[quote="_bob, post:408, topic:71676"]
G'day DC lovers.
Back to get the ball rolling. Over the past week I have rebuild a bot and back tested data for 5 years and the results are in.
First the rules.
These are very simple mechanic rules and should be easy enough to follow
Markets Test pairs are EURUSD,EURJPY,GBPUSD,USDJPY,GOLD.
Timeframe 1 hour chart.
Variables Channel high, channel low, ATR and delta "n". Delta "n" as introduced by the turtles is the measure of current volatilty and is expressed as a multiple of the ATR indicator. For the turltles on the daily chart that was 2x. Variables are recalculated at the start of each hour.
Money Management For purposes of testing I have used a fixed perecentage(2%) of a notional account balance of $100 000. Why is this important. It eliminates the effects of compounding that can rapidly distort test results. Each trade will risk only $2000 each time making it easy to compare results.
Entry Rules Very simple. If the Ask price breaks high than the channel high enter market long. If the Bid price breaks the channel low enter market short. Conditions Only one trade is to be active at any time in a specific market. If a current trade closes during the current bar then a new trade can only be entered into after the start of a new bar. If no order exist the next entry signal must be taken.
Stop Loss Stop loss on a long order is entry price minus (ATR x Delta "n"). Stop loss on a short order is entry price add (ATR x Delta "n").
Trade Management I tested a few trade management systems and came back to one of two choices. To trail the stop immediately or set a break even then trail. As we are aware different instruments beat to a different drum and no singular rule can constantly be applied across the board. Testing demonstrated on of these two options was the best fit. To trail Immediately. On the start of each new hour recalculate stop loss according to the stop loss rules. If stop loss is greater than the current order stop loss on a long order or less than on a short order modify the current order to the new stop level. To set break even then trail. Here we introduce one more rule. The first adjustment of the stop can only occur once that level is equal to or greater than the entry price on a long order, equal to or less than on a short. Then trail as normal. This choice will be expressed as a true/false Boolean of trail immediately
I have back tested and optimized for four variables. DC period. ATR period, Delta "n" and trail immediately. Optimization was preformed with the goal of a return 20% a year with draw down kept at a minimal. Our goal after all is account preservation. Here are the final values