, naturally it’s not impervious to these events but it handles them well and there’s always a nice kickback to be had following a bad month.
The above version with 1 million bars was mistakenly done with Dow J. ….. so if it performs well with another market it is a great start to trading system.
this is with US Tech 100.
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