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Re: One Night Stand System
[Re: RTG]
#461028
07/22/16 23:20
07/22/16 23:20
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
User
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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If I knew how to handle Ehlers filter I would write profitable strategies. But wasn't Ehlers the guy with the cycles? You can use him also to find out the best MA? I don't know if another MA is needed - the result is improved if you use an individual period length per asset. Here I choose optimize(200,10,300,10) for a SMA (and used EntryTime=5) from 2009 to 2015:
Asset SMA PF W/L
EUR/CHF 220 2,13 47/74
EUR/AUD 90 1,51 84/141
EUR/JPY 110 1,48 86/151
AUD/JPY 80 1,46 87/120
USD/JPY 280 1,46 86/106
EUR/USD 30 1,45 80/137
AUD/CHF 30 1,34 82/121
USD/CHF 50 1,3 84/114
CHF/JPY 80 1,29 81/135
XAGUSD 30 1,29 55/80
GBP/JPY 120 1,21 79/164
EUR/NZD 240 1,18 60/188
XAUUSD 281 1,17 6/240
NZD/JPY 30 1,14 79/118
USD/CAD 230 1,12 73/115
GER30 160 1,11 47/180
NAS100 240 1,11 52/58
AUD/USD 280 1,09 77/127
EUR/CAD 40 1,09 72/158
CAD/CHF 190 1,07 75/121
CAD/JPY 100 1,06 71/131
US30 270 1,06 56/181
GBP/CHF 250 1,05 73/156
NZD/CHF 280 1,05 71/105
AUD/CAD 280 1,03 77/112
SPX500 260 1,01 51/211
AUD/NZD 80 0,97 81/128
GBP/NZD 130 0,97 46/214
EUR/GBP 40 0,94 65/84
GBP/AUD 50 0,93 64/188
GBP/USD 100 0,88 68/169
NZD/USD 170 0,88 80/138
USOil 110 0,8 35/191
NZD/CAD 100 0,79 77/120
GBP/CAD 29 0,76 48/185
UK100 230 0,47 38/135
The EUR/CHF result might be slightly biased by the cap and the relation of W/L @XAUUSD looks strange: only 6 wins out of 246 trades and it was profitable at all! The reason for this was that the Stop in PIPs seems not to work with XAUUSD, if the trade wasn't profitable from the very beginning it has been stopped out immediately.
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Re: One Night Stand System
[Re: RTG]
#463469
12/05/16 22:46
12/05/16 22:46
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Joined: Dec 2013
Posts: 568 Fuerth, DE
Sphin
User
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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Really long time ago when the last entries were made here, I still watch ONS running with more or less ... loss in total. This weekend was a disaster, first time a stop was hit, in EUR/JPY - okay trading EUR long seemed to be a bad idea in general referring to the Italian referendum. But I faced another problem:
[151: Fri 02.12.16 00:00] 0.84636
(EUR/USD::S) Short 200@1.0516 Entry stop
Weekend at 02.12. 20:00....................
Weekend ends at 04.12. 23:00
(EUR/USD::S) Entry stop 1.0516 hit at 23:22.
[EUR/USD::S8842] Short 200@1.0516 Risk 40$ at 23:21..
Because my EntryTime is default (1) I was astonished that the trade was still valid on Sunday night when the market continued, such trades are not intended. But I fear with default setting for Weekend (means 2) all prices that arrive until Monday 00:00 are counted to the Friday bar? If so setting Weekend to 1 expires trades on Friday (on a bar period of 1440)?
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Re: One Night Stand System
[Re: RTG]
#484937
01/01/22 17:14
01/01/22 17:14
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Joined: Apr 2008
Posts: 585 Austria
Petra
Support
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Support
Joined: Apr 2008
Posts: 585
Austria
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I found a working version in our antique scripts depot: function tradeOneNightStand()
{
vars SMA10 = series(SMA(seriesC(),10));
vars SMA40 = series(SMA(seriesC(),40));
Stop = 150 * PIP;
Trail = 150 * PIP;
TrailLock = 50;
EntryTime = 24;
int Days = LookBack;
var BuyStop = HH(Days) + 1*PIP;
var SellStop = LL(Days) - 1*PIP;
if (dow() == FRIDAY && NumOpenLong == 0 && NumPendingLong == 0 && SMA10[0] > SMA40[0])
enterLong(0,BuyStop);
else if (dow() == FRIDAY && NumOpenShort == 0 && NumPendingShort == 0 && SMA10[0] < SMA40[0])
enterShort(0,SellStop);
if (dow() < FRIDAY) {
exitLong();
exitShort();
}
}
function run()
{
BarPeriod = 60;
LookBack = 13*24;
StartDate = 2010;
EndDate = 2015;
while(asset(loop("USD/JPY", "GBP/USD", "EUR/USD")))
tradeOneNightStand();
}
} Looks still experimental. Dont ask me how the parameters like 150*PIP or 13*24 came about.
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