PF4_2375PC_Fractal + BB_T056*****

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one 7 pips above an Up Fractal.

Open a new short position or add to an existing one 7 pips below a Down Fractal.

Closing (Exit Signal)

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

the bar closes above the Upper Band of Bollinger Bands (Weighted, Weighted, 30, 3,7).

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

the bar closes below the Lower Band of Bollinger Bands (Weighted, Weighted, 30, 3,7).

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

Fractal

Enter long at an Up Fractal

Visibility

– The fractal can be shadowed

Vertical shift

– 7

Closing Point of the Position

Bar Closing

Exit the market at the end of the bar

Base price

– Close

Closing Logic Condition

Bollinger Bands

The bar closes above the Upper Band

Smoothing method

– Weighted

Base price

– Weighted

MA period

– 30

Multiplier

– 3,7

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

49968

Time of updating

20:57

Initial account

10000,00 EUR

Date of beginning

26/02/09

Account balance

41886,52 EUR

Time of beginning

05:15

Minimum account

10000,00 EUR

Minimum price

1,2456

Maximum account

44727,03 EUR

Maximum price

1,37377

Maximum drawdown

3231,49 EUR

Average Gap

0 pips

Gross profit

42414,77 EUR

Maximum Gap

81 pips

Gross loss

-10528,24 EUR

Average High-Low

4 pips

Sent orders

99992

Maximum High-Low

237 pips

Executed orders

938

Average Close-Open

2 pips

Traded lots

1749

Maximum Close-Open

236 pips

Winning trades

43

Maximum days off

3

Losing trades

13

Maximum data bars

50000

Win/loss ratio

0,77

No data older than

No limits

Time in position

99 %

No data newer than

No limits

Charged spread

1342,46 EUR

Fill In Data Gaps

Switched off

Charged rollover

578,34 EUR

Cut Off Bad Data

Switched off

Charged commission

0,00 EUR

Charged slippage

0,00 EUR

Total charges

1920,80 EUR

Balance without charges

43807,32 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

41886,52 EUR

28595,28 EUR

23291,25 EUR

Net profit

31886,52 EUR

18595,28 EUR

13291,25 EUR

Net profit %

318,87%

185,95%

132,91%

Gross profit

42414,77 EUR

21845,52 EUR

20569,24 EUR

Gross loss

-10528,24 EUR

-3250,25 EUR

-7278,00 EUR

Profit factor

4,03

6,72

2,83

Annualized profit

237522,04 EUR

138515,83 EUR

99006,21 EUR

Annualized profit %

2375,22%

1385,16%

990,06%

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

44727,03 EUR

29835,30 EUR

24891,73 EUR

Maximum account date

10/04/2009

06/04/2009

10/04/2009

Absolute drawdown

0,00 EUR

0,00 EUR

0,00 EUR

Maximum drawdown

3231,49 EUR

1240,02 EUR

3231,49 EUR

Maximum drawdown %

7,22%

4,16%

12,98%

Maximum drawdown date

14/04/2009

16/04/2009

14/04/2009

Historical bars

50000

50000

50000

Tested bars

49968

49968

49968

Bars with trades

49340

22618

26722

Bars with trades %

98,74%

45,26%

53,48%

Number of trades

56

26

30

Winning trades

43

20

23

Losing trades

13

6

7

Win/loss ratio

3,31

3,33

3,29

Maximum profit

4679,45 EUR

4564,46 EUR

4679,45 EUR

Average profit

986,39 EUR

1092,28 EUR

894,31 EUR

Maximum loss

-3231,49 EUR

-1142,66 EUR

-3231,49 EUR

Average loss

-809,86 EUR

-541,71 EUR

-1039,71 EUR

Expected payoff

569,40 EUR

715,20 EUR

443,04 EUR

Average holding period returns

2,76%

4,43%

3,20%

Geometric holding period returns

2,59%

4,12%

2,86%

Sharpe Ratio

0,45

0,52

0,37



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