I start this article by first reporting the performance of the complete strategy and then building it gradually.
The strategy is of the breakout type based on a continuous 12-year history on the Japanese Yen Futures.
The only reference timeframe is the 60-minute one on which the whole strategy will be based.
Of course these foreign exchange strategies like the ones I wrote earlier can also be adapted on Forex.
Here are the results of the strategy I called “Nightmare”
First I started with an idea, the idea was a breakout of today’s session which I coded like this:
The results obtained were not bad at all but since it is a simple stop and reverse strategy, I added two simple conditions combined into a single one:
1. we can enter the market only if I have no open positions
2. we can enter the market only if today I have made exchanges
To make the strategy work I added a monetary stop loss and exits after a certain number of bars and optimizing one at a time long side and short side
The strategy was almost complete but it still appeared to be making many trades that compromised the Average Trade and the Drowdown.
So I decided to apply my filters for each side of the strategy
LONG SIDE
In the end for the long entry I decided to use filter n.106 denied which in practice is the exact opposite of n.105 in the first photo. Denied 106 brought me more benefits than allowed and therefore I decided to use denied.
Small spoiller: it is based on a moving average …
SHORT SIDE
For the short side I decided to use the filter number 113 as this particular futures has an almost bearish trend so I decided to make more entries in short than in long.
Filter number 113 is based on volatile conditions.
Finished strategy! To find out more visit my market or do not hesitate to contact me!