PF13.7_740PC_BB+WPR+DO_T027

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Lower Band of Bollinger Bands* (Weighted, Median, 49, 2,04) when all the following logic conditions are satisfied:

the Williams’ Percent Range* (Exponential, 172, 153) changes its direction downward; and 

the Detrended Oscillator* (Smoothed, 83, Weighted, 14, Close) is higher than the zero line. 

Open a new short position or add to an existing one at the Upper Band of Bollinger Bands* (Weighted, Median, 49, 2,04) when all the following logic conditions are satisfied:

the Williams’ Percent Range* (Exponential, 172, 153) changes its direction upward; and 

the Detrended Oscillator* (Smoothed, 83, Weighted, 14, Close) is lower than the zero line. 

Closing (Exit Signal)

Close an existing long position at the Upper Band of Bollinger Bands* (Exponential, Typical, 141, 4,980002).

Close an existing short position at the Lower Band of Bollinger Bands* (Exponential, Typical, 141, 4,980002).

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 

Bollinger Bands 

Enter long at the Lower Band 

Smoothing method

– Weighted

Base price

– Median

MA period

– 49

Multiplier

– 2,04

Use previous bar value

– Yes

Opening Logic Condition 

Williams’ Percent Range 

The %R changes its direction downward 

Smoothing method

– Exponential

Period of %R

– 172

Smoothing period

– 153

Level

– -20

Use previous bar value

– Yes

Opening Logic Condition 

Detrended Oscillator 

The Detrended Oscillator is higher than the zero line 

Smoothing method MA1

– Smoothed

Smoothing method MA2

– Weighted

Base price

– Close

Period MA1

– 83

Period MA2

– 14

Use previous bar value

– Yes

Closing Point of the Position 

Bollinger Bands 

Exit long at the Upper Band 

Smoothing method

– Exponential

Base price

– Typical

MA period

– 141

Multiplier

– 4,980002

Use previous bar value

– Yes


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

49672

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

19942,00 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

20572,00 USD

Maximum price

1,37377

Maximum drawdown

782,00 USD

Average Gap

0 pips

Gross profit

10724,00 USD

Maximum Gap

81 pips

Gross loss

-782,00 USD

Average High-Low

4 pips

Sent orders

42535

Maximum High-Low

237 pips

Executed orders

139

Average Close-Open

2 pips

Traded lots

220

Maximum Close-Open

236 pips

Winning trades

25

Maximum days off

3

Losing trades

2

Maximum data bars

50000

Win/loss ratio

0,93

No data older than

No limits

Time in position

79 %

No data newer than

No limits

Charged spread

224,00 USD

Fill In Data Gaps

Switched off

Charged rollover

193,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

417,00 USD

 

 

Balance without charges

20359,00 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

19942,00 USD

12983,00 USD

16959,00 USD

Net profit

9942,00 USD

2983,00 USD

6959,00 USD

Net profit %

99,42%

29,83%

69,59%

Gross profit

10724,00 USD

2983,00 USD

7741,00 USD

Gross loss

-782,00 USD

0,00 USD

-782,00 USD

Profit factor

13,71

N/A

9,90

Annualized profit

74057,76 USD

22220,31 USD

51837,45 USD

Annualized profit %

740,58%

222,20%

518,37%

Minimum account

10000,00 USD

10000,00 USD

10000,00 USD

Minimum account date

26/02/2009

26/02/2009

26/02/2009

Maximum account

20572,00 USD

12983,00 USD

17589,00 USD

Maximum account date

10/04/2009

06/04/2009

10/04/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

782,00 USD

0,00 USD

782,00 USD

Maximum drawdown %

3,80%

0,00%

4,45%

Maximum drawdown date

14/04/2009

26/02/2009

14/04/2009

Historical bars

50000

50000

50000

Tested bars

49672

49672

49672

Bars with trades

39291

20971

18320

Bars with trades %

79,10%

42,22%

36,88%

Number of trades

27

14

13

Winning trades

25

14

11

Losing trades

2

0

2

Win/loss ratio

12,50

+Infini

5,50

Maximum profit

5475,00 USD

1137,00 USD

5475,00 USD

Average profit

428,96 USD

213,07 USD

703,73 USD

Maximum loss

-776,00 USD

0,00 USD

-776,00 USD

Average loss

-391,00 USD

Non Numérique USD

-391,00 USD

Expected payoff

368,22 USD

213,07 USD

535,31 USD

Average holding period returns

2,84%

1,91%

4,81%

Geometric holding period returns

2,59%

1,88%

4,15%

Sharpe Ratio

0,36

0,73

0,35

 


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