Bollinger Bands / FMI trading system

M

mozillan

Member
#1
#1
I've backtested this system on Nifty Futures and the results are good.
Metastock System:
B:
WHEN:
CLOSE IS ABOVE THE UPPER BOLLINGER BAND [SD 1]
AND
FMI=1
AND LATER ON
STOCHASTIC (100,60) CROSSES ABOVE 80

SHORT:
WHEN:
CLOSE IS BELOW THE LOWER BOLLINGER BAND [SD 1]
AND
FMI=1
AND LATER ON
STOCHASTIC (100,60) CROSSES BELOW 20

Trade only when the last trade is a failure, just like the Turtles did.
http://img841.imageshack.us/i/niftyf1bbfmi.jpg/
Complete system here:
http://hotfile.com/dl/93500416/ddd3527/BBFMI.rar.html
This system is free.

Backtesting results:

NO. OF TRADES 8
WINNING TRADES 4
LOSING TRADES 4
LONG TRADES 5
SHORT TRADES 3
LONG TRADES PROFITABLE % 60
SHORT TRADES PROFITABLE % 33
MAX PROFIT % 10.8
MAX LOSS % -4.4
SYSTEM RETURNS % 11.9


ROLLOVERS ARE NOT INCLUDED IN SLIPPAGE

TRADES ARE EXECUTED AT MARKET EXACTLY 15 MINUTES AFTER MARKET OPENING [WITHOUT TAKING PRE-OPEN]

A CERTAIN AMOUNT OF CURVE-FITTING IS EMPLOYED, BUT EFFORTS HAVE BEEN MADE TO ENSURE THAT THE CURVE IS NOT TOO SMOOTH

DATA HAS BEEN LOADED FROM MAY, 2010. WHETHER OR NOT IT IS STATISTICALLY SIGNIFICANT IS NOT KNOWN TO ME

THE SYSTEM WOULD HAVE BEEN LONG IN LICHSGFIN, BEFORE IT CRASHED HEAVILY, SO AN EXTREME STOP LOSS OF 10% OF TOTAL MONEY INVESTED, SHOULD BE EMPLOYED

MINIMUM CAPITAL REQUIRED IS RS. 40,000 CONSIDERING MARGIN FOR 1 LOT OF MINIFTY IS RS. 10,000 TO 12,000 AND RS. 20,000 FOR SYSTEM DRAWDOWN

ANY IMPROVEMENTS MADE TO THE SYSTEM ARE WELCOME, INCLUDING CODING IT FOR OTHER PLATFORMS

IEOD DATA 15 MINUTES IS USED. YOUR RESULTS COULD VARY DEPENDING UPON YOUR DATA VENDOR

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE REPETITION

I'M NOT RESPONSIBLE FOR ANY LOSSES OR PROFITS YOU MAKE BY TRADING THIS STRATEGY, USE YOUR OWN DISCRETION
 
S

sujittalukder

Active Member
#2
#2
Trade only when the last trade is a failure, just like the Turtles did
Click to expand...
Dear mozillan,

What does it mean?
Please clarify more.
Does it mean we should wait for a failed trade and then enter into trade on next signal?

Also please explain what is FMI?

regards
 
M

mozillan

Member
#3
#3
FMI stands for Flat Market Indicator and the code is taken from Traderonline.pl. The Excel sheet that I have attached contains all details.
By entering on failed trade, I mean that when the system has, for example, signalled a long trade, and subsequently signalled a short trade, and at the time of execution of short trade, the last trade, i.e., the long trade has resulted in a loss, we take the short trade, otherwise we stay out of the market. This is taken from one of the Turtle trading rules. I hope that explains it.
A practical example (Pl. refer to the Excel spreadsheet):
On 31-08-10, the system gave a signal to go short. On 01-09-10, at 9:15 AM, we would go short on Nifty_F1, only if it closed below 5519 (Entry price for previous trade, which was long). It did, indeed close below that, so we would enter short at 5425. Subsequently, the system signalled to go long on 03-09-10. On 06-09-10 (next trading day), we would cover our short position but enter Long only if Nifty_F1 was above 5425. It was above 5425 at 9:15 AM, so we enter Long at 5513. Currently, the entry time is 9:30 AM, because the markets actually open at 9:15 AM.
 
Last edited:
R

rkkarnani

Well-Known Member
#8
#8
mozillan said:
I've backtested this system on Nifty Futures and the results are good.
Metastock System:
B:
WHEN:
CLOSE IS ABOVE THE UPPER BOLLINGER BAND [SD 1]
AND
FMI=1
AND LATER ON
STOCHASTIC (100,60) CROSSES ABOVE 80

SHORT:
WHEN:
CLOSE IS BELOW THE LOWER BOLLINGER BAND [SD 1]
AND
FMI=1
AND LATER ON
STOCHASTIC (100,60) CROSSES BELOW 20

Trade only when the last trade is a failure, just like the Turtles did.
http://img841.imageshack.us/i/niftyf1bbfmi.jpg/
Complete system here:
http://hotfile.com/dl/93500416/ddd3527/BBFMI.rar.html
This system is free.

Backtesting results:

NO. OF TRADES 8
WINNING TRADES 4
LOSING TRADES 4
LONG TRADES 5
SHORT TRADES 3
LONG TRADES PROFITABLE % 60
SHORT TRADES PROFITABLE % 33
MAX PROFIT % 10.8
MAX LOSS % -4.4
SYSTEM RETURNS % 11.9


ROLLOVERS ARE NOT INCLUDED IN SLIPPAGE

TRADES ARE EXECUTED AT MARKET EXACTLY 15 MINUTES AFTER MARKET OPENING [WITHOUT TAKING PRE-OPEN]

A CERTAIN AMOUNT OF CURVE-FITTING IS EMPLOYED, BUT EFFORTS HAVE BEEN MADE TO ENSURE THAT THE CURVE IS NOT TOO SMOOTH

DATA HAS BEEN LOADED FROM MAY, 2010. WHETHER OR NOT IT IS STATISTICALLY SIGNIFICANT IS NOT KNOWN TO ME

THE SYSTEM WOULD HAVE BEEN LONG IN LICHSGFIN, BEFORE IT CRASHED HEAVILY, SO AN EXTREME STOP LOSS OF 10% OF TOTAL MONEY INVESTED, SHOULD BE EMPLOYED

MINIMUM CAPITAL REQUIRED IS RS. 40,000 CONSIDERING MARGIN FOR 1 LOT OF MINIFTY IS RS. 10,000 TO 12,000 AND RS. 20,000 FOR SYSTEM DRAWDOWN

ANY IMPROVEMENTS MADE TO THE SYSTEM ARE WELCOME, INCLUDING CODING IT FOR OTHER PLATFORMS

IEOD DATA 15 MINUTES IS USED. YOUR RESULTS COULD VARY DEPENDING UPON YOUR DATA VENDOR

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE REPETITION

I'M NOT RESPONSIBLE FOR ANY LOSSES OR PROFITS YOU MAKE BY TRADING THIS STRATEGY, USE YOUR OWN DISCRETION
Click to expand...
Have you coded it for Metastock? Please post the expert!! Thanx!
 
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