Strategy_Krypteia_SC201702

Krypteia was an ancient Spartan army composed by the best warriors. The strategy implements some of the most used momentum indicators, forming an aggregate indicator - a Krypteia of momentum indicators. The strategy trades EURJPY from Monday to Friday (it avoids trading on Sundays) based on the Williams Percent Range (WPR), the Stochastic Oscillator (SO) and the Relative Strength Index (RSI). Orders are settled when the aggregate indicator (composed by the 3 indicators) points in one single direction, sell or buy. In order to open a buy order, 3 conditions need to be satisfied: WPR lower than -80, SO lower than 20 and the RSI lower than 27. In order to open a sell order, 3 conditions need to be satisfied: WPR higher than -10, SO higher than 80 and the RSI higher than 73. The strategy contains a few blocks that only allows orders to get settled if a certain hourly gap among subsequent orders is accomplished. In this case, orders are settled only when there is gap higher than 3 hours between the current time and the previous order close time - for this purpose, when the strategy starts there is a first order with an amount of 0.001 million, that after being closed will provide data feed to start calculating the gap in hours between consecutive orders. Orders have the following default assigns: take profit 5 pips; stop loss 200 pips; trade amount 9 million. Default trading period is 10 minutes and the strategy only allows one order settled at each time.
Version: Date: Statut: Description:
2 02.02.2017 Comp. error Strategy_Krypteia_SC201702  Télécharger
1 31.01.2017 Comp. error Strategy_Krypteia_SC201702  Télécharger
fx_lmcap avatar
fx_lmcap 2 fév

In this 2nd version it is excluded the blocs associated with the first order with an amount of 0.001 million.
These previous mentioned blocs were intended to provide data feed after its close to start calculating the gap between consecutives orders.

fx_lmcap avatar
fx_lmcap 2 fév

During the test period, it has functioned quite well. However, during the live execution on the 1st and 2nd of February the strategy didn’t performed as expected, issuing successive automatic stops.
To cross this issue, a new bloc arrangement has been tested without a first order. The strategy seems to function without compilation errors.

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