From the analysis made in the previous article I moved on to the application. Since this future is of a breakout nature I have decided to create a strategy on this nature.
As the timeframe I chose the 1 minute timeframe and as the engine of the strategy I used a break of the current session high for long entry and a break of the current session low for short entry.
p.s. you can also test this strategy on other underlyings with breakout types like this one 😉
These are the results of this simple stop and reverse strategy. Of course it is not a finished system because it is always on the market but it gives us an excellent starting point to start writing code.
So I decide to add a stop loss of $ 2000 and an exit after 700 bars, or 700 minutes using a timeframe at 1m
I decide to add a second timeframe to the strategy but with a different setting, 1440 minutes which would be daily bars. With this second timeframe I decide to apply filters to make the strategy more profitable.
Filter 1 — Bars that do NOT exceed both the highs and lows of the previous bar on data2 at 1440m
NetProfit: 75.000
N. Trade. 314
Average Trade: 239
Max DD: 12.600
Filter 2 — Close less than a moving average on data2 at 1440m
NetProfit: 92.000
N. Trade. 525
Average Trade: 176
Max DD: 15.000
I decide to use Filter 1 first, since the trades are already very low I can no longer use other massacres except concentrate on the exits!
So I decide to add a simple monetary Take Profit and optimize it and there it is! A take profit of $ 4250 turned out to be very good for the strategy and very stable at the same time!
Here are the results of the first complete strategy, I decided to call it Dumm
After the first strategy with the 1 filter I start the second with the 2 filter;
First I decide to optimize the length of the moving average of the filter in steps of 10 on the second timeframe. Here are the results of the optimization.
The length at 120 periods turns out to be the best and with the parameters around stable so I decide to use it.
Finally, I decide to add to this the monetary take profit and in addition a monetary breakeven. I add the code and optimize both parameters from 0 $ to 7000 $.
Using my tool I notice a very stable and profitable area with breakeven and takeprofit around $ 6000 and then I decide to add them to the strategy!
And finally, this strategy is also complete. We started with a common engine to develop two strategies that work in different ways! Here the results of the second strategy:
