counting max achievable profit

Oct 01, 2014 at 06:34
616 Zobrazení
5 Replies
Členom od Sep 10, 2009   134 príspevkov
Oct 01, 2014 at 06:34
Hi guys, I´m building one EA based on MA crosses. This EA uses trailing stops. I want to find out values that would cause profit in majority of cases. I was wondering if we can calculate somehow 'max achievable profit' If I open a trade just after 2 MA crosses, what is the max profit I can reach. I would need these values, their average value, modus and median. It can be displayed in chart or in xls file.

Any ideas? thanks

Prílohy:

Členom od Apr 20, 2010   814 príspevkov
Oct 01, 2014 at 22:46 (upravené Oct 01, 2014 at 22:46)
Nope have formula, you just need create your own formula.

My formula at this moment :
Open 3 Trade upon Cross 2MA.
Get the Highest ATR (7period) of last 21 Bars.
If AccProfit >10, trigger the following Trailing Stop :
1 Order) Trailing Stop1 = ATR x1.0 + TrailingStep : 0
2 Order) Trailing Stop1 = ATR x1.7 + TrailingStep : 10 pips
3 Order) Trailing Stop1 = ATR x2.3 + TrailingStep : ATR
Auto Refill back TrailingStop if the TrailingStep counter is Over.

Information is Gold when come to organised.
Členom od Sep 10, 2009   134 príspevkov
Oct 02, 2014 at 06:13 (upravené Oct 02, 2014 at 06:18)
Okay, see my picture. I added ATR (7) to the chart. Its high of last 21 bars = 0.0021

When 2 MA crosses, I open 3 trades:

1st trade) trailing stop1 = 0.0021 x 1.0 + 0 = 0.0021
2nd trade) trailing stop2 = 0.0021x1.7 + 10 = 10,00357
3rd trade) trailing stop3= 0.0021x2.3 + 0.0021 = = 0.00693

?

or you mean

1st trade 21+0 = 21 pips
2nd trade 35,7 + 10= 45,7 pips
3rd trade 48,3 + 21 = 69,3 pips

?

Prílohy:

Členom od Apr 20, 2010   814 príspevkov
Oct 03, 2014 at 01:06
TrailingStep actually mean StepDown.

1st trade 21+0 = 21 pips ( TS =21) (TStep =0)
2nd trade ( TS =36) (TStep =10)

Example StepDown 10pips:
Current Bar TS=36, next Bar : TS=26, next Bar : TS=6, next Bar : TS =-4.
if (TS<0 && AccProfit()>0) { TS= Original TS 36 pips again.}
Then TrailingStep repeat again.
You can adjust also evey 1 Bars/ n Bars to do the StepDown process.

Information is Gold when come to organised.
Členom od Sep 10, 2009   134 príspevkov
Oct 04, 2014 at 17:37
Okay. I did it this way:
Open 3 trades based on MA cross
1st: start trailing after 1xATR
2nd: start trailing after 2.5 ATR
3rd: when 2nd trade is closed, run trailing of 0.5ATR

and this is the result

Prílohy:

Členom od Apr 20, 2010   814 príspevkov
Oct 06, 2014 at 09:07
Nice, to test what is the Risk Reward upon this Trend Strategy.
You need back test year by year. As trend strategy may fail if the whole year is in range and consolidation moment.
Start 2000 till 2014.

So far what time frame u use and how many year tested?
Information is Gold when come to organised.