PF8.2_2352PC_BB+AO_T028

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Lower Band of Bollinger Bands* (Simple, Close, 26, 3,83).

Open a new short position or add to an existing one at the Upper Band of Bollinger Bands* (Simple, Close, 26, 3,83).

Closing (Exit Signal)

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

the Accelerator Oscillator (Simple, Close, 62, 172, 3) rises. 

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

the Accelerator Oscillator (Simple, Close, 62, 172, 3) falls. 

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

– Simple

Base price

– Close

MA period

– 26

Multiplier

– 3,83

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 

Accelerator Oscillator 

The AC rises 

Smoothing method

– Simple

Base price

– Close

Slow MA period

– 62

Fast MA period

– 172

Forming MA period

– 3

Level

– 0

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

49933

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

41585,52 USD

Time of beginning

05:15

Minimum account

8860,50 USD

Minimum price

1,2456

Maximum account

41585,52 USD

Maximum price

1,37377

Maximum drawdown

1700,99 USD

Average Gap

0 pips

Gross profit

35935,42 USD

Maximum Gap

81 pips

Gross loss

-4349,90 USD

Average High-Low

4 pips

Sent orders

99894

Maximum High-Low

237 pips

Executed orders

384

Average Close-Open

2 pips

Traded lots

692

Maximum Close-Open

236 pips

Winning trades

17

Maximum days off

3

Losing trades

11

Maximum data bars

50000

Win/loss ratio

0,61

No data older than

No limits

Time in position

95 %

No data newer than

No limits

Charged spread

712,00 USD

Fill In Data Gaps

Switched off

Charged rollover

532,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

1244,00 USD

 

 

Balance without charges

42829,52 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

41585,52 USD

28740,74 USD

22844,78 USD

Net profit

31585,52 USD

18740,74 USD

12844,78 USD

Net profit %

315,86%

187,41%

128,45%

Gross profit

35935,42 USD

21975,54 USD

13959,89 USD

Gross loss

-4349,90 USD

-3234,79 USD

-1115,10 USD

Profit factor

8,26

6,79

12,52

Annualized profit

235279,93 USD

139599,40 USD

95680,53 USD

Annualized profit %

2352,80%

1395,99%

956,81%

Minimum account

8860,50 USD

8860,50 USD

10000,00 USD

Minimum account date

27/02/2009

27/02/2009

26/02/2009

Maximum account

41585,52 USD

28740,74 USD

22844,78 USD

Maximum account date

09/04/2009

09/04/2009

08/04/2009

Absolute drawdown

1139,50 USD

1139,50 USD

0,00 USD

Maximum drawdown

1700,99 USD

1898,99 USD

484,31 USD

Maximum drawdown %

5,69%

7,15%

4,13%

Maximum drawdown date

25/03/2009

27/03/2009

18/03/2009

Historical bars

50000

50000

50000

Tested bars

49933

49933

49933

Bars with trades

47591

26539

21052

Bars with trades %

95,31%

53,15%

42,16%

Number of trades

28

12

16

Winning trades

17

7

10

Losing trades

11

5

6

Win/loss ratio

1,55

1,40

1,67

Maximum profit

10203,01 USD

10203,01 USD

6061,00 USD

Average profit

2113,85 USD

3139,36 USD

1395,99 USD

Maximum loss

-1675,99 USD

-1675,99 USD

-484,20 USD

Average loss

-395,45 USD

-646,96 USD

-185,85 USD

Expected payoff

1128,05 USD

1561,73 USD

802,80 USD

Average holding period returns

6,03%

11,05%

5,74%

Geometric holding period returns

5,22%

9,20%

5,30%

Sharpe Ratio

0,41

0,47

0,55

 


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