Im in the middle of developing a system for major crosses excluding EUR and USD, which includes AUDCAD, GBPAUD, GBPJPY, SEKNOK, etc. Looking to focus on an intraday chart to a maximum of a week.
This is what I have so far:
4 hr, week long chart
REX Oscillator reversal strategy whenever cross occurs
Ive been backtesting and profit over the last week comes in 17/28 pairs that I analysed. My question is what technical can supplement the strategy by weeding out the pairs that dont work well with oscillators?
It is worth you looking at the returns for the portfolio and not just individual pairs. What you can find is that a pair that makes zero pnl if its sufficiently negatively correlated to your money making pairs can significantly improve your drawdowns. The bonus with this is you can up the leverage.
Yeah I backtested the gamut over a few years. I end up significantly in the profit, but there are signifnicant dips into the negative which, in the real world, would discourage me from continuing with the strategy.
I tried to utilise ADX but the problem is that with a reversal strategy a buy order may have the appropriate ADX but when the corresponding sell order comes, ADX is again range trading and the criteria wont be fulfilled. This makes it difficult to gauge the success of the strategy.
Are there any other trending/range indicators apart from ADX?
The thing you have to be careful of when trading a lot of pairs is that you have a compounding risk problem. If you’re trading GBPJPY, EURJPY, CADJPY, AUDJPY at the same time, you will find they don’t really diversify you as all you will be doing it putting yen trades on.
Very true. I’d need to choose the pair with the strongest signal; also throw in an oscillator to further reduce possible trades. Ill try today to incorporate all of these elements into a backtesting scenario.
What charts do you usually trade? I much prefer 6 mth but I want to try working with a shorter one ie weekly. Very tough to get long term profitable results with these short term charts.
