5min Bollinger breakout system

Quoting comeinvest

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I find it strange cos i only have 1 trade for the 3 whole months. I wonder where i gone wrong~~

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Quoting brue

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Here is a profitable 5 min system I have come up with:

Trade EUR/USD 5 minute chart.
Indicators used: Upper Bollinger Band (period 14, 2 standard deviations, low price), Lower Bollinger Band (period 14, 2 standard deviations, high price), DeMarker (period 14), ADX (period 14, typical price), ATR (4 hour chart, period 100), EMA (period 14, typical price)

Open long when price is within 5 pips of upper band, demarker is greater than .7 or less than .3, and ADX is at least 40.
Open short when price is within 5 pips of lower band, demarker is greater than .7 or less than .3, and ADX is at least 40.
20 pip take profit, stop loss is large at 10 * ATR.

Also:
Close long when we are profitable and the price drops below the EMA.
Close short when we are profitable and the price goes above the EMA.

It's probably a bit more complicated than it needs to be, but there's a reason for everything. Using the low price for the high band and the high price for the low band seems to work the best. The DeMarker and ADX confirm that we're in trending mode, not ranging mode (a move outside the bands is more likely than a move inside them).

I only have 5 minute data going back to 10/27/2006 from my broker (ibfx), so that's all I've used to backtest. Setting the value at risk (the amount you would lose if the stop loss were hit) to 10% nets a profit of 25% in 4 months. A much more aggressive VAR of 50% (which might not be completely unreasonable, since the stoploss is rarely hit) it returns 215%, which works out to about 33% per month. Not too shabby... but it does carry some pretty big losses (200-300 pips); in one instance it sits almost a month on a trade before closing it out for a profit. Usually I've made systems that accept losses much more freely, so this is sort of an experiment for me.

I look forward to all of your comments. I've attached the EA; feel free to test it and let me know how it does for you. I'm especially interested in seeing results from a longer time period using IBFX or FXDD data, if anyone has access to that.

Thanks, and happy trading!

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Quoting brue

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Here is a profitable 5 min system I have come up with:

Thanks, and happy trading!

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Quoting justin7

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it's not 2007 and 2008 anymore btw.

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Quoting redwed

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{quote} Yeah. But i'm searching for some information regarding bb's breakout system that i can dwell on. But nothing as perfect as here: http://www.fxkeys.com/double-bolling...o-trade-forex/ and here: https://www.dukascopy.com/fxcomm/fx-...22&language=en

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