PF12.5_1295PC_PP+Ar+ROC_T035

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one 192 pips above the Pivot Point Support 3 level when all the following logic conditions are satisfied:

the Aroon (Open, 138) rises; and 

the ROC MA Oscillator (Exponential, Exponential, Open, 25, 7) falls. 

Open a new short position or add to an existing one 192 pips below the Pivot Point Resistance 3 level when all the following logic conditions are satisfied:

the Aroon (Open, 138) falls; and 

the ROC MA Oscillator (Exponential, Exponential, Open, 25, 7) rises. 

Closing (Exit Signal)

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

the bar closes lower than 122 pips below the hourly high (18:00 – 09:18). 

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

the bar closes higher than 122 pips above the hourly low (18:00 – 09:18). 

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 

Pivot Points 

Enter long at S3 (short at R3) 

Base price

– Previous day

Vertical shift

– -192

Use previous bar value

– Yes

Opening Logic Condition 

Aroon 

The Aroon rises 

Base price

– Open

Period

– 138

Level

– 0

Use previous bar value

– No

Opening Logic Condition 

ROC MA Oscillator 

The ROC MA Oscillator falls 

Smoothing method

– Exponential

Signal line method

– Exponential

Base price

– Open

ROC period

– 25

Signal line period

– 7

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 

Hourly High Low 

The bar closes below the hourly high 

Base price

– High and Low

Start hour (incl.)

– 18

Start min (incl.)

– 0

End hour (excl.)

– 9

End min( excl.)

– 18

Vertical shift

– -122


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

48885

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

27383,51 USD

Time of beginning

05:15

Minimum account

9422,90 USD

Minimum price

1,2456

Maximum account

27863,41 USD

Maximum price

1,37377

Maximum drawdown

876,60 USD

Average Gap

0 pips

Gross profit

18890,01 USD

Maximum Gap

81 pips

Gross loss

-1506,50 USD

Average High-Low

4 pips

Sent orders

9857

Maximum High-Low

237 pips

Executed orders

148

Average Close-Open

2 pips

Traded lots

226

Maximum Close-Open

236 pips

Winning trades

11

Maximum days off

3

Losing trades

24

Maximum data bars

50000

Win/loss ratio

0,31

No data older than

No limits

Time in position

52 %

No data newer than

No limits

Charged spread

226,00 USD

Fill In Data Gaps

Switched off

Charged rollover

175,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

401,00 USD

 

 

Balance without charges

27784,51 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

27383,51 USD

22649,71 USD

14733,80 USD

Net profit

17383,51 USD

12649,71 USD

4733,80 USD

Net profit %

173,84%

126,50%

47,34%

Gross profit

18890,01 USD

13808,41 USD

5081,60 USD

Gross loss

-1506,50 USD

-1158,70 USD

-347,80 USD

Profit factor

12,54

11,92

14,61

Annualized profit

129489,42 USD

94227,42 USD

35262,00 USD

Annualized profit %

1294,89%

942,27%

352,62%

Minimum account

9422,90 USD

9323,20 USD

9974,50 USD

Minimum account date

16/03/2009

04/03/2009

16/03/2009

Maximum account

27863,41 USD

23129,61 USD

14733,80 USD

Maximum account date

14/04/2009

14/04/2009

13/04/2009

Absolute drawdown

577,10 USD

676,80 USD

25,50 USD

Maximum drawdown

876,60 USD

676,80 USD

325,00 USD

Maximum drawdown %

8,51%

6,77%

3,16%

Maximum drawdown date

16/03/2009

04/03/2009

16/03/2009

Historical bars

50000

50000

50000

Tested bars

48885

48885

48885

Bars with trades

25548

13780

11768

Bars with trades %

52,26%

28,19%

24,07%

Number of trades

35

20

15

Winning trades

11

5

6

Losing trades

24

15

9

Win/loss ratio

0,46

0,33

0,67

Maximum profit

11291,00 USD

11291,00 USD

4345,00 USD

Average profit

1717,27 USD

2761,68 USD

846,93 USD

Maximum loss

-670,40 USD

-670,40 USD

-159,00 USD

Average loss

-62,77 USD

-77,25 USD

-38,64 USD

Expected payoff

496,67 USD

632,49 USD

315,59 USD

Average holding period returns

4,13%

6,17%

3,08%

Geometric holding period returns

2,92%

4,17%

2,62%

Sharpe Ratio

0,20

0,23

0,28

 


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