Youtube FX Scalping Strategy

• 08/19/2019 at 7:34 PM #105089
  nfulcher

  I’m fairly new to the site and after discovering this FX Scalping strategy on Youtube I though I’d have a crack at coding it on PRC.

  It uses a slower time-frame (2 hour) to identify a trend (for a few bars) and then enters long or short positions on the default (5 minute ) time-frame once the candlestick pulls back into the quickest MA. It then tightens the trailing stop once a certain profit level is reached and rides the trend until the trailing stop is activated.

  The backtests I can do in demo mode (on GBP/USD) do not show fantastic results; the best I can get is 60% winning trades (out of only 5 trades) giving 4% gain.

  Either my coding isn’t on point or the strategy is not as good as I’d hoped.

  If anyone can help review it and run an extended backtest it would be very much appreciated.

  FX Scalping Strategy

  defparam cumulateorders = false // My Variables TradeSize = 10 // £ per point OrderDist = 3 // Set Order Distance in Pips MySL = 30 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = 10 // Fast MA EMA3 = 35 // Slow MA k = 4 // No of bars to check EMA diverging //trailing stop function trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 10 //trailing step to move the "stoploss" //declare the conditions on the Wider Timeframe //************* Start of Wider Time frame ******************************* timeframe(2h, updateonclose) h1EMA1 = ExponentialAverage[EMA1](close) // h1EMA2 = ExponentialAverage[13](close) // not used in Wider TF h1EMA3 = ExponentialAverage[EMA3](close) // Set variables to 0 ly = 0 sy = 0 ld=0 sd=0 // MA Divergence check ld = h1ema1 - h1ema3 //EMAs diverging on uptrend sd = h1ema3 - h1ema1 //EMAs diverging on downtrend // checks last n bars for condition Bull or Bear Trend // are EMAs in correct orientation for last 3 bars?? For t = 0 to k Do if h1ema1[t]>h1ema3[t] and close > h1ema1[t] then ly = ly + 1 // increment uptrend counter elsif h1ema1[t]<h1ema3[t] and close < h1ema1[t] then sy = sy + 1 // increment downtrend counter endif next //If not onmarket then BullTrend = 0 BearTrend = 0 // Check if the EMAs are diverging = spreading further apart? if ly=(k+1) and ld > ld[1] and ld[1] > ld[2] then BullTrend = 1 elsif sy = (k+1) and sd > sd[1] and sd[1] > sd[2] then BearTrend = 1 endif //************** End of Wider Timeframe ****************************** timeframe(default) // Set variables to 0 lz = 0 sz = 0 ldd=0 sdd=0 //orders management on the default timeframe // set markers to zero If not onmarket then LongCond = 0 LongStop = 0 ShortCond = 0 ShortStop = 0 endif // Define default timezone EMAs for order trigger dfEMA1 = ExponentialAverage[10](close) dfEMA2 = ExponentialAverage[17](close) dfEMA3 = ExponentialAverage[25](close) ldd = dfema1 - dfema2 sdd = dfema2 - dfema1 // checks EMAs for relative position at last w bars and confirms low pulls back to touch fastest EMA but doesnt pull back onto middle EMA For w = 1 to k Do if dfema1[w] > dfema2[w] and dfema2[w] > dfema3[w] and low[w] > dfema1[w] and low < dfema1 and low > dfema2 then lz = lz + 1 elsif dfema1[w]<dfema2[w] and dfema2[w] < dfema3[w] and high[w] < dfema1[w] and high > dfema1 and high < dfema2 then sz = sz + 1 endif next // Set long and short markers if conditions are true if lz=k and ldd > ldd[1] and ldd[1] > ldd[2] then LongCond = 1 elsif sz =k and sdd > sdd[1] and sdd[1] > sdd[2] then ShortCond = 1 endif // Set Price levels at which to enter trades = current bar plus order distance LongStop = highest[MyBars](high) + OrderDist ShortStop = Lowest[MyBars](low) - OrderDist // Conditions to enter positions if LongCond and BullTrend then BUY TradeSize Perpoint at LongStop STOP SET STOP PLOSS MySL endif if ShortCond and BearTrend then Sellshort TradeSize Perpoint at ShortStop STOP SET STOP PLOSS MySL endif // Conditions to adjust trailing stop and close positions //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 //************************************************************************ // Graph Variables // On Price Chart //graphonprice newSL coloured (255,0,0,255) AS "newSL" //graphonprice LongStop coloured (0,0,255,255) AS "LongStop" //graphonprice ShortStop coloured (0,0,255,255) AS "ShortStop" //graphonprice tradeprice coloured (0,0,0,255) AS "TradePrice" // Position Indicators //graph LongCond coloured (255,0,0,255) AS "LongCond" //graph ShortCond coloured (255,0,0,255) AS "ShortCond" //graph BullTrend coloured (0,0,255,255) AS "BullTrend" //graph BearTrend coloured (255,0,0,255) AS "BearTrend" //

  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 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165

  defparam cumulateorders = false   // My Variables TradeSize = 10 // £ per point OrderDist = 3 // Set Order Distance in Pips MySL = 30 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = 10 // Fast MA EMA3 = 35 // Slow MA k = 4 // No of bars to check EMA diverging     //trailing stop function trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 10 //trailing step to move the "stoploss"   //declare the conditions on the Wider Timeframe   //************* Start of Wider Time frame ******************************* timeframe(2h, updateonclose)   h1EMA1 = ExponentialAverage[EMA1](close) // h1EMA2 = ExponentialAverage[13](close) // not used in Wider TF h1EMA3 = ExponentialAverage[EMA3](close)   // Set variables to 0 ly = 0 sy = 0 ld=0 sd=0   // MA Divergence check ld = h1ema1 - h1ema3 //EMAs diverging on uptrend sd = h1ema3 - h1ema1 //EMAs diverging on downtrend   // checks last n bars for condition Bull or Bear Trend //   are EMAs in correct orientation for last 3 bars?? For t = 0 to k Do if h1ema1[t]>h1ema3[t] and close > h1ema1[t] then ly = ly + 1 // increment uptrend counter elsif h1ema1[t]<h1ema3[t] and close < h1ema1[t] then sy = sy + 1 // increment downtrend counter endif next   //If not onmarket then BullTrend = 0 BearTrend = 0   // Check if the EMAs are diverging = spreading further apart? if ly=(k+1) and ld > ld[1] and ld[1] > ld[2] then BullTrend = 1 elsif sy = (k+1) and sd > sd[1] and sd[1] > sd[2] then BearTrend = 1 endif //************** End of Wider Timeframe ****************************** timeframe(default)   // Set variables to 0 lz = 0 sz = 0 ldd=0 sdd=0   //orders management on the default timeframe   // set markers to zero If not onmarket then LongCond = 0 LongStop = 0 ShortCond = 0 ShortStop = 0 endif   // Define default timezone EMAs for order trigger dfEMA1 = ExponentialAverage[10](close) dfEMA2 = ExponentialAverage[17](close) dfEMA3 = ExponentialAverage[25](close)   ldd = dfema1 - dfema2 sdd = dfema2 - dfema1   // checks EMAs for relative position at last w bars and confirms low pulls back to touch fastest EMA but doesnt pull back onto middle EMA For w = 1 to k Do if dfema1[w] > dfema2[w] and dfema2[w] > dfema3[w] and low[w] > dfema1[w] and low < dfema1 and low > dfema2 then lz = lz + 1 elsif dfema1[w]<dfema2[w] and dfema2[w] < dfema3[w] and high[w] < dfema1[w] and high > dfema1 and high < dfema2 then sz = sz + 1 endif next   // Set long and short markers if conditions are true if lz=k and ldd > ldd[1] and ldd[1] > ldd[2] then LongCond = 1 elsif sz =k and sdd > sdd[1] and sdd[1] > sdd[2] then ShortCond = 1 endif   // Set Price levels at which to enter trades = current bar plus order distance LongStop = highest[MyBars](high) + OrderDist ShortStop = Lowest[MyBars](low) - OrderDist   // Conditions to enter positions if LongCond and BullTrend then BUY TradeSize Perpoint at LongStop STOP SET STOP PLOSS MySL endif   if ShortCond and BearTrend then Sellshort TradeSize Perpoint at ShortStop STOP SET STOP PLOSS MySL endif   // Conditions to adjust trailing stop and close positions   //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   //************************************************************************   // Graph Variables // On Price Chart //graphonprice newSL coloured (255,0,0,255) AS "newSL" //graphonprice LongStop coloured (0,0,255,255) AS "LongStop" //graphonprice ShortStop coloured (0,0,255,255) AS "ShortStop" //graphonprice tradeprice coloured (0,0,0,255) AS "TradePrice"   // Position Indicators //graph LongCond coloured (255,0,0,255) AS "LongCond" //graph ShortCond coloured (255,0,0,255) AS "ShortCond" //graph BullTrend coloured (0,0,255,255) AS "BullTrend" //graph BearTrend coloured (255,0,0,255) AS "BearTrend" //

   

   

  

  nfulcher

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  08/19/2019 at 8:09 PM #105093
  Nicolas

  At first read, seems that the code is ok (and nicely formatted, well done). I didn’t view the video so I can’t confirm that it is in perfect alignment with it.

  

  Nicolas

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  08/20/2019 at 1:26 PM #105113
  nfulcher

  Thanks Nicolas.

  If anyone can make any improvement suggestions and/or is able to backtest over a longer time period to help understand if this strategy is worth pursuing that would be very welcome.

  Thanks.

  

  nfulcher

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  08/22/2019 at 4:36 PM #105316
  Nicolas

  I tried to test on a longer period, but I didn’t get any orders. I still don’t know why.. looking for an explanation 😯

  

  Nicolas

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  08/22/2019 at 10:37 PM #105345
  nfulcher

  Nicolas wrote:

  I tried to test on a longer period, but I didn’t get any orders. I still don’t know why.. looking for an explanation

  That’s very strange, I have just tried to run backtests on 100k bars and I’m also getting no trades at all. This was working fine a few days ago???

  

  nfulcher

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  08/23/2019 at 11:06 AM #105371
  GraHal

  This looks very promising!

  A quick optimise and I got below, I’ll work on it more, but in view of your comments above – re no trades – I thought I’d add results now.  Spread = 4.  Be good to reduce value of losing trades somehow?

  Thank you for your sharing your hard work @nfulcher

  EDIT / PS

  Just realised that lot size = 10 so dd not too scary if lot size = 1 ! 🙂

  TradeSize = 10 // £ per point OrderDist = 3 // Set Order Distance in Pips MySL = A8 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = A10 // Fast MA EMA3 = A11 // Slow MA k = 4 // No of bars to check EMA diverging

  1 2 3 4 5 6 7

  TradeSize = 10 // £ per point OrderDist = 3 // Set Order Distance in Pips MySL = A8 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = A10 // Fast MA EMA3 = A11 // Slow MA k = 4 // No of bars to check EMA diverging

   

  

  GraHal

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  08/23/2019 at 2:01 PM #105387
  nfulcher

  Thanks, Grahal, pretty good results on the 5min DJI – and yes I need to reduce the Trading Size down a bit :-).

  Can you please explain the alphanumeric values you’ve used for the variables below (A8, A10 and A11)? I was under the impression these needed to be numeric values.

  MySL = A8 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = A10 // Fast MA EMA3 = A11 // Slow MA

  1 2 3 4

  MySL = A8 // Set Stop Loss MyBars = 4 // No of candles to average to calc Entry Point EMA1 = A10 // Fast MA EMA3 = A11 // Slow MA

   

  

  nfulcher

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  08/23/2019 at 3:09 PM #105398
  GraHal

  nfulcher wrote:

  please explain the alphanumeric values

  Yeah I use the line numbers as the name of the variable.

  The values are shown above the equity curve, so  for A8 I chose 80 from the Optimiser, A10 – 12 and A11 – 20

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  GraHal

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  08/23/2019 at 3:34 PM #105401
  GraHal

  hahah … getting better  … but only a Live Forward Test will confirm.

  I did some Walk Forward Evaluation to arrive at attached, but I’m sure there is room for more improvement?

   

  

  GraHal

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  08/25/2019 at 12:24 PM #105513
  nfulcher

  Interesting results Grahal,I’ll set this running on my IG demo account.

  Is it possible to Backtest with a variable to represent the wider timeframe which sets the trigger – it might be interesting to test whether a 2H, 1H, 4H or daily trigger gives the best signal.

  Alos, and maybe this is a separate post but can you advise, are there any good resources on the forum that explain how best to code for the different market times? I’m thinking if I have a promising strategy and want to try it with different market types (Indices, FX, etc) is there an elegant way to insert code blocks to manage the different trading times, time zones etc?

  Many thanks.

  

  nfulcher

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  08/25/2019 at 4:01 PM #105520
  GraHal

  I stand to be corrected, but in short the answers to your 2 questions are … 🙂

  1. No
  2. No

  What I do is to flash through various Timeframes and a few Markets doing a backtest on max 10k bars (for speed of bt) and if a half decent equity curve shows itself then I dig deeper with appropriate range of values of values for the TF chosen. By appropriate I mean, for example, TP and SL need to be larger values for 1 hour than 1 min etc.

  PS

  I’ve set that v1 .itf going on demo also … we may both get virtual money rich together! 🙂

   

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  GraHal

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  08/25/2019 at 4:15 PM #105522
  GraHal

  nfulcher wrote:

  is there an elegant way to insert code blocks to manage the different trading times, time zones etc?

  I misread your question, sorry,

  I’m sure some of the Wizards on here could do something along those lines, but you would have to manually  un-comment the respective block of code to match your chosen Market.

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  GraHal

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  08/25/2019 at 11:30 PM #105537
  nfulcher

  GraHal wrote:

  I stand to be corrected, but in short the answers to your 2 questions are …

  1. No
  2. No

  What I do is to flash through various Timeframes and a few Markets doing a backtest on max 10k bars (for speed of bt) and if a half decent equity curve shows itself then I dig deeper with appropriate range of values of values for the TF chosen. By appropriate I mean, for example, TP and SL need to be larger values for 1 hour than 1 min etc.

  Thanks – makes sense.

  PS

  I’ve set that v1 .itf going on demo also … we may both get virtual money rich together!

  Let’s hope so!

   

  

  nfulcher

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