What’s the aim of optimization anyway?

While optimizing the results of my TREND_REV strategy on USDJPY, I was getting some very good results. However, when I backtest this configuration against the 2008-2009 period, the results are not that good. It’s a tough call, do I tell myself: “It’s ok, the market is always changing, so just run the current configuration and […]

Fundamentals…

A little bit of research into Fundamental Analysis today to see if I can get any ideas. We can use futures to try to gauge market sentiment. The Commodity Futures Trading Commission, or CFTC, publishes the Commitment of Traders report (COT) every Friday, around 2:30 pm EST. Looks like it is in simple http format, […]

ATR Indicator

Today I wanted to learn more about the ATR indicator and how I could possibly use it to improve my results. Apparently I can use a long range ATR (30+ days) to different between Trend Directions. When I tested this out, it pretty much showed me the same trend that a moving average would. Not […]

Revisiting some indicators

I have been looking for a way to improve my strategies and today I went back and did a bit more research into some indicators – this time DPO, RVI and RAVI. The following page was interesting for DPO. It talks about the price being above or below a shifted moving average and the values […]

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 […]

The Watch and Time Duration Stop

The Watch I created a new monitor strategy called The Watch that sends an email whenever there are any changes to the closed trades table. I find this much more useful than specifically monitoring trade by trade. Time Limit Often I read about strategies that try to exit before the close of the day, or […]

General Strategy Improvements

Automatic Amount Calculation While in Italy, I experienced a series of loss trades that, overall, were larger than expected. As the stop amount moves around for every trade, sometimes it can be large and sometimes smaller. This means using a fixed amount exposed me to greater risk occasionally, and unfortunately I lost. I have now […]

First Live Trend Strategy

Ok after a lot of testing I have finally decided on a set of parameters for the TREND_REV strategy I developed. This parameter set makes money during the GFC period and the recent years. It seems to offer a good balance of trade aggressiveness and trend length. Combined with the superlong trend confirmation, and the […]

More on Trends

It seems trying to make sure we only trade in the big trends equates to longer MAs which equates to late entries and exits. Late entries = missed profit opportunities and late exits = losses at the end of the trend… In the below screenshot we can see that the trend was well established but […]

Trends Continued

After doing some backtesting on my strategy, I’m getting some good numbers but there are many missed opportunities. It turns out, some kind of combination of Trend Strategy 1, and Trend Strategy 3 (Trend Pop) would be ideal. In the picture below, even though the TRENDDIRECTION indicator has established the trend, the CCI and SSD […]