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.