Eur System

[TWI]

Here is one. It is open to improvement. I found something called the 23/7 system on another forum but couldn't make it work. Have following which appears to produce results based around similar principles.


Rules:
Orders remain open from 9am to 2pm i.e. no positions after 2pm.
Take Open of 9am bar as base level("BL")
Buy if goes 25 ticks above BL
Sell if goes 25 ticks below BL
proftit target 110 ticks
stop 40 ticks
Place trailing stop when 40 ticks into money at 40 tick below max profit price.

I have not had enough time to do anything but write it in EL and throw in some values to see how it comes out. I would not trade this in its current state.
Since markets are dead, I thought maybe somebody could improve it and so throw around some fresh ideas.

I attach a short Equity Curve.

Here is TS code:

Inputs: STime(0900), CTime(1400),BreakU(0.0025),BreakD(0.0025),StopLong(0.004),StopShort(0.004), ProfTarg(0.011), RiskFloor(0.004), Trail(0.004);
Variables: BuyH(0), SellL(0),StopL(0), StopS(0), Tx(0);

{Breakout levels}
If currentbar > 1 and time = STime then begin
BuyH = Open + BreakU;
SellL = Open - BreakD ;
StopL = BuyH - StopLong;
StopS = SellL + StopShort;
Tx=0;
end;

{Buy or Sell Breakout}
if currentbar > 1 and marketposition = 0 and time >= STime and time <= CTime and Tx=0 then begin
Buy("Break Up") next bar at BuyH on stop;
Sell("Break Down") next bar at SellL on stop;
end;

{Variable Prevents multiple entries in 1 day}
if Marketposition <> 0 then Tx=1;

{Exits}
If Marketposition > 0 then begin
ExitLong ("StopL") next bar at StopL on stop;
ExitLong ("ProfitL") at BuyH + ProfTarg limit;
end;

If Marketposition < 0 then begin
ExitShort ("StopS") next bar at StopS on stop;
Exitshort ("ProfitS") at SellL - ProfTarg limit;
end;

{Sets trailing Stop}
If marketposition > 0 then begin
if c - BuyH > RiskFloor then begin
exitlong ("TSlong")at highest(high, barssinceentry) - Trail on stop;
end;
if SellL - c > RiskFloor then begin
exitshort("TSshort") at lowest(low, barssinceentry) + Trail on stop;
end;
end;

 

[jmreeve]

What time interval bars did you use? Hourly?

Is this spot FX or futures and what data did you use to test this?

 

[TWI]

Sorry about that. I use 15min bars on Eur future.

 

[TWI]

Can be improved a little by putting a $1000 profit target.


EL code
{Profit Target}
If MarketPosition = 1 Then Begin
OrderPrice1 = EntryPrice + (Target/bigpointvalue);
ExitLong ("Profit TL") Next Bar at OrderPrice1 Limit;
End;

If MarketPosition = -1 Then Begin
OrderPrice1 = EntryPrice - (Target / bigpointvalue);
Exitshort ("Profit TS") Next Bar at OrderPrice1 Limit;
End;