Hey folks,

Here you have two lousy algorithms, the idea is to test he strategies shared by QTJ in this blog entry.

First strategy implementation details:

  • I used the EURGBP, AUDUSD and EURUSD pairs.
  • I used a leverage of 10 and for each operation I went short by a fixed proportion (the exposure) divided by the number of trading pairs (three in this example).
  • The backtest starts in January 1st 2010 and finished September 1st 2017.
  • The starting capital is $25.000.
  • I used OANDA as broker to have a very accurate measure if the transaction cost; as you know OANDA only charges spread so with the price you have all the costs included. There is not a slippage model, but it can be easily added if the results worth it.

I also implemented one of the ideas in the comments (attached below). Is a little more advanced and I made use of an auxiliary class to check the state of two moving averages.

I know, you all want some money maker ideas, but the quant path is full of testing bad strategies. I think the best you can take from this post is how to implement an strategy from one of the many resources out there.

Hope you enjoy it.

Author

JayJayD

September 2017