PF31.6_1168PC_MA+IB+AO_T023

Logic

Opening (Entry Signal)

Open a new long position or add to a winning one at the Moving Average* (Weighted, Median, 34, 47) when all the following logic conditions are satisfied:

there is an Inside Bar formation; and 

the Aroon (Open, 134) is lower than the Level 0. 

Open a new short position or add to a winning one at the Moving Average* (Weighted, Median, 34, 47) when all the following logic conditions are satisfied:

there is an Inside Bar formation; and 

the Aroon (Open, 134) is higher than the Level 0. 

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, 65, 169, 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, 65, 169, 3) falls. 

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

Add to a wining position but not to a losing one. If the position is at a loss, cancel the additional entry order. 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 winning 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 a winning 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

– Winner

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

– 34

Shift

– 47

Use previous bar value

– Yes

Opening Logic Condition 

Inside Bar 

There is an Inside Bar formation 

Use previous bar value

– Yes

Opening Logic Condition 

Aroon 

The Aroon is lower than the Level line 

Base price

– Open

Period

– 134

Level

– 0

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 

Accelerator Oscillator 

The AC rises 

Smoothing method

– Simple

Base price

– Close

Slow MA period

– 65

Fast MA period

– 169

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

49864

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

25690,12 USD

Time of beginning

05:15

Minimum account

9988,70 USD

Minimum price

1,2456

Maximum account

25690,12 USD

Maximum price

1,37377

Maximum drawdown

188,80 USD

Average Gap

0 pips

Gross profit

16202,22 USD

Maximum Gap

81 pips

Gross loss

-512,10 USD

Average High-Low

4 pips

Sent orders

7900

Maximum High-Low

237 pips

Executed orders

136

Average Close-Open

2 pips

Traded lots

206

Maximum Close-Open

236 pips

Winning trades

14

Maximum days off

3

Losing trades

9

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

226,00 USD

Fill In Data Gaps

Switched off

Charged rollover

309,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

535,00 USD

 

 

Balance without charges

26225,12 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

25690,12 USD

24180,81 USD

11509,31 USD

Net profit

15690,12 USD

14180,81 USD

1509,31 USD

Net profit %

156,90%

141,81%

15,09%

Gross profit

16202,22 USD

14321,21 USD

1881,01 USD

Gross loss

-512,10 USD

-140,40 USD

-371,70 USD

Profit factor

31,64

102,00

5,06

Annualized profit

116875,41 USD

105632,59 USD

11242,82 USD

Annualized profit %

1168,75%

1056,33%

112,43%

Minimum account

9988,70 USD

10000,00 USD

9988,70 USD

Minimum account date

27/02/2009

26/02/2009

27/02/2009

Maximum account

25690,12 USD

24180,81 USD

11509,31 USD

Maximum account date

02/04/2009

02/04/2009

27/03/2009

Absolute drawdown

11,30 USD

0,00 USD

11,30 USD

Maximum drawdown

188,80 USD

140,40 USD

188,80 USD

Maximum drawdown %

0,86%

0,65%

1,82%

Maximum drawdown date

19/03/2009

30/03/2009

19/03/2009

Historical bars

50000

50000

50000

Tested bars

49864

49864

49864

Bars with trades

47505

17829

29676

Bars with trades %

95,27%

35,76%

59,51%

Number of trades

23

8

15

Winning trades

14

6

8

Losing trades

9

2

7

Win/loss ratio

1,56

3,00

1,14

Maximum profit

10405,00 USD

10405,00 USD

1203,00 USD

Average profit

1157,30 USD

2386,87 USD

235,13 USD

Maximum loss

-188,20 USD

-116,10 USD

-188,20 USD

Average loss

-56,90 USD

-70,20 USD

-53,10 USD

Expected payoff

682,18 USD

1772,60 USD

100,62 USD

Average holding period returns

5,29%

14,63%

0,98%

Geometric holding period returns

4,19%

11,67%

0,94%

Sharpe Ratio

0,28

0,45

0,32

 


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