A few months ago, Jeff from System Trader Success wrote a post where he backtested a version of a Euro Scalping Strategy that Shaun had stumbled across while working on another project. Both Jeff and Shaun believed the scalping strategy had merit, but they also agreed that the strategy would need to be improved in order to be able to overcome the significant transaction costs associated with a scalping strategy that trades five minute bars.
The basic idea behind the strategy was to use a 1% moving average envelope based on the 200-day simple moving average (SMA) as a mean reversion signal. Any time the price broke the price envelope in either direction, the strategy would take a position in the opposite direction and hold until the price broke back into the envelope. Jeff showed that the strategy worked better on the long side, so he excluded the short trades.
で、 follow-up post this week, Jeff tested three possible adjustments to the strategy and discussed how they would impact the overall results. What he found was that there was room for slight improvement in adjusting the price envelope and the look-back period of the moving average. This was interesting, but still didn’t make the strategy tradeable.
The big improvement came when he limited the time of day that the strategy traded. This simple adjustment took a strategy that was interesting, but not truly profitable, and made it into a strategy with an equity curve that resembles a straight line at a 45 degree angle.
While the timing change was the biggest impact, each of the three adjustments Jeff tested were interesting.
、 1% Price Envelope
The first adjustment that Jeff tested was changing the 1% price envelope. His data showed that using a price envelope of 1.1% または 1.15% would provide much better returns. He also showed that there was a severe drop in performance in changing the price envelope to 0.95%.
There was also an increase in profit per trade as the price envelope increased. しかし, that increase was countered by a similar decrease in the number of trade opportunities as the price envelope was increased.
The 200-Day Lookback Period
The next adjustment that Jeff tested was using the 200-day SMA to calculate the price envelopes.
For this adjustment, the data showed that decreasing the lookback period resulted in worse performance. Increasing the lookback period seemed to improve performance, と 290 days seemed to be the optimal lookback period.
As the lookback period increased, Jeff’s data showed that the profit per trade decreased. Because this scalping strategy did not have a large profit per trade to begin with, Jeff decided to stick with the 200-day lookback period.
Limiting Trading Times
The last adjustment Jeff tested was limiting the trading of the strategy to either high or low volatility periods during the day. Becuase the Euro trades heavily during the European and US market opens, Jeff identified 0200 を通じて 1100 as the high volatility period and 1100 を通じて 2300 as the low volatility period.
His backtesting results showed that trading the scalping strategy during the high volatility period resulted in an equity curve that spent most of its time underwater. しかし, trading exclusively during the low volatility period resulted in a beautiful equity curve.
The strategy’s performance numbers showed that trading during the low volatility period produced almost double the profit factor of trading during the high volatility period.
For his next step in improving this strategy, Jeff plans to perform a thorough walk-forward optimization to see how the strategy will perform on out-of -sample data.
Kevin 言う
Has the trade time 2300-0200 been tested?
Also the 1100-2300 trade time is in what zone? CST?
ショーンオバートン 言う
Hi Kevin,
The tests only covered what’s mentioned in the article. The time zone mentioned is ET, which you’re behind by one hour.
Bill 言う
nice shot of Big Ben guys, but we don’t use Euros in the UK
ショーンオバートン 言う
母 – I’m sure that will do everything to confirm your worst American stereotypes. I took down Big Ben.
billt 言う
ショーン, is this strategy available to us as a technique or indicator?
ショーンオバートン 言う
Hey Bill,
The original strategy is given away on the free EA email list. The updates listed in this post are not included in the free code.
Michael 言う
We actually backtested this and optimised it across quite a few pairs and timeframes late last year. We then ran it through my broker using a live feed with raw spreads on a $500k credit account (ie real money). The downfall of the system is the black swan event, in that it has no close outs and no equity stops. While we made huge amounts on rebates, and quite good profits (4-8% per month if I recall) on the actual system, it all disappeared when Mr Bernanke stepped up to the microphone one day and announced no end to tapering.
I don’t have the actual figures, but I think we ended up with a net loss of >30% in about an hour or so, after which we shut the whole project down. But that is the problem with all auto systems, the black swan event.
アンドリュー ・ セルビー 言う
That’s really interesting, Michael. Great to hear real live applications and results.
Did you attempt to adjust the system in some manner to better protect against black swans before shutting it down?
Michael 言う
いいえ, we didn’t take it further. It would completely change the notion of an ‘envelope system’ if you added close outs or equity stops.
Jackie 言う
こんにちはショーン,
Could the code for the adjustments to the original strategy be provided at least for those of us who paid and signed up for Trading Strategies course? That would be great, and seems fair.
おかげで.
ショーンオバートン 言う
Sounds fair to me, あまりにも. I’ll post it in the simpletradestrategies.com course within the next 7 日.
terminator 言う
How do you sign up to the course? It takes me to a video which takes me to a case study :S
ショーンオバートン 言う
You’re in the right spot. The course is only available to clients that have purchased the $7 case study.
terminator 言う
Ohk. Is there a syllabus or curriculum that I can have a look at before signing up? おかげで.
ショーンオバートン 言う
Jackie – I added a new post called “Scalper EA Updates” that you can find within Simple Trade Strategies. The source code is available there for both MetaTrader and NinjaTrader.
ジョージ 言う
Could you send a screen shot because my envoples don’t even show on my screen at 200sma. on a 5min chart. Or am I using the wrong indicator?
ショーンオバートン 言う
ジョージ, you may need to zoom out the vertical scale. Within MT4, you can left click on the price scale on the right side of the chart. Move it the mouse up or down while still pressing the mouse button. You’ll notice that the vertical scale condenses and expands as you move the mouse. The MA envelope will eventually show up.
ジョー 言う
It would be nice to know optimal settings used for Stop, 利益を取る, Trail Start and Trail Amount. また, could this EA be applied to a Renko chart having at least 290 five minute boxes?
Please clarify is the time 11:00-23:00 EST or CST? Here you said ET and on the download page it says CST.
ショーンオバートン 言う
こんにちはジョー,
The Stop, TakeProfit, TrailStart and TrailAmount settings should be left at 0. Those are only there in case traders wish to use them. My expectation is that doing so would hurt performance, but it’s there for those who wish to trade in a way that makes them comfortable.
I clarified the time zone issue in the download area. The correct time is ET.
ショーンオバートン 言う
What I can tell you for certain is that the EA will work on the Renko chart. Whether or not it’s a good idea is another matter altogether. You’d need to run Renko backtests to learn more.
ジョー 言う
This EA doesn’t seem to be applicable to forex as the title “外国為替, 戦略 & インジケーター” suggests. ユーロドル, had no hits going back to 11-20-13. EURCAD, and EURCHF had similar results. EURJPY had two hits 1-29-14 と 12-27-13. All on 5M chart using 1.1 %. Must be strictly for use on EURO futures.