PF9.3_2358PC_MA+Osc_T026

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Moving Average* (Weighted, Median, 39, 48) when the following logic condition is satisfied:

the On Balance Volume* changes its direction upward. 

Open a new short position or add to an existing one at the Moving Average* (Weighted, Median, 39, 48) when the following logic condition is satisfied:

the On Balance Volume* changes its direction downward. 

Closing (Exit Signal)

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

the Detrended Oscillator (Simple, 2, Weighted, 77, Weighted) is higher than the zero line. 

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

the Detrended Oscillator (Simple, 2, Weighted, 77, Weighted) is lower than the zero line. 

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 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 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

– Weighted

Base price

– Median

Period

– 39

Shift

– 48

Use previous bar value

– Yes

Opening Logic Condition 

On Balance Volume 

The On Balance Volume changes its direction upward 

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 

Detrended Oscillator 

The Detrended Oscillator is higher than the zero line 

Smoothing method MA1

– Simple

Smoothing method MA2

– Weighted

Base price

– Weighted

Period MA1

– 2

Period MA2

– 77

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

49911

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

41662,86 USD

Time of beginning

05:15

Minimum account

9194,99 USD

Minimum price

1,2456

Maximum account

41662,86 USD

Maximum price

1,37377

Maximum drawdown

2057,99 USD

Average Gap

0 pips

Gross profit

35471,85 USD

Maximum Gap

81 pips

Gross loss

-3808,99 USD

Average High-Low

4 pips

Sent orders

24073

Maximum High-Low

237 pips

Executed orders

469

Average Close-Open

2 pips

Traded lots

866

Maximum Close-Open

236 pips

Winning trades

23

Maximum days off

3

Losing trades

3

Maximum data bars

50000

Win/loss ratio

0,88

No data older than

No limits

Time in position

95 %

No data newer than

No limits

Charged spread

886,00 USD

Fill In Data Gaps

Switched off

Charged rollover

776,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

1662,00 USD

 

 

Balance without charges

43324,86 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

41662,86 USD

26373,28 USD

25289,58 USD

Net profit

31662,86 USD

16373,28 USD

15289,58 USD

Net profit %

316,63%

163,73%

152,90%

Gross profit

35471,85 USD

17178,29 USD

18293,56 USD

Gross loss

-3808,99 USD

-805,01 USD

-3003,98 USD

Profit factor

9,31

21,34

6,09

Annualized profit

235856,03 USD

121964,26 USD

113891,77 USD

Annualized profit %

2358,56%

1219,64%

1138,92%

Minimum account

9194,99 USD

9194,99 USD

10000,00 USD

Minimum account date

27/02/2009

27/02/2009

26/02/2009

Maximum account

41662,86 USD

26373,28 USD

25289,58 USD

Maximum account date

15/04/2009

13/04/2009

15/04/2009

Absolute drawdown

805,01 USD

805,01 USD

0,00 USD

Maximum drawdown

2057,99 USD

805,01 USD

2057,99 USD

Maximum drawdown %

14,93%

8,05%

14,11%

Maximum drawdown date

10/03/2009

27/02/2009

10/03/2009

Historical bars

50000

50000

50000

Tested bars

49911

49911

49911

Bars with trades

47264

19231

28033

Bars with trades %

94,70%

38,53%

56,17%

Number of trades

26

11

15

Winning trades

23

10

13

Losing trades

3

1

2

Win/loss ratio

7,67

10,00

6,50

Maximum profit

3852,99 USD

3852,99 USD

3657,99 USD

Average profit

1542,25 USD

1717,83 USD

1407,20 USD

Maximum loss

-2057,99 USD

-805,01 USD

-2057,99 USD

Average loss

-1269,66 USD

-805,01 USD

-1501,99 USD

Expected payoff

1217,80 USD

1488,48 USD

1019,31 USD

Average holding period returns

6,12%

9,80%

6,92%

Geometric holding period returns

5,64%

9,22%

6,38%

Sharpe Ratio

0,58

0,79

0,61




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