PF11.6_1052PC_HHL+HA+BB_T034

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one 95 pips below the hourly low (00:36 – 02:01) when the following logic condition is satisfied:

the Heiken Ashi* bar is black. 

Open a new short position or add to an existing one 95 pips above the hourly high (00:36 – 02:01) when the following logic condition is satisfied:

the Heiken Ashi* bar is white. 

Closing (Exit Signal)

Close an existing long position at the Upper Band of Bollinger Bands* (Weighted, Close, 58, 4,280008).

Close an existing short position at the Lower Band of Bollinger Bands* (Weighted, Close, 58, 4,280008).

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 

Hourly High Low 

Enter long at the hourly low 

Base price

– High and Low

Start hour (incl.)

– 0

Start min (incl.)

– 36

End hour (excl.)

– 2

End min( excl.)

– 1

Vertical shift

– 95

Opening Logic Condition 

Heiken Ashi 

Black H.A. bar 

Base price

– High, Low, Open, Close

Use previous bar value

– Yes

Closing Point of the Position 

Bollinger Bands 

Exit long at the Upper Band 

Smoothing method

– Weighted

Base price

– Close

MA period

– 58

Multiplier

– 4,280008

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

49939

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

24132,00 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

24132,00 USD

Maximum price

1,37377

Maximum drawdown

468,00 USD

Average Gap

0 pips

Gross profit

15464,00 USD

Maximum Gap

81 pips

Gross loss

-1332,00 USD

Average High-Low

4 pips

Sent orders

120895

Maximum High-Low

237 pips

Executed orders

438

Average Close-Open

2 pips

Traded lots

808

Maximum Close-Open

236 pips

Winning trades

27

Maximum days off

3

Losing trades

7

Maximum data bars

50000

Win/loss ratio

0,79

No data older than

No limits

Time in position

45 %

No data newer than

No limits

Charged spread

808,00 USD

Fill In Data Gaps

Switched off

Charged rollover

229,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

1037,00 USD

 

 

Balance without charges

25169,00 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

24132,00 USD

18267,00 USD

15865,00 USD

Net profit

14132,00 USD

8267,00 USD

5865,00 USD

Net profit %

141,32%

82,67%

58,65%

Gross profit

15464,00 USD

8896,00 USD

6568,00 USD

Gross loss

-1332,00 USD

-629,00 USD

-703,00 USD

Profit factor

11,61

14,14

9,34

Annualized profit

105268,98 USD

61580,71 USD

43688,27 USD

Annualized profit %

1052,69%

615,81%

436,88%

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

24132,00 USD

18267,00 USD

16061,00 USD

Maximum account date

15/04/2009

15/04/2009

01/04/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

468,00 USD

468,00 USD

348,00 USD

Maximum drawdown %

2,31%

2,87%

2,17%

Maximum drawdown date

30/03/2009

30/03/2009

03/04/2009

Historical bars

50000

50000

50000

Tested bars

49939

49939

49939

Bars with trades

22265

10883

11382

Bars with trades %

44,58%

21,79%

22,79%

Number of trades

34

17

17

Winning trades

27

14

13

Losing trades

7

3

4

Win/loss ratio

3,86

4,67

3,25

Maximum profit

1960,00 USD

1960,00 USD

1940,00 USD

Average profit

572,74 USD

635,43 USD

505,23 USD

Maximum loss

-468,00 USD

-468,00 USD

-348,00 USD

Average loss

-190,29 USD

-209,67 USD

-175,75 USD

Expected payoff

415,65 USD

486,29 USD

345,00 USD

Average holding period returns

2,69%

3,72%

2,84%

Geometric holding period returns

2,62%

3,61%

2,75%

Sharpe Ratio

0,72

0,75

0,65



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