SircrisVF201509

The strategy is based on identifying overbought and/or oversold moments for the market entry. To do this, momentum indicators like RSI and ADX are used. At the same time, it is verified that the market in the long and medium term has a compatible trend with the entry type (BUY/SELL), for this purpose different moving averages are used with varying timeframes (1 hour, 4 hours & daily). The strategy is multi-instrument, this version is using the EUR/JPY & EUR/USD pairs (plus GBP/USD in the second strategy, see below), but future versions could use more & different pairs. The strategy uses money management (MM) to determine the trade volume, but allows the entry of a fixed volume thus disabling money management. The strategy is selective in terms of the time to trade. This version includes a second strategy inside the main strategy, it is a trend strategy on the GBPUSD pair and uses Mov average (H1), RSI and the last candles to trade following the trend, it trade only when the main strategy does not trade, is symmetric of course, but is very strict and could do very little or even no trades during the month, the SL:TP ratio of this strategy is 9:5. Finally, the strategy also uses a martingale to try to recover from a loss. The StopLoss:TakeProfit ratio of the main strategy is 9:1 except if the martingale is used. In this version MM is used and the volume of each trade is calculated as follows: Equity/initialEquity*risk2Var*riskFactor/riskFineTuning (if Equity is greater than initialEquity) or initialEquity/Equity*risk2Var*riskFactor/riskFineTuning (if Equity is less than initialEquity). In this version risk2Var == 10.0, riskFactor == 1.0 and riskFineTuning == 3.0 If two consecutive losses happens and the martingale is activated, then riskFactor == 2.0 The strategy was designed exclusively for the Dukascopy Strategy Contest in September 2015, so will not work correctly in a different period. Remember that the use of a copied strategy violates the (4.d) section of the official contest rules (RCR).
Версия: Дата: Статус: Описание:
1 01.09.2015 Not running SircrisVF201509  Скачать
sircris avatar
sircris 30 Сент.

The strategy was stopped for no reason on 27/09/2015. I had to restart it, but this hurt the strategy final performance because, not only a trade was lost on 28.09.2015, but as in the beginning of the month there were a couple of consecutive losses, the strategy was in "high risk" mode with the twice of volume, but at the restart, that information is lost and the volume returned to be the default. If not for the stopping, the performance would have exceeded 260K.

иличтобы оставить комментарий


(пара слов об изменениях)

(пример: 1.1, beta, alpha)