PF3.3_0232PC_Fractal+AD+PO_T105

Logic

Opening (Entry Signal)

Open a new long position or add to an existing one 36 pips below an Up Fractal when the following logic condition is satisfied:

the Accumulation Distribution* rises. 

Open a new short position or add to an existing one 36 pips above a Down Fractal when the following logic condition is satisfied:

the Accumulation Distribution* falls. 

Closing (Exit Signal)

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

the Price Oscillator (Weighted, Median, 197, 157) changes its direction upward. 

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

the Price Oscillator (Weighted, Median, 197, 157) changes its direction 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 

Fractal 

Enter long at an Up Fractal 

Visibility

– The fractal is visible

Vertical shift

– -36

Opening Logic Condition 

Accumulation Distribution 

The AD rises 

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 

Price Oscillator 

The Price Oscillator changes its direction upward 

Smoothing method

– Weighted

Base price

– Median

Period

– 197

Additional smoothing

– 157

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

49644

Time of updating

20:57

Initial account

10000,00 USD

Date of beginning

26/02/09

Account balance

13126,79 USD

Time of beginning

05:15

Minimum account

10000,00 USD

Minimum price

1,2456

Maximum account

13207,79 USD

Maximum price

1,37377

Maximum drawdown

263,70 USD

Average Gap

0 pips

Gross profit

4438,29 USD

Maximum Gap

81 pips

Gross loss

-1311,49 USD

Average High-Low

4 pips

Sent orders

35818

Maximum High-Low

237 pips

Executed orders

343

Average Close-Open

2 pips

Traded lots

476

Maximum Close-Open

236 pips

Winning trades

72

Maximum days off

3

Losing trades

33

Maximum data bars

50000

Win/loss ratio

0,69

No data older than

No limits

Time in position

15 %

No data newer than

No limits

Charged spread

476,00 USD

Fill In Data Gaps

Switched off

Charged rollover

7,00 USD

Cut Off Bad Data

Switched off

Charged commission

0,00 USD

 

 

Charged slippage

0,00 USD

 

 

Total charges

483,00 USD

 

 

Balance without charges

13609,79 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

13126,79 USD

11995,40 USD

11131,39 USD

Net profit

3126,79 USD

1995,40 USD

1131,39 USD

Net profit %

31,27%

19,95%

11,31%

Gross profit

4438,29 USD

2603,60 USD

1834,69 USD

Gross loss

-1311,49 USD

-608,19 USD

-703,30 USD

Profit factor

3,38

4,28

2,61

Annualized profit

23291,43 USD

14863,73 USD

8427,71 USD

Annualized profit %

232,91%

148,64%

84,28%

Minimum account

10000,00 USD

10000,00 USD

9946,89 USD

Minimum account date

26/02/2009

26/02/2009

19/03/2009

Maximum account

13207,79 USD

12230,40 USD

11133,69 USD

Maximum account date

03/04/2009

03/04/2009

13/04/2009

Absolute drawdown

0,00 USD

0,00 USD

53,11 USD

Maximum drawdown

263,70 USD

296,50 USD

247,50 USD

Maximum drawdown %

2,00%

2,42%

2,43%

Maximum drawdown date

07/04/2009

09/04/2009

19/03/2009

Historical bars

50000

50000

50000

Tested bars

49644

49644

49644

Bars with trades

7670

3931

3739

Bars with trades %

15,45%

7,92%

7,53%

Number of trades

105

55

50

Winning trades

72

40

32

Losing trades

33

15

18

Win/loss ratio

2,18

2,67

1,78

Maximum profit

829,20 USD

829,20 USD

527,00 USD

Average profit

61,64 USD

65,09 USD

57,33 USD

Maximum loss

-187,50 USD

-187,50 USD

-174,90 USD

Average loss

-39,74 USD

-40,55 USD

-39,07 USD

Expected payoff

29,78 USD

36,28 USD

22,63 USD

Average holding period returns

0,26%

0,34%

0,22%

Geometric holding period returns

0,26%

0,33%

0,21%

Sharpe Ratio

0,26

0,30

0,23

 


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