PF26.7_1499PC_Stratégie MA+ROC_T016

Table of Contents

 

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Moving Average* (Exponential, Median, 79, 157) when the following logic condition is satisfied:

the Rate of Change* (Weighted, Median, 5, 125) rises. 

Open a new short position or add to an existing one at the Moving Average* (Exponential, Median, 79, 157) when the following logic condition is satisfied:

the Rate of Change* (Weighted, Median, 5, 125) falls. 

Closing (Exit Signal)

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

the Oscillator of ATR (Weighted, 197, 126) crosses the zero line upward. 

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

the Oscillator of ATR (Weighted, 197, 126) crosses the zero line downward. 

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

Add to the position no matter if it is at a profit or loss. 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 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

1 Minute

Account

Initial account

– 10000,00 EUR

Lot size

– 10000

Leverage

– 1/100

Required margin

– 75,92 EUR* for each open lot

Charges

Spread

– 2 pips

(1,52 EUR*)

Swap number for a long position rollover

– 1 pips

(0,76 EUR*)

Swap number for a short position rollover

– -1 pips

(0,76 EUR*)

Commission per lot at opening and closing

– 0 pips

(0,00 EUR*)

Slippage

– 0 pips

(0,00 EUR*)

————–
* This value may vary! 


Strategy Properties

Handling of Additional Entry Signals

Next same direction signal behavior – Adds to the 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

– Add

Opposite direction signal

– Nothing

Permanent Stop Loss

– None

Opening Point of the Position 

Moving Average 

Enter the market at the MA value 

Smoothing method

– Exponential

Base price

– Median

Period

– 79

Shift

– 157

Use previous bar value

– Yes

Opening Logic Condition 

Rate of Change 

The ROC rises 

Smoothing method

– Weighted

Base price

– Median

Period

– 5

Smoothing period

– 125

Level

– 1

Use previous bar value

– Yes

Closing Point of the Position 

Bar Closing 

Exit the market at the end of the bar 

Base price

– Close

Closing Logic Condition 

Oscillator of ATR 

The Oscillator crosses the zero line upward 

Smoothing method

– Weighted

First ATR period

– 197

Second ATR period

– 126

Use previous bar value

– No


Statistic Information

Market

Account

Symbol

EURUSD

Intrabar scanning

Not accomplished

Period

1 Minute

Interpolation method

Pessimistic scenario

Number of bars

50000

Ambiguous bars

0

Date of updating

16/04/09

Tested bars

49675

Time of updating

20:57

Initial account

10000,00 EUR

Date of beginning

26/02/09

Account balance

30128,37 EUR

Time of beginning

05:15

Minimum account

10000,00 EUR

Minimum price

1,2456

Maximum account

30128,37 EUR

Maximum price

1,37377

Maximum drawdown

358,93 EUR

Average Gap

0 pips

Gross profit

20911,05 EUR

Maximum Gap

81 pips

Gross loss

-782,68 EUR

Average High-Low

4 pips

Sent orders

7983

Maximum High-Low

237 pips

Executed orders

192

Average Close-Open

2 pips

Traded lots

349

Maximum Close-Open

236 pips

Winning trades

10

Maximum days off

3

Losing trades

6

Maximum data bars

50000

Win/loss ratio

0,63

No data older than

No limits

Time in position

85 %

No data newer than

No limits

Charged spread

268,75 EUR

Fill In Data Gaps

Switched off

Charged rollover

289,99 EUR

Cut Off Bad Data

Switched off

Charged commission

0,00 EUR

 

 

Charged slippage

0,00 EUR

 

 

Total charges

558,73 EUR

 

 

Balance without charges

30687,10 EUR

 

 

Account exchange rate

Deal price


Additional Statistics

Parameter

Long + Short

Long

Short

Initial account

10000,00 EUR

10000,00 EUR

10000,00 EUR

Account balance

30128,37 EUR

21280,43 EUR

18847,94 EUR

Net profit

20128,37 EUR

11280,43 EUR

8847,94 EUR

Net profit %

201,28%

112,80%

88,48%

Gross profit

20911,05 EUR

11860,07 EUR

9050,98 EUR

Gross loss

-782,68 EUR

-579,64 EUR

-203,04 EUR

Profit factor

26,72

20,46

44,58

Annualized profit

149935,80 EUR

84027,70 EUR

65908,10 EUR

Annualized profit %

1499,36%

840,28%

659,08%

Minimum account

10000,00 EUR

10000,00 EUR

10000,00 EUR

Minimum account date

26/02/2009

26/02/2009

26/02/2009

Maximum account

30128,37 EUR

21378,70 EUR

18847,94 EUR

Maximum account date

10/04/2009

02/04/2009

10/04/2009

Absolute drawdown

0,00 EUR

0,00 EUR

0,00 EUR

Maximum drawdown

358,93 EUR

358,93 EUR

142,13 EUR

Maximum drawdown %

1,36%

1,79%

1,03%

Maximum drawdown date

01/04/2009

01/04/2009

19/03/2009

Historical bars

50000

50000

50000

Tested bars

49675

49675

49675

Bars with trades

42317

18436

23881

Bars with trades %

85,19%

37,11%

48,07%

Number of trades

16

8

8

Winning trades

10

4

6

Losing trades

6

4

2

Win/loss ratio

1,67

1,00

3,00

Maximum profit

8182,55 EUR

8182,55 EUR

3666,35 EUR

Average profit

2091,10 EUR

2965,02 EUR

1508,50 EUR

Maximum loss

-236,41 EUR

-236,41 EUR

-142,13 EUR

Average loss

-130,45 EUR

-144,91 EUR

-101,52 EUR

Expected payoff

1258,02 EUR

1410,05 EUR

1105,99 EUR

Average holding period returns

7,95%

11,67%

8,78%

Geometric holding period returns

7,14%

9,90%

8,25%

Sharpe Ratio

0,53

0,49

0,73




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