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YenTrader System #461642
08/15/16 19:13 08/15/16 19:13

Joined: Aug 2016
Posts: 95
Wien

trenki2

OP
Junior Member

trenki2

OP
Junior Member

Joined: Aug 2016
Posts: 95
Wien

Hi! I have found a simple system which works on the USD/JPY pair.

Once daily go long or short depending on two moving averages and use a stop loss.

It gives positive returns in the long run but a very low win rate.

Code:

bool UseEquityFilter = false;

function TradeYenTrader() 
{
	vars Price = series(price());
	vars SMASlow = series(SMA(Price, optimize(100, 5, 200, 5)));
	vars SMAFast = series(SMA(Price, optimize(50, 5, 200, 5)));
	
	Stop = optimize(15, 5, 50) * PIP;
	Trail = optimize(1, 1, 20) * PIP;
	
	// Equity curve filter
	var LotsBackup = Lots;
	
	if (UseEquityFilter)
	{	
		vars EquityCurve = series(EquityLong+EquityShort);
	  	vars EquityLP = series(LowPass(EquityCurve,75));
	  	if(EquityLP[0] < LowPass(EquityLP,100) && falling(EquityLP))
	  		Lots = -1;
	  	else
	    	Lots = 1;
	}
	
	if (NumOpenShort + NumOpenLong == 0) 
	{
		if (SMAFast[0] > SMASlow[0]) 
		{
			Margin = 0.5 * OptimalFLong * Capital * sqrt(max(1, Balance/Capital));
			enterLong();
		}
		else
		{
			Margin = 0.5 * OptimalFShort * Capital * sqrt(max(1, Balance/Capital));
			enterShort();
		}
	}
	
	Lots = LotsBackup;
}

function run() 
{
	set(PARAMETERS+FACTORS);
	
	BarPeriod = 1440;
	LookBack = 200;
	StartDate = 20010101;
	EndDate = 20160601;
	MonteCarlo = 1000;
	Confidence = 100;
	Capital = 10000;
	NumWFOCycles = 10;
	
	asset("USD/JPY");
	TradeYenTrader();	
}

I tried to optimize it with an equity filter. The filter reduced the drawdown but unfortunately also the total return.

Is this system any good? How could it be improved. Would you trade it or is it not usable?

For some reason I also get completely different results when using

Code:

BarPeriod = 60;
TimeFrame = 24;
LookBack = 200;

I dont understand why that is. Using set(TICKS) gives different results again.

Last edited by trenki2; 08/16/16 06:25.

Re: YenTrader System [Re: trenki2] #462009 09/02/16 16:19 09/02/16 16:19
Joined: May 2016 Posts: 180 Prague pcz Member
pcz Member Joined: May 2016 Posts: 180 Prague	Originally Posted By: trenki2 Is this system any good? How could it be improved. Would you trade it or is it not usable? I think this is not possible to judge unless we know the whole development process. You could have introduced a bias during the strategy design but we can't possibly know from the code and results only. Originally Posted By: trenki2 For some reason I also get completely different results when using Code: BarPeriod = 60; TimeFrame = 24; LookBack = 200; I dont understand why that is. Using set(TICKS) gives different results again. I guess it's because the run function is called at the end of every bar. So when changing the BarPeriod the call frequency also changes. The TICKS flag further increases the testing precision as the price curve inside each bar is considered too (not just the OHLC values).

Re: YenTrader System [Re: pcz] #462018 09/03/16 14:59 09/03/16 14:59
Joined: Aug 2016 Posts: 95 Wien T trenki2 OP Junior Member
trenki2 OP Junior Member T Joined: Aug 2016 Posts: 95 Wien	Originally Posted By: pcz I think this is not possible to judge unless we know the whole development process. You could have introduced a bias during the strategy design but we can't possibly know from the code and results only. The development process was actually quite short. All I did was experiment with dual SMA crossover on some pairs with not much success and then tried to simply enter one trade per day with stoploss and trailing in the direction that depended on the relation between the two SMAs. And of course I optimized the parameters. This resulted in the code above. It turned out that this worked in the past for USD/JPY but not really for the others. Anyway, the equity curve does look quite ugly. The ulcer index is unbearably high and the win rate way too low. I think this is psychologially untradable.

Re: YenTrader System [Re: trenki2] #462020 09/03/16 17:48 09/03/16 17:48
Joined: May 2016 Posts: 180 Prague pcz Member
pcz Member Joined: May 2016 Posts: 180 Prague	Originally Posted By: trenki2 Anyway, the equity curve does look quite ugly. The ulcer index is unbearably high and the win rate way too low. I think this is psychologially untradable. Tried to run it with my asset params and I agree with you - wouldn't run it based solely on the results.

Moderated by Petra