STRATEGY NAME: "Your_Lucky_EURGBP"
VERSION: 0.5 (20090101)
SUMMARY
Strategy attempts to range trade a known sideways trend of the EUR/GBP Spot during the Asian Session.
IN ACTION
Example trading from 2009/1/6 (Tues) - View image
STATEMENT
Forward Testing: (Updated every 10 mins):
http://www.skuberski.com/statements/Your_Lucky_EURGBP/statement.htm
FUNDAMENTALS
Assumes no changes in fundamentals of EUR or GBP during the asian session, after New Zealand open through to Tokyo close.
ENTRY
Risk Management
Trade Sizing: (Equity / Lot Size / Maximum # of Trades) * Risk (this calc needs revisiting)
Trade Spacing: Maximum opening of 2 trades total per minute.
Buy/Sell Position: Maximum of 3 trades per position
Total Position: Maximum of 5 open trades
Maximum Slippage Allowed: 3 pips
Technical Conditions (Must meet all)
Technical Condition #1: Trading Hours: UTC 22:00 to 6:00, Tues, Wed, Thu, Fri (revisit Mon)
Technical Condition #2: Fractal Envelope, Price must be within envelope.
Technical Condition #3: 11H MA, Buy when price is below 11H MA.
If first Buy/Sell trade,
Technical Condition #4: Fractal Envelope, Buy when price is more than 7 above the envelope average. Reverse for Sell.
If adding to a Buy/Sell position,
Technical Condition #5: No Adding to Losers, Price is 5pips greater than last buy price. Reverse for Sell.
EXIT
Take Profit: 7 pips
Stop Loss (during trading hours): 31 pips
Stop Loss (during non-trading hours): 22 pips
Equity Time Protection: (essentially reduced take profits)
Between 60 mins and 140 mins: Exit profitably with 3 pips
Between 140 mins and 170 mins: Exit profitably with 2 pips
Between 170 mins and 200 mins: Exit at break-even
Between 200 mins and 240 mins: Exit at loss of 1 pips
After 240 mins: Exit at loss of 4 pips
SUSPENSION (manual steps)
If strategy loses more than 20% of original equity, suspend live trading, and return to forward testing.
TODOs
- Monitor Slippage
- Monitor Spreads
HISTORY
- 2009/1/7, Spreads during Asian session changed from 2-3pips to 5 in September 2008. Although I thought that that might effect profitability, there is also an increase in volatility, and the strategy appears that it may still be profitable.
CREDIT
This strategy seems fairly popular among retail fx traders. I don't know who originally came up with the idea. The program that I am using, is a complete refactoring and improvement upon a program written by an indonesian trader, Abdul Rahman. The original program is called "My_Lucky_EURGBP".
Running UAT testing of v.20090120 on mt4uat2:
http://www.skuberski.com/statements/Your_Lucky_EURGBP_20090120_uattest/statement.htm
Optimizations:
Based on new spreads as of middle October 2008, I made the following optimizations.
Technical Condition #4: Fractal Envelope, Buy when price is more than 7 above the envelope average. Reverse for Sell.
7->27
This change alone brought the strategy into profit in backtesting. This condition essentially is essentially seeking outliers from the average of the high and low prices of a moving envelope. This looks to be a key ingredient in this strategy.
Take Profit: 7 pips -> 19 pips
Stop Loss (during trading hours): 31 pips -> 20 pips
Stop Loss (during non-trading hours): 22 pips -> 35 pips
Equity Time Protection: (essentially reduced take profits)
Between 60 mins and 140 mins: Exit profitably with 3 pips
Between 140 mins and 170 mins: Exit profitably with 2 pips -> 1 pip
Between 170 mins and 200 mins: Exit at break-even
Between 200 mins and 240 mins: Exit at loss of 1 pips -> loss of 2
After 240 mins: Exit at loss of 4 pips -> loss of 6
(due to the added volatility, I just spread out the damage reduction)
And as it looks like these strategies need to be optimized occasionally, I want to make it worth my effort, so I bumped up lot sizes.
"Risk" from 15 to 50. Again, what exactly this number is signifying, I'm not sure, but the bigger it is, the bigger the lots that are placed.