PF112_2740PC_MA+IB+AO_T027

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Moving Average* (Weighted, Low, 29, 49) when all the following logic conditions are satisfied:

there is an Inside Bar formation; and

the Aroon (Open, 131) is lower than the Level -5.

Open a new short position or add to an existing one at the Moving Average* (Weighted, Low, 29, 49) when all the following logic conditions are satisfied:

there is an Inside Bar formation; and

the Aroon (Open, 131) is higher than the Level 5.

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

Moving Average

Enter the market at the MA value

Smoothing method

– Weighted

Base price

– Low

Period

– 29

Shift

– 49

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

– 131

Level

– -5

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

– 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

49867

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

46786,53 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

46786,53 USD

Maximum price

1,37377

Maximum drawdown

180,20 USD

Average Gap

0 pips

Gross profit

37115,33 USD

Maximum Gap

81 pips

Gross loss

-328,80 USD

Average High-Low

4 pips

Sent orders

7884

Maximum High-Low

237 pips

Executed orders

329

Average Close-Open

2 pips

Traded lots

584

Maximum Close-Open

236 pips

Winning trades

22

Maximum days off

3

Losing trades

5

Maximum data bars

50000

Win/loss ratio

0,81

No data older than

No limits

Time in position

95 %

No data newer than

No limits

Charged spread

604,00 USD

Fill In Data Gaps

Switched off

Charged rollover

471,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

Charged slippage

0,00 USD

Total charges

1075,00 USD

Balance without charges

47861,53 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

46786,53 USD

32465,72 USD

24320,80 USD

Net profit

36786,53 USD

22465,72 USD

14320,80 USD

Net profit %

367,87%

224,66%

143,21%

Gross profit

37115,33 USD

22574,72 USD

14540,60 USD

Gross loss

-328,80 USD

-109,00 USD

-219,80 USD

Profit factor

112,88

207,10

66,15

Annualized profit

274022,08 USD

167346,71 USD

106675,37 USD

Annualized profit %

2740,22%

1673,47%

1066,75%

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

46786,53 USD

32465,72 USD

24320,80 USD

Maximum account date

09/04/2009

09/04/2009

08/04/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

180,20 USD

109,00 USD

180,20 USD

Maximum drawdown %

0,44%

0,39%

0,95%

Maximum drawdown date

02/04/2009

27/03/2009

02/04/2009

Historical bars

50000

50000

50000

Tested bars

49867

49867

49867

Bars with trades

47309

27493

19816

Bars with trades %

94,87%

55,13%

39,74%

Number of trades

27

10

17

Winning trades

22

9

13

Losing trades

5

1

4

Win/loss ratio

4,40

9,00

3,25

Maximum profit

9470,01 USD

9470,01 USD

5311,00 USD

Average profit

1687,06 USD

2508,30 USD

1118,51 USD

Maximum loss

-152,00 USD

-109,00 USD

-152,00 USD

Average loss

-65,76 USD

-109,00 USD

-54,95 USD

Expected payoff

1362,46 USD

2246,57 USD

842,40 USD

Average holding period returns

6,27%

13,61%

5,62%

Geometric holding period returns

5,88%

12,50%

5,37%

Sharpe Ratio

0,63

0,76

0,72


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