Classic Channel Breakout

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heyen
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Classic Channel Breakout

Postby heyen » Tue Jun 20, 2006 12:39 am

Its a simple n-period new high/low system. Trigger is making a
new High/Low and hold until significant reversals are evident.

AmiBroker Script:



// #########################
// Author Thomas Heyen
// ER2 - 1min Chart Setup
// #########################


MArkethours = TimeNum()>=133000 AND TimeNum()<=154400;
MarketClose= TimeNum()>=154444 AND TimeNum()<=240000;
PositionSize = MarginDeposit = 1;


P = Optimize("Periods",240,120,365,10); // 240 is perfect
edge = Optimize("Edge",-70,-90,55,10); // -70 is best against my first guess

topband = HHV(C,P);
botband = LLV(C,P);

pos = (C-botband)/(topband-botband)*200-100;


Buy = MArkethours AND Cross(pos,95);
Sell = MArketclose OR Cross(edge,pos);

Short = MArkethours AND Cross(-95,pos);
Cover = MArketclose OR Cross(pos,-edge);

Plot(pos,"channel",IIf(barssince(buy)<barssince(sell),colorgreen,IIf(barssince(short)<barssince(cover),colorRed,colorGrey40)),styleArea);


// ##########################
// Script End
// ##########################


I did include double Spread slippage ($20 per trade for ER2)
and commission $2.50 for IB per trade. ($45 both ways)
I end up with about 20-30% annual profit for the last 30 months
measured at a 10K Budget with single contract trading.
Without Slippage or only single spread slippage this improves greately.
This all shows that proper MM and position scaling will also improve the performance.

Note that trading starts in the afternoon!
So it will perfectly combine with your morning trading.

The 240 min (4 h's) period aligns perfectly with the 13:30 trading start
to react to intraday new highs/lows.
Attachments
TrendWaveBreakOut_30Months_inclSlippage&Commission.jpg
TrendWaveBreakOut_30Months_inclSlippage&Commission.jpg (249.09 KiB) Viewed 376 times

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heyen
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Stats

Postby heyen » Tue Jun 20, 2006 8:36 am

I forgot to mention, no stops were used. I will look further into stops, as I believe this will improve performance.
Attachments
TWBO_stats.jpg
Winning &gt; 50%
Max Trade DD &gt;98% ??? :-O
Max System DD &gt;13% :-(
TWBO_stats.jpg (110.25 KiB) Viewed 364 times

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heyen
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Trading Times

Postby heyen » Thu Jun 22, 2006 12:00 am

if i exclude trade entries after 14:30 i can improve the historic performance.

First trade entry 13:00
last trade entry 14:30
close position 15:45

performance improvement 100%

i start to like that model really much.

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