PF15.8_2557PC_MA+ROC+O_T017

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Moving Average (Exponential, Open, 78, 158) when the following logic condition is satisfied:

the Rate of Change* (Weighted, Median, 7, 104) rises. 

Open a new short position or add to an existing one at the Moving Average (Exponential, Open, 78, 158) when the following logic condition is satisfied:

the Rate of Change* (Weighted, Median, 7, 104) falls. 

Closing (Exit Signal)

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

the Oscillator of ATR (Weighted, 199, 128) crosses the zero line upward. 

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

the Oscillator of ATR (Weighted, 199, 128) crosses the zero line downward. 

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

– Exponential

Base price

– Open

Period

– 78

Shift

– 158

Use previous bar value

– No

Opening Logic Condition 

Rate of Change 

The ROC rises 

Smoothing method

– Weighted

Base price

– Median

Period

– 7

Smoothing period

– 104

Level

– 1

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 

Oscillator of ATR 

The Oscillator crosses the zero line upward 

Smoothing method

– Weighted

First ATR period

– 199

Second ATR period

– 128

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

49671

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

44332,30 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

44332,30 USD

Maximum price

1,37377

Maximum drawdown

1052,60 USD

Average Gap

0 pips

Gross profit

36653,00 USD

Maximum Gap

81 pips

Gross loss

-2320,70 USD

Average High-Low

4 pips

Sent orders

16283

Maximum High-Low

237 pips

Executed orders

254

Average Close-Open

2 pips

Traded lots

454

Maximum Close-Open

236 pips

Winning trades

12

Maximum days off

3

Losing trades

5

Maximum data bars

50000

Win/loss ratio

0,71

No data older than

No limits

Time in position

89 %

No data newer than

No limits

Charged spread

474,00 USD

Fill In Data Gaps

Switched off

Charged rollover

529,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

1003,00 USD

 

 

Balance without charges

45335,30 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

44332,30 USD

27154,11 USD

27178,19 USD

Net profit

34332,30 USD

17154,11 USD

17178,19 USD

Net profit %

343,32%

171,54%

171,78%

Gross profit

36653,00 USD

18831,01 USD

17821,99 USD

Gross loss

-2320,70 USD

-1676,90 USD

-643,80 USD

Profit factor

15,79

11,23

27,68

Annualized profit

255740,60 USD

127780,59 USD

127960,01 USD

Annualized profit %

2557,41%

1277,81%

1279,60%

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

44332,30 USD

27253,31 USD

27178,19 USD

Maximum account date

10/04/2009

02/04/2009

10/04/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

1052,60 USD

1052,60 USD

561,80 USD

Maximum drawdown %

3,09%

4,35%

3,69%

Maximum drawdown date

30/03/2009

30/03/2009

19/03/2009

Historical bars

50000

50000

50000

Tested bars

49671

49671

49671

Bars with trades

44366

23735

20631

Bars with trades %

89,32%

47,78%

41,54%

Number of trades

17

8

9

Winning trades

12

5

7

Losing trades

5

3

2

Win/loss ratio

2,40

1,67

3,50

Maximum profit

11176,01 USD

11176,01 USD

5047,00 USD

Average profit

3054,42 USD

3766,20 USD

2546,00 USD

Maximum loss

-1052,60 USD

-1052,60 USD

-561,80 USD

Average loss

-464,14 USD

-558,97 USD

-321,90 USD

Expected payoff

2019,55 USD

2144,26 USD

1908,69 USD

Average holding period returns

10,34%

16,04%

12,78%

Geometric holding period returns

9,15%

13,30%

11,75%

Sharpe Ratio

0,57

0,53

0,75

 


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