Sept2019contest

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This is version 1 of a MACD divergence strategy for the pair NZD/USD compounded by a martingale for recouping of losses and a trade flip formula so as to switch execution sides. Extensive backtesting has shown that this strategy does not do well on a trailing stop in the last 3 trading days, probably due to month-end positioning in markets. Therefore, till 25th it trades solely on a trailing stop with no TP (I had to put in a number in the execution block, made it 999, which is impossible to be hit with a trail in place) and from 26th trades on a 6 pip TP, which did well in backtesting. Throughout the month the SL is 20. In my opinion, this is not hibernation of a strategy as at first there was trading with no TP. If there is a divergence between the MACD and price then the strategy will either buy or sell depending on whether MACD is rising or falling with regards to the opposite movement of the price, for example if MACD is rising and price starts falling then Buy. The trade amount of 6M and the martingale multiplier of 1,15 are not too risky and have proved well in backtesting (higher amounts can lead to bigger drawdowns). The strategy is not trading between the hours 20 – 1 GMT due to lower liquidity at this time. If a trade closes in red then the 1,15 martingale multiplier kicks in and a flip formula is executed so as to switch execution sides. I have not yet encountered such a flip formula in this contest. The MACD divergence generally informs that the market is unhealthy, however it does not give a definite signal that, for example, trend traders are looking for, meaning if MACD rises and price falls then Buy. So, as the signal can go both ways I have implemented the flip formula so as to mitigate losses when actually being on the wrong side of the divergence signal. Details of the strategy – IF : 5 min ADX 14 > 11 ; Day > 1 < 26 ; time > 1 < 20 ; 5 min Candle Close Shift 5 > Sh3 > Sh1 > Sh0 ; 15 min MACD 12 / 26 Close Shift 18 < Sh 12 < Sh6 < Sh0 ; MACD Shift 18 < Sh0 ; last Buy trade in profit then Buy & last Buy trade a loss then Sell with multiplier 1,15 ; SL 20 trailing stop 11 ; day = > 26 then same execution flip formula and martingale with SL 20 and TP 6. Initial trade amount 6M. Symmetrical action for a Sell stream.
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1 21.07.2019 Not running Sept2019contest  Download
Illya avatar
Illya 27 Sep.

Last trade remaining!)

fx211pips avatar
fx211pips 27 Sep.

and a weekend gap trade pending:)

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