Posted By: pcz
Intraday seasonality in FX market - 06/12/16 10:28
Very simple strategy based on this research paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2613592
I backtested it on EUR/USD M1 Dukascopy data, years 2004-2016. The results are interesting but there are some long drawdowns. Hopefuly you'll be able to improve the strategy in a way that is more suitable for deployment. Also note that I use my account params which is 0.5 spread and no commission. Works for GBP/USD too but the results are obviously very correlated and the return is lower.
I backtested it on EUR/USD M1 Dukascopy data, years 2004-2016. The results are interesting but there are some long drawdowns. Hopefuly you'll be able to improve the strategy in a way that is more suitable for deployment. Also note that I use my account params which is 0.5 spread and no commission. Works for GBP/USD too but the results are obviously very correlated and the return is lower.
Code:
var session1TZ = WET;
var session1Start = 8;
var session1End = 16;
var session2TZ = ET;
var session2Start = 11; // = 16 WET
var session2End = 17;
function tradeIS()
{
if(dow() >= 1 && dow() <= 5) {
if(NumOpenShort == 0 && lhour(session1TZ) == session1Start)
enterShort();
if(NumOpenShort > 0 && lhour(session1TZ) >= session1End)
exitShort();
if(NumOpenLong == 0 && lhour(session2TZ) == session2Start)
enterLong();
if(NumOpenLong > 0 && lhour(session2TZ) >= session2End)
exitLong();
}
}
function run()
{
StartDate = 2004;
UnstablePeriod = 0;
LookBack = 0;
BarPeriod = 1;
while(asset(loop("EUR/USD")))
tradeIS();
set(LOGFILE);
}
Code:
Test IS2 EUR/USD Simulated account AssetsFix Bar period 1 min (avg 1 min) Test period 02.01.2004-17.05.2016 (4504144 bars) Lookback period 0 bars (0 minutes) Monte Carlo cycles 200 Assumed slippage 10.0 sec Spread 0.5 pips (roll -0.42/0.06) Contracts per lot 10000.0 Gross win/loss 125261$ / -111857$ (+13404p) Average profit 1083$/year, 90$/month, 4.17$/day Max drawdown -1930$ 14% (MAE -1947$ 15%) Total down time 94% (TAE 57%) Max down time 117 weeks from Jul 2012 Max open margin 224$ Max open risk 160$ Trade volume 83921171$ (6781903$/year) Transaction costs -3211$ spr, -558$ slp, -266$ rol Capital required 1174$ Number of trades 6423 (520/year, 10/week, 3/day) Percent winning 51.6% Max win/loss 347$ / -338$ Avg trade profit 2.09$ 2.1p (+37.8p / -36.0p) Avg trade slippage -0.09$ -0.1p (+0.6p / -0.8p) Avg trade bars 414 (+415 / -414) Max trade bars 479 (7 hours) Time in market 59% Max open trades 1 Max loss streak 11 (uncorrelated 13) Annual return 92% Profit factor 1.12 (PRR 1.08) Sharpe ratio 0.88 Kelly criterion 0.84 R2 coefficient 0.946 Ulcer index 5.0% Prediction error 59% Confidence level AR DDMax Capital 10% 103% 1684$ 1053$ 20% 94% 1894$ 1156$ 30% 90% 1990$ 1203$ 40% 86% 2089$ 1252$ 50% 81% 2272$ 1343$ 60% 76% 2457$ 1433$ 70% 71% 2634$ 1520$ 80% 66% 2882$ 1642$ 90% 58% 3352$ 1874$ 95% 50% 3950$ 2168$ 100% 32% 6360$ 3355$ Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD .165 1.12 3315/3108 100.0 EUR/USD:L .225 1.13 1642/1569 39.1 EUR/USD:S .141 1.11 1673/1539 60.9
