BASIC IDEA
I started with the analysis of the Euro Futures. As you can see below I have extrapolated this data from a simple strategy that buys at the opening of the candle and sells at the close.
I used it on a 60-minute timeframe and with Exchange time to get the whole day of 24 hours. I exported the data extracted from the strategy to the tool that I frequently use “Minitab” which allows me to analyze a multitude of data and interpret them in different ways.
Here are the results:
As can be seen, there is a strong bearish bias that begins after 11pm (exchange time) and lasts until 7/8 in the morning. Conversely, there is a weak bullish bias during the day.
THE ENGINE
With this brief analysis I was able to create an engine for the strategy. To do this, I used 15 minutes and Exchange time as a base timeframe. I don’t usually use 15 minutes but for strategy Intraday bias is really very useful as I can also optimize entry for 15 minutes at a time and be more precise with the bias.
I wrote the engine code, a very crude strategy that is always on the market but which allows me to optimize entry / exit times and entry / exit minutes.
Here is the engine:
After writing the engine I optimized the entry times and the minutes, obtaining the following results:
Very good results for a simple stop end reverse. The problem remains that the strategy is always on the market, moreover it does too many operations and this thing does not drive me crazy.
First I tell the strategy to exit 1 or 2 bars before the other position enters:
And then I enter the stop loss:
FILTERING
The results are identical, and to better filter the operations I decide to add additional filters on the days of the week, avoiding the worst days for long and short positions.
Here are the performances:
The results are very good but the operations are still too many and this damages my Average Trade and consequently the system itself. So I decide to apply my market patterns with very good results that allow me to create two completely different strategies.
I decided to call them Ruth and Ruth2 (the name comes from my favorite character from the Ozark series). Now I’ll show you:
RUTH
For this system I have decided to use my intraday patterns. In particular, the most performing was the pattern N. 35 as you can see, it decreased the netprofit of the strategy but significantly increased the Average Trade from 37 to 70.99 and decreasing the total number of entries of course. Not bad profit factor of 1.38 and Drowdown of $ 8,400.00
Finally I decide to test all my types of outputs available. I had the best performance with exit number 1 which in this case is a monetary exit if the system is losing X or gaining Y. These are the results:
And finally here is the equity of the complete strategy:
RUTH2
For this other system I used my own patterns which are based on larger candles and timeframes. For this reason, in addition to the reference timeframe (15m), I added another timeframe at 60 minutes on which to make the patterns act, obtaining clearer and cleaner signals.
In this case the pattern №126 proved to be the most effective for me, as you can see it decreased the net profit a lot but this made it possible to do much less operations with less drowdown and a higher Average Trade.
Finally add the other outputs. In this case I used the stop loss and added the take profit, here are the results:
And this is the equity of the complete strategy:
Finished strategies ready to be added to my strategy portfolio! I remind you that you can buy them on my shop in the link below or enter my Telegram channel for further clarifications!