Hi everyone, here is something I've been working on today:
IMO, what makes or breaks a strategy is not the entry, but the exits and the risk management (sizing).
Given a channel (such as any envelope e.g. Keltner channer / gravity center / moving average +- offset):
Here is SideKick, a little EA that:
- Enters both long/short (hedge trade) when in the channel's center (last price == channel's center) >> MiddleKick trade
The MiddleKick target is the channel top while long, and the channel bot while short
- The exit of the MiddleKick trade closes both trades (one in profit, the other one at a loss)
Both simultaneous MiddleKick trades increment a consecutive win / loss counter, which will make it possible to scale in either the winning or the losing direction next time the price gravitates within our channel boundaries.
- Enters either long or short when the channel is broken in the direction of the breakout >> SideKick trade
The SideKick target is a multiplier of the channel breadth at breakout time (e.g. 200% * channel breadth), and its stop is the channel center at time of breakout.
A SideKick trade increments a consecutive win / loss counter, which will make it possible to scale in either the winning or the losing direction next time the price breaks our channel boundaries.
When a loss count of any kind (long/short MiddleKick and long/short SideKick) reaches a countdown variable, the money management applied to both sides is inverted (the long entries multiplier are swapped with the short entries multiplier), to avoid directional bias.
Preliminary tests revealed potential in both ranging and trending markets. All this without any other technical indicator than the channel we decide to use.
This code is not production ready, and if anyone wants to help on either the strategy or the code I would be happy to.
A quick backtest using the GBPUSD, august 2015 till early april 2016 using 99% Tickstory DataSuite is also enclosed, but I didn't test the idea much further.
Edit: typo
IMO, what makes or breaks a strategy is not the entry, but the exits and the risk management (sizing).
Given a channel (such as any envelope e.g. Keltner channer / gravity center / moving average +- offset):
Here is SideKick, a little EA that:
- Enters both long/short (hedge trade) when in the channel's center (last price == channel's center) >> MiddleKick trade
The MiddleKick target is the channel top while long, and the channel bot while short
- The exit of the MiddleKick trade closes both trades (one in profit, the other one at a loss)
Both simultaneous MiddleKick trades increment a consecutive win / loss counter, which will make it possible to scale in either the winning or the losing direction next time the price gravitates within our channel boundaries.
- Enters either long or short when the channel is broken in the direction of the breakout >> SideKick trade
The SideKick target is a multiplier of the channel breadth at breakout time (e.g. 200% * channel breadth), and its stop is the channel center at time of breakout.
A SideKick trade increments a consecutive win / loss counter, which will make it possible to scale in either the winning or the losing direction next time the price breaks our channel boundaries.
When a loss count of any kind (long/short MiddleKick and long/short SideKick) reaches a countdown variable, the money management applied to both sides is inverted (the long entries multiplier are swapped with the short entries multiplier), to avoid directional bias.
Preliminary tests revealed potential in both ranging and trending markets. All this without any other technical indicator than the channel we decide to use.
This code is not production ready, and if anyone wants to help on either the strategy or the code I would be happy to.
A quick backtest using the GBPUSD, august 2015 till early april 2016 using 99% Tickstory DataSuite is also enclosed, but I didn't test the idea much further.
Edit: typo
Attached Image (click to enlarge)
Attached File(s)
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