Classic Channel Breakout
Posted: 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.
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.