More aggressive Trend Strategy

The Trend_Rev strategy has been able to produce some good backtesting results, and now I am running it for AUDJPY for two different time frames, and currently optimizing on other currency pairs.

When looking at EURGBP.m5 across the 2008-2009 period, I noticed a rather long trend in December 2008 where the strategy did not trade at all. I’m guessing that since this trend was so strong, it never dropped enough to be a reversal and trigger the strategy. I need to look into this more closely as obviously this is a missed opportunity. Perhaps it is time to revisit the Trend Pop strategy discussed above.

The above was running TREND_REV on EURGBP

  • CCI: m5 60, 100, -100
  • SSD: m5 15, 5, 5, 70, 30
  • Trend: m15 30, No, 50, 0.9
  • Superlong: h1 Yes, 60, No, 10, 0.8

It’s almost as if the superlong trend has restricted trading opportunities to steeper trends, and the long slow trend doesn’t meet the qualification. So if I run another instance of this strategy with different superlong configuration, can I take advantage of these missed opportunities only so the sum of both trade sets gets me the optimal results? Do I need to enhance the strategy to support effectively a range of superlong trends somehow?

Posted in Backtesting, Research, Strategies, Trend and tagged , , , , .

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