PF16.3_0149PC_BB+MACDH+ET_T39

Logic

Opening (Entry Signal)

Open a new long position at the Upper Band of Bollinger Bands* (Weighted, Typical, 13, 1,84) when all the following logic conditions are satisfied:

the MACD Histogram* (Simple, Typical, Simple, 30, 26, 9) is higher than the Level 0; and

the entry time is between 07:19 (incl.) and 15:08 (excl.).

Open a new short position at the Lower Band of Bollinger Bands* (Weighted, Typical, 13, 1,84) when all the following logic conditions are satisfied:

the MACD Histogram* (Simple, Typical, Simple, 30, 26, 9) is lower than the Level 0; and

the entry time is between 07:19 (incl.) and 15:08 (excl.).

Closing (Exit Signal)

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

Stochastics (Weighted, 50, 3, 115) – the Slow %D is lower than the Level 24.

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

Stochastics (Weighted, 50, 3, 115) – the Slow %D is higher than the Level 76.

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

No averaging is allowed. Cancel any additional orders which are in the same direction.

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.

Permanent Protection

The Permanent Stop Loss limits the loss of a position to 165 pips per open lot (plus the charged spread and rollover).

————–
* 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 EUR

Lot size

– 10000

Leverage

– 1/100

Required margin

– 75,92 EUR* for each open lot

Charges

Spread

– 2 pips

(1,52 EUR*)

Swap number for a long position rollover

– 1 pips

(0,76 EUR*)

Swap number for a short position rollover

– -1 pips

(0,76 EUR*)

Commission per lot at opening and closing

– 0 pips

(0,00 EUR*)

Slippage

– 0 pips

(0,00 EUR*)

————–
* This value may vary!


Strategy Properties

Handling of Additional Entry Signals

Next same direction signal behavior – Does nothing
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 -165 pips


Indicator Slots

The slots show the logic for the long positions only. Forex Strategy Builder automatically computes the proper logic for the short positions.

Strategy Properties

Same direction signal

– Nothing

Opposite direction signal

– Nothing

Permanent Stop Loss

– -165

Opening Point of the Position

Bollinger Bands

Enter long at the Upper Band

Smoothing method

– Weighted

Base price

– Typical

MA period

– 13

Multiplier

– 1,84

Use previous bar value

– Yes

Opening Logic Condition

MACD Histogram

The MACD histogram is higher than the Level line

Smoothing method

– Simple

Base price

– Typical

Signal line method

– Simple

Slow MA period

– 30

Fast MA period

– 26

Signal line period

– 9

Level

– 0,0000

Use previous bar value

– Yes

Opening Logic Condition

Entry Time

Enter the market between the specified hours

From hour (incl.)

– 7

From min (incl.)

– 19

Until hour (excl.)

– 15

Until min( excl.)

– 8

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 is lower than the Level line

Smoothing method

– Weighted

%K period

– 50

Fast %D period

– 3

Slow %D period

– 115

Level

– 24

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

49829

Time of updating

20:57

Initial account

10000,00 EUR

Date of beginning

26/02/09

Account balance

12002,49 EUR

Time of beginning

05:15

Minimum account

10000,00 EUR

Minimum price

1,2456

Maximum account

12019,52 EUR

Maximum price

1,37377

Maximum drawdown

51,95 EUR

Average Gap

0 pips

Gross profit

2132,95 EUR

Maximum Gap

81 pips

Gross loss

-130,46 EUR

Average High-Low

4 pips

Sent orders

66933

Maximum High-Low

237 pips

Executed orders

79

Average Close-Open

2 pips

Traded lots

79

Maximum Close-Open

236 pips

Winning trades

27

Maximum days off

3

Losing trades

12

Maximum data bars

50000

Win/loss ratio

0,69

No data older than

No limits

Time in position

71 %

No data newer than

No limits

Charged spread

60,56 EUR

Fill In Data Gaps

Switched off

Charged rollover

18,21 EUR

Cut Off Bad Data

Switched off

Charged commission

0,00 EUR

Charged slippage

0,00 EUR

Total charges

78,78 EUR

Balance without charges

12081,26 EUR

Account exchange rate

Deal price


Additional Statistics

Parameter

Long + Short

Long

Short

Initial account

10000,00 EUR

10000,00 EUR

10000,00 EUR

Account balance

12002,49 EUR

11364,77 EUR

10637,72 EUR

Net profit

2002,49 EUR

1364,77 EUR

637,72 EUR

Net profit %

20,02%

13,65%

6,38%

Gross profit

2132,95 EUR

1406,91 EUR

726,04 EUR

Gross loss

-130,46 EUR

-42,14 EUR

-88,32 EUR

Profit factor

16,35

33,39

8,22

Annualized profit

14916,48 EUR

10166,12 EUR

4750,36 EUR

Annualized profit %

149,16%

101,66%

47,50%

Minimum account

10000,00 EUR

9996,38 EUR

9983,71 EUR

Minimum account date

26/02/2009

03/03/2009

12/03/2009

Maximum account

12019,52 EUR

11364,77 EUR

10654,75 EUR

Maximum account date

15/04/2009

13/04/2009

15/04/2009

Absolute drawdown

0,00 EUR

3,62 EUR

16,29 EUR

Maximum drawdown

51,95 EUR

13,52 EUR

44,85 EUR

Maximum drawdown %

0,46%

0,12%

0,43%

Maximum drawdown date

01/04/2009

09/04/2009

01/04/2009

Historical bars

50000

50000

50000

Tested bars

49829

49829

49829

Bars with trades

35578

25313

10265

Bars with trades %

71,40%

50,80%

20,60%

Number of trades

39

25

14

Winning trades

27

18

9

Losing trades

12

7

5

Win/loss ratio

2,25

2,57

1,80

Maximum profit

322,77 EUR

322,77 EUR

288,69 EUR

Average profit

79,00 EUR

78,16 EUR

80,67 EUR

Maximum loss

-44,85 EUR

-13,52 EUR

-44,85 EUR

Average loss

-10,87 EUR

-6,02 EUR

-17,66 EUR

Expected payoff

51,35 EUR

54,59 EUR

45,55 EUR

Average holding period returns

0,47%

0,52%

0,45%

Geometric holding period returns

0,47%

0,51%

0,44%

Sharpe Ratio

0,64

0,70

0,53


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