PF4_0268PC_DC+Momentum+Trix_T093

Logic

Opening (Entry Signal)

Open a new long position or add to a winning one at the Lower Band of Donchian Channel* (98, 153) when the following logic condition is satisfied:

the Momentum (Weighted, Open, 123, 73) falls.

Open a new short position or add to a winning one at the Upper Band of Donchian Channel* (98, 153) when the following logic condition is satisfied:

the Momentum (Weighted, Open, 123, 73) rises.

Closing (Exit Signal)

Close an existing long position at the end of the bar when the following logic condition is satisfied:

the Trix Index (Smoothed, Open, 61) changes its direction upward.

Close an existing short position at the end of the bar when the following logic condition is satisfied:

the Trix Index (Smoothed, Open, 61) changes its direction downward.

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

Add to a wining position but not to a losing one. If the position is at a loss, cancel the additional entry order. Do not exceed the maximum allowed number of lots to open.

Entry signal in the opposite direction:

No modification of the present position is allowed. Cancel any additional orders which are in the opposite direction.

Trading Size

Always trade a constant number of lots.

Opening of a new position – 1 lot.

Adding to a winning position – 1 lot. Do not open more than 20 lots.

Permanent Protection

The strategy does not provide a permanent loss limitation.

————–
* Use the indicator value from the previous bar for all asterisk-marked indicators!
** The averaging rules apply to the entry signals only. Exit signals close a position. They cannot open, add or reduce one.


Environment

Market

Symbol

EURUSD

Time frame

5 Minutes

Account

Initial account

– 10000,00 USD

Lot size

– 10000

Leverage

– 1/100

Required margin

– 100,00 USD* for each open lot

Charges

Spread

– 2 pips

(2,00 USD*)

Swap number for a long position rollover

– 1 pips

(1,00 USD*)

Swap number for a short position rollover

– -1 pips

(1,00 USD*)

Commission per lot at opening and closing

– 0 pips

(0,00 USD*)

Slippage

– 0 pips

(0,00 USD*)

————–
* This value may vary!


Strategy Properties

Handling of Additional Entry Signals

Next same direction signal behavior – Adds to a winning position
Next opposite direction signal behavior – Does nothing

Trading Size

Maximum number of open lots

– 20

Number of entry lots for a new position

– 1

In case of addition – number of lots to add

– 1

In case of reduction – number of lots to close

– 1

Permanent Protection

Permanent Stop Loss – None


Indicator Slots

The slots show the logic for the long positions only.

Strategy Properties

Same direction signal

– Winner

Opposite direction signal

– Nothing

Permanent Stop Loss

– None

Opening Point of the Position

Donchian Channel

Enter long at the Lower Band

Base price

– High & Low

Period

– 98

Shift

– 153

Use previous bar value

– Yes

Opening Logic Condition

Momentum

The Momentum falls

Smoothing method

– Weighted

Base price

– Open

Period

– 123

Additional smoothing

– 73

Level

– 0

Use previous bar value

– No

Closing Point of the Position

Bar Closing

Exit the market at the end of the bar

Base price

– Close

Closing Logic Condition

Trix Index

The Trix Index line changes its direction upward

Smoothing method

– Smoothed

Base price

– Open

Period of Trix

– 61

Use previous bar value

– No


Statistic Information

Market

Account

Symbol

EURUSD

Intrabar scanning

Not accomplished

Period

5 Minutes

Interpolation method

Pessimistic scenario

Number of bars

20000

Ambiguous bars

0

Date of updating

17/04/09

Tested bars

19746

Time of updating

00:30

Initial account

10000,00 USD

Date of beginning

08/01/09

Account balance

17207,81 USD

Time of beginning

20:10

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

17207,81 USD

Maximum price

1,37514

Maximum drawdown

409,90 USD

Average Gap

0 pips

Gross profit

9637,91 USD

Maximum Gap

85 pips

Gross loss

-2430,10 USD

Average High-Low

11 pips

Sent orders

17571

Maximum High-Low

244 pips

Executed orders

308

Average Close-Open

5 pips

Traded lots

430

Maximum Close-Open

143 pips

Winning trades

56

Maximum days off

3

Losing trades

37

Maximum data bars

20000

Win/loss ratio

0,60

No data older than

No limits

Time in position

45 %

No data newer than

No limits

Charged spread

430,00 USD

Fill In Data Gaps

Switched off

Charged rollover

77,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

Charged slippage

0,00 USD

Total charges

507,00 USD

Balance without charges

17714,81 USD

Account exchange rate

Not used


Additional Statistics

Parameter

Long + Short

Long

Short

Initial account

10000,00 USD

10000,00 USD

10000,00 USD

Account balance

17207,81 USD

13158,80 USD

14049,01 USD

Net profit

7207,81 USD

3158,80 USD

4049,01 USD

Net profit %

72,08%

31,59%

40,49%

Gross profit

9637,91 USD

3965,30 USD

5672,60 USD

Gross loss

-2430,10 USD

-806,50 USD

-1623,60 USD

Profit factor

3,97

4,92

3,49

Annualized profit

26845,40 USD

11764,92 USD

15080,48 USD

Annualized profit %

268,45%

117,65%

150,80%

Minimum account

10000,00 USD

10000,00 USD

10000,00 USD

Minimum account date

08/01/2009

08/01/2009

08/01/2009

Maximum account

17207,81 USD

13158,80 USD

14295,11 USD

Maximum account date

16/04/2009

16/04/2009

09/03/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

409,90 USD

416,20 USD

566,90 USD

Maximum drawdown %

3,34%

3,19%

3,97%

Maximum drawdown date

09/02/2009

10/04/2009

19/03/2009

Historical bars

20000

20000

20000

Tested bars

19746

19746

19746

Bars with trades

8811

3776

5035

Bars with trades %

44,62%

19,12%

25,50%

Number of trades

93

43

50

Winning trades

56

27

29

Losing trades

37

16

21

Win/loss ratio

1,51

1,69

1,38

Maximum profit

1238,50 USD

1042,51 USD

1238,50 USD

Average profit

172,11 USD

146,86 USD

195,61 USD

Maximum loss

-381,40 USD

-231,10 USD

-381,40 USD

Average loss

-65,68 USD

-50,41 USD

-77,31 USD

Expected payoff

77,50 USD

73,46 USD

80,98 USD

Average holding period returns

0,60%

0,66%

0,70%

Geometric holding period returns

0,59%

0,64%

0,68%

Sharpe Ratio

0,35

0,32

0,35


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