First system we are looking at is Hucks Trend Catcher. This one will be a bit easy as jcl365 has done most of the work.
Original Rules
Indicators
5 EMA – YELLOW
10 EMA – RED
RSI (10 - Apply to Median Price: HL/2) – One level at 50.
TIME FRAME
1 Hour Only
PAIRS
EURUSD
WHEN TO ENTER A TRADE
Enter LONG when the 5 period EMA crosses the 10 period EMA from underneath.
RSI must be approaching 50 from the BOTTOM and cross 50 to warrant entry.
Enter SHORT when the 5 period EMA crosses the 10 period EMA from the top.
RSI must be approaching 50 from the TOP and cross 50 to warrant entry.
STOP
A 50 pip trailing stop that kicks in after the the trade is triggered.
TAKE PROFIT
take profits at 200 pips
The C code for this system as posted by jcl is
function run()
{
var *Price = series(price());
var *EMA5 = series(EMA(Price,5));
var *EMA10 = series(EMA(Price,10));
var *RSI10 = series(RSI(Price,10));
Stop = 50*PIP; Profit = 200*PIP;
int crossed = 0;
if(crossOver(EMA5,EMA10)) crossed = 1;
else if(crossUnder(EMA5,EMA10)) crossed = -1;
if(crossed == 1 && crossOver(RSI10,50))
enterLong();
else if(crossed == -1 && crossUnder(RSI10,50))
enterShort();
}
Equity Curve
This is system shows us how one can be under the illusion that a system is profitable or not based on when one starts trading it.
Revisied
Jcl made some changes to the system and we ended up with an even more profitable system.
function run()
{
BarPeriod = 240;
StartDate = 2006;
NumYears = 7;
NumWFOCycles = 12;
Mode = PARAMETERS+TESTNOW;
var *Price = series(price());
var *LP5 = series(LowPass(Price,5));
var *LP10 = series(LowPass(Price,optimize(10,6,20)));
var *RSI10 = series(RSI(Price,10));
Stop = optimize(5,1,10)*ATR(30);
static int crossed = 0;
if(crossOver(LP5,LP10))
crossed = 3;
else if(crossUnder(LP5,LP10))
crossed = -3;
if(crossed > 0 && crossOver(RSI10,50))
{
enterLong();
crossed = 0;
}
else if(crossed < 0 && crossUnder(RSI10,50))
{
enterShort();
crossed = 0;
}
else crossed -= sign(crossed);
}
Equity Curve
This system is now highly trade-able with a with Profit Factor = 2.73 and Sharpe Ratio = 1.48.
So now I would like to take this, one step further. Add a lot more assets mainly (“EUR/USD”,“USD/JPY”,“GBP/USD”,“USD/CHF”,“AUD/USD”,“EUR/JPY”,“USD/CAD”,“NZD/USD”,“XAU/USD”,“XAG/USD”). I will also use the re-investment line to help increase the return.
If anyone has got an idea how we can improve this system chim in
