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I am most concerned, after reviewing your performance data, that your trading programs take only 12 trades a year; maybe 1-2-3 a month at most; OJ was only 4 trades in 1 year.
These are not day bots or even weekly bots but once in a blue moon trades.
Thanks for the question, I appreciate it. Due to space concerns, I could not include the whole code on the slide. Here is the whole code, with highclose and lowclose defined.
********************************************************************************
//Entry Example: Big Funds entry
//
//By Kevin J. Davey - [email protected]
//
//Big Funds entry concept based on the GREAT book:
// "Following The Trend" by Andreas Clenow
//PLAIN ENGLISH RULES
//long trades can only be taken if the 50 period average is aboce the 100 period average
//vice versa for shorts
//if a long trade can be taken, go long if the close is the highest close of the past 50 bars
// vice versa for shorts
//once in a long trade, exit if the close falls below the highest close while in the trade minus 3 times the 15 period Average True Range
//vice versa for shorts
// if condition1 is true, only long entries are allowed
// if condition1 is false, only short entries are allowed
If average(close,50)>average(close,100) then condition1=True;
If average(close,50)<average(close,100) then condition1=False;
If condition1=true and close=highest(close,50) then buy next bar at market;
If condition1=false and close=lowest(close,50) then sellshort next bar at market;
If mp=1 and mp[1]<>1 then begin
//new long entry, set highest close
highclose=close;
lowclose=-9999999.;
end;
If mp=-1 and mp[1]<>-1 then begin
//new short entry, set highest close
lowclose=close;
highclose=999999.;
end;
//check fo new high and low if in a position
If marketposition=1 and close>highclose then highclose=close;
If marketposition=-1 and close<lowclose then lowclose=close;
If marketposition=1 and close<=highclose-3 * avgTrueRange(15) then sell next bar at market;
If marketposition=-1 and close>=lowclose+3 * avgTrueRange(15) then buytocover next bar at market;
Thanks for the comment. I'd prefer strategies that trade once per week, once per day or even once every hour. More trades generally give you more confidence statistically that there is an edge to the strategy.
I'd love to only trade strategies that have 1000s of historical trades to validate them.
But my experience is that less frequently traded strategies, IF THEY ARE DEVELOPED PROPERLY, can work in real time too.
you guys do a great job
