PF3.3_1020PC_MA+SB+DC_T187*****

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one at the Lower Band of Steady Bands* (Weighted, Typical, 58, 22) when the following logic condition is satisfied:

the Moving Average (Exponential, Open, 178, 83) rises.

Open a new short position or add to an existing one at the Upper Band of Steady Bands* (Weighted, Typical, 58, 22) when the following logic condition is satisfied:

the Moving Average (Exponential, Open, 178, 83) falls.

Closing (Exit Signal)

Close an existing long position at the Upper Band of Donchian Channel* (50, 38).

Close an existing short position at the Lower Band of Donchian Channel* (50, 38).

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

Steady Bands

Enter long at the Lower Band

Smoothing method

– Weighted

Base price

– Typical

MA period

– 58

Margin in pips

– 22

Use previous bar value

– Yes

Opening Logic Condition

Moving Average

The Moving Average rises

Smoothing method

– Exponential

Base price

– Open

Period

– 178

Shift

– 83

Use previous bar value

– No

Closing Point of the Position

Donchian Channel

Exit long at the Upper Band

Base price

– High & Low

Period

– 50

Shift

– 38

Use previous bar value

– Yes


Statistic Information

Market

Account

Symbol

EURUSD

Intrabar scanning

Not accomplished

Period

1 Minute

Interpolation method

Pessimistic scenario

Number of bars

50000

Ambiguous bars

2

Date of updating

16/04/09

Tested bars

49738

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

23693,00 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

23718,00 USD

Maximum price

1,37377

Maximum drawdown

1039,00 USD

Average Gap

0 pips

Gross profit

19438,00 USD

Maximum Gap

81 pips

Gross loss

-5745,00 USD

Average High-Low

4 pips

Sent orders

120603

Maximum High-Low

237 pips

Executed orders

1286

Average Close-Open

2 pips

Traded lots

2198

Maximum Close-Open

236 pips

Winning trades

144

Maximum days off

3

Losing trades

43

Maximum data bars

50000

Win/loss ratio

0,77

No data older than

No limits

Time in position

43 %

No data newer than

No limits

Charged spread

2198,00 USD

Fill In Data Gaps

Switched off

Charged rollover

19,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

Charged slippage

0,00 USD

Total charges

2217,00 USD

Balance without charges

25910,00 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

23693,00 USD

17226,00 USD

16467,00 USD

Net profit

13693,00 USD

7226,00 USD

6467,00 USD

Net profit %

136,93%

72,26%

64,67%

Gross profit

19438,00 USD

10658,00 USD

8780,00 USD

Gross loss

-5745,00 USD

-3432,00 USD

-2313,00 USD

Profit factor

3,38

3,11

3,80

Annualized profit

101998,88 USD

53826,33 USD

48172,55 USD

Annualized profit %

1019,99%

538,26%

481,73%

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

23718,00 USD

17960,00 USD

16583,00 USD

Maximum account date

16/04/2009

03/04/2009

16/04/2009

Absolute drawdown

0,00 USD

0,00 USD

0,00 USD

Maximum drawdown

1039,00 USD

1085,00 USD

805,00 USD

Maximum drawdown %

4,47%

6,04%

6,42%

Maximum drawdown date

07/04/2009

08/04/2009

12/03/2009

Historical bars

50000

50000

50000

Tested bars

49738

49738

49738

Bars with trades

21513

12289

9239

Bars with trades %

43,25%

24,71%

18,58%

Number of trades

187

107

80

Winning trades

144

81

63

Losing trades

43

26

17

Win/loss ratio

3,35

3,12

3,71

Maximum profit

776,00 USD

776,00 USD

696,00 USD

Average profit

134,99 USD

131,58 USD

139,37 USD

Maximum loss

-805,00 USD

-561,00 USD

-805,00 USD

Average loss

-133,60 USD

-132,00 USD

-136,06 USD

Expected payoff

73,22 USD

67,53 USD

80,84 USD

Average holding period returns

0,47%

0,52%

0,64%

Geometric holding period returns

0,46%

0,51%

0,63%

Sharpe Ratio

0,39

0,37

0,43


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