Share New Research 
Hi,
I'd like to share my another live Forex trend following 15 min scalping trading strategy with 80% Win Rate. As far as this year is concerned it performs quite well (see attached backtest).
This algorithm has also additional features i.e. plotting, CSV-logging. In further posts I'll explain more.
Feel free to use, experiment with and share your critics and suggestions.
Here are siginifcant "Algoritm Paramaters" you can experiment with:
- scalp_period = 15 - min. period for scalping rolling windows (trade setup with triple ema)
- anchor_period = 60 - min. period for anchor rolling windows (trend check with dual ema)
- selected_galaxy = AgileFiveEqual
- forex_leverage = 10
- trailing_exit_stop_loss_bars = 3 (scalp bars amount to close 2nd part of the trade)
- start_date = 2020-1-1
- end_date =
- trailing = X
- exit_1_rate = 90 (percent for partial close of 1st part of the trade)
- anchor_lookback_trade_enabled = 1 (respect anchor bar direction in trade setup)
- direction_lookback = X (respect scalp bar direction in trade setup)
- indicator_lookback = X (respect indicators direction in trade setup)
- exit1_garant = 80 (percent of guaranteed take-profit of the 1st part of the trade)
- orange_risk = 80 (percent of the risk area, i.e. 10% low risk/profit chance, 100% high risk/profit chance)
Good luck & a lot of fun!
Mykola
Mykola Dobrochynskyy
Here is an logging-example from today winning GBPUSD short trade:
Trade-Time Currency Pair Trade-Type Trend-Direction Model Confidence Current-Level Entry-Level StopLoss-Level Trade-Risk Break-Even Trade-Exit Trade-TakeProfit
21.04.2021 12:24 GBPUSD SHORT DOWN TRIGGER_SHORT 73,49% $1,39216 $1,39159 $1,39265 $0,00000 $0,00106 $1,39053 $1,38946
21.04.2021 12:39 GBPUSD SHORT DOWN WAIT_FOR_ENTRY_SHORT 73,49% $1,39176 $1,39159 $1,39265 $0,00000 $0,00106 $1,39053 $1,38946
21.04.2021 12:54 GBPUSD SHORT UP ENTRY_SHORT 73,49% $1,39117 $1,39159 $1,39265 $0,00000 $0,00106 $1,39053 $1,38946
21.04.2021 12:54 GBPUSD SHORT UP OPEN_SHORT 73,49% $1,39117 $1,39159 $1,39265 $0,00000 $0,00106 $1,39053 $1,38946
21.04.2021 13:09 GBPUSD SHORT DOWN EXIT_1_SHORT 100,00% $1,39037 $1,39159 $1,39265 $0,00000 $0,00106 $1,39053 $1,38946
21.04.2021 13:24 GBPUSD SHORT DOWN TRADE_CONTINUE_SHORT_2 84,25% $1,38955 $1,39159 $1,39266 $1,39065 $0,00106 $1,39053 $0,00000
21.04.2021 13:39 GBPUSD SHORT DOWN TRADE_CONTINUE_SHORT_2 84,25% $1,38918 $1,39159 $1,39207 $1,39065 $0,00106 $1,39053 $0,00000
21.04.2021 13:54 GBPUSD SHORT DOWN TRADE_CONTINUE_SHORT_2 84,25% $1,38935 $1,39159 $1,39155 $1,39065 $0,00106 $1,39053 $0,00000
21.04.2021 14:09 GBPUSD SHORT UP EXIT_2_SHORT 100,00% $1,39125 $1,39159 $1,39106 $1,39065 $0,00106 $1,39053 $0,00000
21.04.2021 14:09 GBPUSD SHORT UP CLOSE_SHORT_100_PERCENT 100,00% $1,39125 $1,39159 $1,39106 $1,39065 $0,00106 $1,39053 $0,00000
21.04.2021 14:24 GBPUSD WAIT UP FINISH_TRADE_SHORT 100,00% $1,39207
Mykola Dobrochynskyy
Here is another example for EURUSD for this year - here we've got 89% win rate and 6.8 profit-loss ratio
Mykola Dobrochynskyy
the main point of concern is the profit-loss ratio though - while this startegy constantly manages to keep win-rate about 80% a low profit-loss ratio on the other side outweights sometimes the positive effect of high win-rate (see attached backtest for EURUSD since 2019-1-1)
Mykola Dobrochynskyy
Hi,
here is another optimisation example:
- forex_leverage = 20
- direction_lookback =
(simply leave "direction_loopback" param empty - this means "false", any other non-whitespace char would mean "true")then we'll get 92% win-rate; about 5,94 profit-loss ratio and 107% return starting since 2021-1-1 (see attached backtest for details)
Jared Broad
Running optimization with a lot of parameters and picking the best is a form of look ahead bias - where you're picking the best average parameter based on future trading results. If there are more than 4-5 parameters in a strategy it is dangerous to use optimization on recent data. You should make sure to always include a hold out period.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Mykola Dobrochynskyy
Hi Jared,
I totally agree with you - I'm actually using 5 params (s. example/test below). Another params are remaining the same as constants.
Here is an example of a "conservative" lower risk setup :
- forex_leverage = 3
- selected_galaxy = AgileFiveEqual ("EURUSD": .5 ,"GBPUSD": .2 ,"AUDUSD": .1 ,"HKDJPY": .1 ,"USDJPY": .1)
- exit_1_rate = 90 (percent for partial close of 1st part of the trade)
- exit1_garant = 80 (percent of guaranteed take-profit of the 1st part of the trade)
- orange_risk = 80 (percent of the risk area, i.e. 10% low risk/profit chance, 100% high risk/profit chance)
BestMykolaMykola Dobrochynskyy
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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