Not financial advice. For testing purposes only. Do not use on live account
- #23
- Jan 27, 2015 4:09pm Jan 27, 2015 4:09pm
- Joined Dec 2013 | Status: Trader | 1,942 Posts
Learn, a forex trader must, unlearn and relearn he will.
A little gift for my forexfactory friends - a small thank you for all that I have learned from this forum.
On my system, this backtested as 57.64%, 250K bars EURUSD M1 tested (Dukas data).
If you see any errors, shout!
Inserted Code
for(int i=barstotest;i>=0;i--){
int EXPIRY_TIME=20;
double v7=iRSI(_Symbol,_Period,63,PRICE_OPEN,i);
double v8=iMA(_Symbol,_Period,87,0,MODE_SMA,PRICE_OPEN,i);
double v9=iMA(_Symbol,_Period,100,0,MODE_SMA,PRICE_OPEN,i+1);
if (v7>=58 && v8>v9){ // PUT }
if(i>EXPIRY_TIME && Close[i-EXPIRY_TIME]>Close[i]){ // PUT VERYIFY }
v7=iRSI(_Symbol,_Period,63,PRICE_OPEN,i);
v8=iMA(_Symbol,_Period,87,0,MODE_SMA,PRICE_OPEN,i);
v9=iMA(_Symbol,_Period,100,0,MODE_SMA,PRICE_OPEN,i+1);
if (v7<=42 && v8<v9){ // CALL }
if(i>EXPIRY_TIME && Close[i-EXPIRY_TIME]>Close[i]){ // CALL VERIFY }
} On my system, this backtested as 57.64%, 250K bars EURUSD M1 tested (Dukas data).
If you see any errors, shout!
Not financial advice. For testing purposes only. Do not use on live account
- #29
- Jan 27, 2015 6:59pm Jan 27, 2015 6:59pm
- Joined Dec 2013 | Status: Trader | 1,942 Posts
Learn, a forex trader must, unlearn and relearn he will.
- #39
- Feb 9, 2015 9:24pm Feb 9, 2015 9:24pm
- Joined Dec 2013 | Status: Trader | 1,942 Posts
Learn, a forex trader must, unlearn and relearn he will.
I like the idea. We could maybe even do a kickoff Google hangout or so. I have picked up many things from others over time. I am not really interested in news trading and have found that 15,20,30,60 expiry is best. 60sec-5 minutes: too hard to create a good formula for.
A few more tips;
- Adding volume indicators (now there is something I learned from others; COGSx86 mentioned OBV so I started thinking to add Volume) increases the correctness percentage.
- A good way to test how good your underlying data is;
- for example, you may get 50.60% while testing for "20 mintes down", which indicates that likely the period in which your are testing is slightly downhill overall. 0.60% variance seems fine when you have a 61% correct formula. However, if you have for example "55%" on the always-true condition for "5 minutes up", then clearly your test period is not very valid (uphill... i.e. curve fitting), unless your % is somethnig like 65-70% and includes down trades.
- Make sure you know exactly what your are testing. Open to correction, here's how I do my expiry testing;
- Now, let's say you think, oh but I am using something like
and because it is on PRICE_OPEN, I can trade at the beginning of the bar (as I have the value at PRICE_OPEN immediately) - WRONG! - MT4 changes the values for PRICE_OPEN up to candle-end time. So, if you want to trade PRICE_OPEN values, you'll have to trade at the end of a bar...
Found a number of great formula's today. 60-63% on EURUSD, 60 minute expiry, one signal per 12 minutes. It also happens to be Our Lady's feast day today (http://en.wikipedia.org/wiki/Our_Lady_of_Lourdes) so I am quite happy
A few more tips;
- Adding volume indicators (now there is something I learned from others; COGSx86 mentioned OBV so I started thinking to add Volume) increases the correctness percentage.
- A good way to test how good your underlying data is;
Inserted Code
if(true){...test all bars for your period and direction , see example test code below...} - Make sure you know exactly what your are testing. Open to correction, here's how I do my expiry testing;
Inserted Code
bool TRADE_ON_BAR_CLOSE=true;
bool tradecorrect=false;
if(TRADE_ON_BAR_CLOSE){if(Close[i]>Close[i-BO_LENGHT]){tradecorrect=true;}} // BO_LENGHT=BO expiry
if(!TRADE_ON_BAR_CLOSE){if(Open[i]>Open[i-BO_LENGHT]){tradecorrect=true;}}
if(tradecorrect){correct++;}else{wrong++;} - Now, let's say you think, oh but I am using something like
Inserted Code
iRSI(NULL,0,68,PRICE_OPEN,i)>=58
Inserted Code
if(TimeSeconds(TimeCurrent())>58){ // Only trade in last two seconds
static datetime tmp; if(tmp!=Time[0]){tmp=Time[0];}else{return;} // Only trade once per bar
...tradecode... Found a number of great formula's today. 60-63% on EURUSD, 60 minute expiry, one signal per 12 minutes. It also happens to be Our Lady's feast day today (http://en.wikipedia.org/wiki/Our_Lady_of_Lourdes) so I am quite happy
Not financial advice. For testing purposes only. Do not use on live account