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The7 strategy
#408401
09/30/12 16:04
09/30/12 16:04
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Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl
OP
Chief Engineer
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OP
Chief Engineer
Joined: Jul 2000
Posts: 27,978
Frankfurt
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I just found this simple strategy on another forum, posted by someone with the name "The7". With some small modifications it was quite successful in a WFO test and gets > 7000 pips annual profit:
function run()
{
set(TESTNOW|PLOTNOW|PARAMETERS);
NumWFOCycles = 8;
BarPeriod = 1440;
while(asset(loop("EUR/USD","AUD/USD","USD/CAD")))
{
var Period = optimize(5,3,15);
var EMA5H = LowPass(series(priceHigh()),3*Period);
var EMA5L = LowPass(series(priceLow()),3*Period);
Stop = (HH(2) - LL(2)) * optimize(1,0.5,5);
if(priceOpen() > EMA5H && priceClose() < EMA5H && priceLow() > EMA5L)
enterShort();
else if(priceOpen() < EMA5L && priceClose() > EMA5L && priceHigh() < EMA5H)
enterLong();
}
}
The performance is quite remarkable for such a simple system. Here's the equity curve on a microlot account: 
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Re: The7 strategy
[Re: jcl]
#408451
10/01/12 15:00
10/01/12 15:00
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liftoff
Unregistered
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liftoff
Unregistered
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I hope Zorro 1.01 will come with forex only versions of Z1 and Z2 so we can test them properly on micro-accounts
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Re: The7 strategy
[Re: ]
#408594
10/04/12 10:47
10/04/12 10:47
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Joined: Sep 2012
Posts: 99
TankWolf
Junior Member
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Junior Member
Joined: Sep 2012
Posts: 99
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function run()
{
set(TESTNOW|PLOTNOW|PARAMETERS);
NumWFOCycles = 8;
BarPeriod = 1440;
while(asset(loop("EUR/USD","AUD/USD","USD/CHF")))
{
var Period = optimize(5,3,15);
var EMA5H = LowPass(series(priceHigh()),3*Period);
var EMA5L = LowPass(series(priceLow()),3*Period);
Stop = (HH(2) - LL(2)) * optimize(1,0.5,5);
if(priceOpen() > EMA5H && priceClose() < EMA5H && priceLow() > EMA5L)
enterShort();
else if(priceOpen() < EMA5L && priceClose() > EMA5L && priceHigh() < EMA5H)
enterLong();
}
}
Annual return 471%
Profit factor 2.69 (PRR 2.08)
Sharpe ratio 1.53
Kelly criterion 0.51
OptimalF .082
Ulcer index 7%
Prediction error 44%
Change USD/CAD to USD/CHF and the results get even better. jcl I was wondering if we could do another example of setting up the optimal margin and lots on this because I seem to be having alot of trouble getting it to work because in this example we are only using one strategy instead of multiple as like in Workshop 6_2. One last thing is it possible to set the lots so they increase depending on account size. Say for an random example you want to risk 3% of your current balance on every new trade which sets 30 pip stops. Starting with say 1,000 capital I would normally work out ((Capital/100*Risk%)/Stop) = $ per contract ((1000/100*3)/30 = $1.00 per contract = 0.1 lot. OR
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