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Hi
My name is Susanto and I would like to thank Dukascopy to give us this opportunity.
Background
About 7 years ago my friend introduced me to Foreign Exchange Market (Forex) and after studying for a while I became interested.
Since I have background in computer programming, I give my attention to writing code to experimenting and backtesting various strategy.
Not long after that I joined Dukascopy Strategy Contest, first writing JForex strategy in Java then in Visual JForex.
Although I have coded several strategy, for live trading I still mainly use manual trading. The pair I traded most is EUR/USD and GPB/USD, sometimes I also traded Yen crosses.
For entering trade I use price action strategy, I rarely use indicator in my chart.
Contest Strategy
This strategy is one that give a pretty good result on backtesting, so I choose it to be included in the contest.
My strategy is based on Cumulative Channel Index as an indicator to determine trend
Figure 1. EUR/JPY 30 Minute Uptrend Chart
Figure 2. EUR/JPY 30 Minute Downtrend Chart
Figure 1 and Figure 2 above are example of EUR/JPY chart with CCI indicator, Figure 1 as an uptrend as CCI go above 85 and Figure 2 as downtrend as CCI go below -85.
The CCI period is 30 minute and time period is default value 14. Level 85 and -85 were choosen from backtesting.
There is 2 condition for my strategy to enter long, first the cci crosses level line 85 from above and second the current price is lower then previous 30 minute candle LOW.
To enter short cci must crosses level -85 from below, and current price is higher the previous candle HIGH.
The price checking is to wait for a retrace so hopefully we would get a better price.
Figure 3. Visual JForex CCI Logic diagram
Figure 4. Visual JForex Previous Candle And Current Price Logic
Figure 3 and Figure 4 is how I implement my strategy in Visual JForex. In Figure 3 we can see that we can test whether cci has cross level 85 (or -85) by using 2 variable cci1 and cci2. Variable cci1 is the last cci and cci2 is time shifted 2, so cci2 is older then cci1. By comparing cci1 and cci2, we can check for cci crosses level line 85/-85.
After isGoLong or isGoShort is determined we now check for price to enter trade.
From Figure 4 the last tick price is compare against previuos candle low for long order and against previous candle high for short order.
My strategy use geometrical money management, the formula is:
Trade amount = 40 * equity
I also included martingle logic in my strategy but unused as I thought geometrical money management is more fitted for my strategy.
Stop loss and take profit were obtain from strategy optimizer. For stop loss I used 85, and for take profit I used 21.
As you can see my strategy is very simple.
My name is Susanto and I would like to thank Dukascopy to give us this opportunity.
Background
About 7 years ago my friend introduced me to Foreign Exchange Market (Forex) and after studying for a while I became interested.
Since I have background in computer programming, I give my attention to writing code to experimenting and backtesting various strategy.
Not long after that I joined Dukascopy Strategy Contest, first writing JForex strategy in Java then in Visual JForex.
Although I have coded several strategy, for live trading I still mainly use manual trading. The pair I traded most is EUR/USD and GPB/USD, sometimes I also traded Yen crosses.
For entering trade I use price action strategy, I rarely use indicator in my chart.
Contest Strategy
This strategy is one that give a pretty good result on backtesting, so I choose it to be included in the contest.
My strategy is based on Cumulative Channel Index as an indicator to determine trend
Figure 1. EUR/JPY 30 Minute Uptrend Chart
Figure 2. EUR/JPY 30 Minute Downtrend Chart
Figure 1 and Figure 2 above are example of EUR/JPY chart with CCI indicator, Figure 1 as an uptrend as CCI go above 85 and Figure 2 as downtrend as CCI go below -85.
The CCI period is 30 minute and time period is default value 14. Level 85 and -85 were choosen from backtesting.
There is 2 condition for my strategy to enter long, first the cci crosses level line 85 from above and second the current price is lower then previous 30 minute candle LOW.
To enter short cci must crosses level -85 from below, and current price is higher the previous candle HIGH.
The price checking is to wait for a retrace so hopefully we would get a better price.
Figure 3. Visual JForex CCI Logic diagram
Figure 4. Visual JForex Previous Candle And Current Price Logic
Figure 3 and Figure 4 is how I implement my strategy in Visual JForex. In Figure 3 we can see that we can test whether cci has cross level 85 (or -85) by using 2 variable cci1 and cci2. Variable cci1 is the last cci and cci2 is time shifted 2, so cci2 is older then cci1. By comparing cci1 and cci2, we can check for cci crosses level line 85/-85.
After isGoLong or isGoShort is determined we now check for price to enter trade.
From Figure 4 the last tick price is compare against previuos candle low for long order and against previous candle high for short order.
My strategy use geometrical money management, the formula is:
Trade amount = 40 * equity
I also included martingle logic in my strategy but unused as I thought geometrical money management is more fitted for my strategy.
Stop loss and take profit were obtain from strategy optimizer. For stop loss I used 85, and for take profit I used 21.
As you can see my strategy is very simple.