PF3.2_1030PC_BB+OM+Sto_T183*****

Logic

Opening (Entry Signal)

Open a new long position or add to a winning one at the Upper Band of Bollinger Bands (Simple, Open, 84, 1,45) when the following logic condition is satisfied:

the Oscillator of Momentum* (Smoothed, Median, 93, 24) changes its direction downward.

Open a new short position or add to a winning one at the Lower Band of Bollinger Bands (Simple, Open, 84, 1,45) when the following logic condition is satisfied:

the Oscillator of Momentum* (Smoothed, Median, 93, 24) changes its direction upward.

Closing (Exit Signal)

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

Stochastics (Smoothed, 86, 188, 112) – the Slow %D changes its direction upward.

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

Stochastics (Smoothed, 86, 188, 112) – the Slow %D changes its direction downward.

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

Bollinger Bands

Enter long at the Upper Band

Smoothing method

– Simple

Base price

– Open

MA period

– 84

Multiplier

– 1,45

Use previous bar value

– No

Opening Logic Condition

Oscillator of Momentum

The Oscillator changes its direction downward

Smoothing method

– Smoothed

Base price

– Median

Momentum1 period

– 93

Momentum2 period

– 24

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

Stochastics

The Slow %D changes its direction upward

Smoothing method

– Smoothed

%K period

– 86

Fast %D period

– 188

Slow %D period

– 112

Level

– 20

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

49611

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

23836,29 USD

Time of beginning

05:15

Minimum account

9901,60 USD

Minimum price

1,2456

Maximum account

23909,00 USD

Maximum price

1,37377

Maximum drawdown

760,99 USD

Average Gap

0 pips

Gross profit

19934,09 USD

Maximum Gap

81 pips

Gross loss

-6097,79 USD

Average High-Low

4 pips

Sent orders

16293

Maximum High-Low

237 pips

Executed orders

940

Average Close-Open

2 pips

Traded lots

1513

Maximum Close-Open

236 pips

Winning trades

80

Maximum days off

3

Losing trades

103

Maximum data bars

50000

Win/loss ratio

0,44

No data older than

No limits

Time in position

89 %

No data newer than

No limits

Charged spread

1514,00 USD

Fill In Data Gaps

Switched off

Charged rollover

161,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

Charged slippage

0,00 USD

Total charges

1675,00 USD

Balance without charges

25511,29 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

23836,29 USD

19382,02 USD

14454,28 USD

Net profit

13836,29 USD

9382,02 USD

4454,28 USD

Net profit %

138,36%

93,82%

44,54%

Gross profit

19934,09 USD

12464,71 USD

7469,38 USD

Gross loss

-6097,79 USD

-3082,69 USD

-3015,10 USD

Profit factor

3,27

4,04

2,48

Annualized profit

103066,27 USD

69886,46 USD

33179,81 USD

Annualized profit %

1030,66%

698,86%

331,80%

Minimum account

9901,60 USD

9980,40 USD

9901,60 USD

Minimum account date

27/02/2009

03/03/2009

27/02/2009

Maximum account

23909,00 USD

19443,72 USD

14573,58 USD

Maximum account date

13/04/2009

13/04/2009

10/04/2009

Absolute drawdown

98,40 USD

19,60 USD

98,40 USD

Maximum drawdown

760,99 USD

792,00 USD

628,10 USD

Maximum drawdown %

3,78%

4,10%

5,22%

Maximum drawdown date

27/03/2009

08/04/2009

27/03/2009

Historical bars

50000

50000

50000

Tested bars

49611

49611

49611

Bars with trades

44388

23022

21366

Bars with trades %

89,47%

46,41%

43,07%

Number of trades

183

90

93

Winning trades

80

46

34

Losing trades

103

44

59

Win/loss ratio

0,78

1,05

0,58

Maximum profit

2763,40 USD

2038,60 USD

2763,40 USD

Average profit

249,18 USD

270,97 USD

219,69 USD

Maximum loss

-518,00 USD

-518,00 USD

-508,50 USD

Average loss

-59,20 USD

-70,06 USD

-51,10 USD

Expected payoff

75,61 USD

104,24 USD

47,90 USD

Average holding period returns

0,50%

0,77%

0,43%

Geometric holding period returns

0,48%

0,74%

0,40%

Sharpe Ratio

0,23

0,28

0,15


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