VScalp2_25_75_lin

Description: VScalp2_25_75_lin is a day trading strategy which trades in the direction of strong momentum moves. It performs best in volatile conditions, when there are a lot of wide swings. Strong momentum conditions are defined by positioning of five simple moving averages (SMAs) with different time periods (10, 20, 50, 100 and 200) and the value of ADX indicator (with time period 14), which must be at least 30. In uptrend, SMAs with shorter time periods must be running above SMAs with longer time periods. In downtrend, SMAs with shorter time periods must be running below SMAs with longer time periods. The pair of choice is GBP/JPY due to its potential for big moves. It uses common day trading timeframe M5. Backtesting results and some discretion were used when fixing SL at 25 pips and TP at 75 pips. The default slippage of 5 pips and maximum allowed spread of 5 pips are enforced to avoid trading in unfavorable conditions. Initial trading amount is 5 million. After each winning trade, the amount is increased by additional 5 million. Using this technique, strategy is essentially adding to winning position in an attempt to get the most out of the directional move. After losing trade, trading amount is reset to 5 million. Trading amount is reduced (amount = Equity/20000.0) when equity level falls below 100K. Below are listed default settings and detailed trading logic. Default settings: defaultInstrument : GBP/JPY - Instrument defaultTradeAmount : 5.0 - Trade amount in millions defaultSlippage : 5 - Slippage in pips defaultStopLoss : 25 - Stop loss in pips defaultTakeProfit : 75 - Take profit in pips defaultPeriod : M5 - Time period maxSpread : 5.0 - Max spread in pips timePeriod1 : 10 - SMA1 time period timePeriod2 : 20 - SMA2 time period timePeriod3 : 50 - SMA3 time period timePeriod4 : 100 - SMA4 time period timePeriod5 : 200 - SMA5 time period adxValue : 30.0 - ADX value Trading logic (detailed): Starts execution in onCandle. Continues only if last (bid) candle period equals defaultPeriod and instrument equals defaultInstrument. Calculates spread and continues only if spread is lower or equal than maxSpread. Checks positions and continues only if open position count is zero. Calculates ADX(14) and continues only if it is greater than adxValue. Calculates SMA(timePeriod1), SMA(timePeriod2), SMA(timePeriod3), SMA(timePeriod4) and SMA(timePeriod5). If SMA(timePeriod1) > SMA(timePeriod2) > SMA(timePeriod3) > SMA (timePeriod4) > SMA(timePeriod5) then: 1. If equity is lower than or equal to lastEquity, it calculates the amount according to the following formula: amount = min(Equity/20000.0, defaultTradeAmount). But if equity is greater than lastEquity it calculates the amount according to the following formula: amount = amount + defaultTradeAmount. 2. Updates lastEquity to the value of current equity. 3. It opens long position with defaultInstrument, amount, defaultSlippage, defaultStopLoss, defaultTakeProfit and returns. If SMA(timePeriod1) < SMA(timePeriod2) < SMA(timePeriod3) < SMA (timePeriod4) < SMA(timePeriod5) then: 1. If equity is lower than or equal to lastEquity, it calculates the amount according to the following formula: amount = min(Equity/20000.0, defaultTradeAmount). But if equity is greater than lastEquity it calculates the amount according to the following formula: amount = amount + defaultTradeAmount. 2. Updates lastEquity to the value of current equity. 3. It opens short position with defaultInstrument, amount, defaultSlippage, defaultStopLoss, defaultTakeProfit and returns.
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