Let see what next...
Attached Image (click to enlarge)
What about this? will the price goes up or it's going to catch my SL? lets see... {image}
IMHO, inoycavalera, that would be a good entry for the Master Candle but it a counter move against the trend. If there is any opportunity of MC( Master Candle) in the extreme sell position or market loosing its momentum at the top BB , then that could give us greater confidence in the trade.
MC gives the signal to enter but we need to enter with the trend.
Salute to Atheer and thanks.
{quote} I ll get back to you on the 5MA when I get the chance on my PC. IMHO, inoycavalera, that would be a good entry for the Master Candle but it a counter move against the trend. If there is any opportunity of MC( Master Candle) in the extreme sell position or market loosing its momentum at the top BB , then that could give us greater confidence in the trade. MC gives the signal to enter but we need to enter with the trend.
- #191
- Jun 2, 2016 11:52am Jun 2, 2016 11:52am
- Joined Oct 2006 | Status: Trader | 4,056 Posts
{quote} I ll get back to you on the 5MA when I get the chance on my PC. IMHO, inoycavalera, that would be a good entry for the Master Candle but it a counter move against the trend. If there is any opportunity of MC( Master Candle) in the extreme sell position or market loosing its momentum at the top BB , then that could give us greater confidence in the trade. MC gives the signal to enter but we need to enter with the trend.
Thanks for you contribution
atheer1
Hi,
Wrote a code and did some testing on 10 year GBPUSD data.
Not all strategy rules was implemented. For example do not see any logical objectives on candle crossing or not round numbers. Maybe will test it later just for fun.
Stop Loss and Take Profit was set by ATR and optimized on 10 year data. Results with included slippage and commissions.
------
Test atheer1 GBP/USD Annual +141%
Simulated account AssetsFix
Bar period 1 hour (avg 86 min)
Test period 11.01.2011-26.04.2016 (32050 bars)
Lookback period 141 bars (5 days)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Spread 0.3 pips (roll 0.05/-0.12)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 22712$ / -15690$ (+8062p)
Average profit 1327$/year, 111$/month, 5.10$/day
Max drawdown -1065$ 15% (MAE -1076$ 15%)
Total down time 85% (TAE 59%)
Max down time 50 weeks from Mar 2014
Max open margin 140$
Max open risk 115$
Trade volume 6378871$ (1205709$/year)
Transaction costs -122$ spr, -2067$ slp, -24$ rol, -280$ com
Capital required 942$
Number of trades 466 (89/year, 2/week, 1/day)
Percent winning 48.7%
Max win/loss 165$ / -107$
Avg trade profit 15$ 17.3p (+114.9p / -75.4p)
Avg trade slippage -4.44$ -5.1p (+0.4p / -10.3p)
Avg trade bars 40 (+45 / -35)
Max trade bars 285 (17 days)
Time in market 58%
Max open trades 1
Max loss streak 10 (uncorrelated 10)
Annual return 141%
Profit factor 1.45 (PRR 1.27)
Sharpe ratio 1.60
Kelly criterion 1.82
R2 coefficient 0.571
Ulcer index 4.6%
Prediction error 30%
Confidence level AR DDMax Capital
10% 213% 640$ 622$
20% 198% 704$ 670$
30% 187% 756$ 709$
40% 180% 794$ 738$
50% 168% 861$ 788$
60% 158% 926$ 838$
70% 150% 988$ 884$
80% 134% 1131$ 992$
90% 119% 1297$ 1116$
95% 113% 1377$ 1177$
100% 78% 2081$ 1707$
Portfolio analysis OptF ProF Win/Loss Wgt%
GBP/USD .304 1.45 227/239 100.0
GBP/USD:L .284 1.42 125/131 53.5
GBP/USD:S .331 1.48 102/108 46.5
------
Wrote a code and did some testing on 10 year GBPUSD data.
Not all strategy rules was implemented. For example do not see any logical objectives on candle crossing or not round numbers. Maybe will test it later just for fun.
Stop Loss and Take Profit was set by ATR and optimized on 10 year data. Results with included slippage and commissions.
------
Test atheer1 GBP/USD Annual +141%
Simulated account AssetsFix
Bar period 1 hour (avg 86 min)
Test period 11.01.2011-26.04.2016 (32050 bars)
Lookback period 141 bars (5 days)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Spread 0.3 pips (roll 0.05/-0.12)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 22712$ / -15690$ (+8062p)
Average profit 1327$/year, 111$/month, 5.10$/day
Max drawdown -1065$ 15% (MAE -1076$ 15%)
Total down time 85% (TAE 59%)
Max down time 50 weeks from Mar 2014
Max open margin 140$
Max open risk 115$
Trade volume 6378871$ (1205709$/year)
Transaction costs -122$ spr, -2067$ slp, -24$ rol, -280$ com
Capital required 942$
Number of trades 466 (89/year, 2/week, 1/day)
Percent winning 48.7%
Max win/loss 165$ / -107$
Avg trade profit 15$ 17.3p (+114.9p / -75.4p)
Avg trade slippage -4.44$ -5.1p (+0.4p / -10.3p)
Avg trade bars 40 (+45 / -35)
Max trade bars 285 (17 days)
Time in market 58%
Max open trades 1
Max loss streak 10 (uncorrelated 10)
Annual return 141%
Profit factor 1.45 (PRR 1.27)
Sharpe ratio 1.60
Kelly criterion 1.82
R2 coefficient 0.571
Ulcer index 4.6%
Prediction error 30%
Confidence level AR DDMax Capital
10% 213% 640$ 622$
20% 198% 704$ 670$
30% 187% 756$ 709$
40% 180% 794$ 738$
50% 168% 861$ 788$
60% 158% 926$ 838$
70% 150% 988$ 884$
80% 134% 1131$ 992$
90% 119% 1297$ 1116$
95% 113% 1377$ 1177$
100% 78% 2081$ 1707$
Portfolio analysis OptF ProF Win/Loss Wgt%
GBP/USD .304 1.45 227/239 100.0
GBP/USD:L .284 1.42 125/131 53.5
GBP/USD:S .331 1.48 102/108 46.5
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