A strategy to optimize aggregations
What are aggregates?
Aggregations are simply different time frames. For example: we act in a 5 minute chart, but we use a MACD indicator on a 15 minute chart to our trading signals filtering. This approach makes it possible to filter with different timeframes.
In this example, we develop a stategie on the German Bund Future (FGBL). The bund future is very popular with investors in the long term interest rates and is not too volatile.
In the setup of our strategy, we consider 3 indicators:
The Dynamic RSI, overbought and oversold that levels indicates;
The Channel Breakout, which shows current outbreak movements;
The Super Trend indicator, which closes with a trend fuse positions.
First step: load data
We load the futures contract over 300 days with 5 minutes of data.
We also post 2 time filters:
From 0:00 to 8:05 flat, which means no placements.
From 9:55 p.m. to 11:59 p.m.: flat no positions.
So the market will only be possible between 8:05 and 21:55.
Second step: Install the indicator
We install the Dynamic RSI indicator. If the Dynamic RSI is not in your platform is installed, follow the steps described here.
Once installed, right-click on the Edit Interpretation in the designer bar. Change the interpretation of the indicator as follows:
The Dynamic RSI indicates an over-sold levels with leaving the Boll Anger tires down and a buy signal when the weather goes by the Band. Step 7 has been given the value 100, which means that if the sentiment is equal to 100 is a long position.
In the current configuration we open a position if the market is oversold or overbought and rebounds in the opposite direction.
An oversold level occurs when the Dynamic RSI Bollinger Bands up and leave the Short Sale on signal, if the RSI falls back within the Bollinger Bands is. See step 3 in the interpretation of the indicator.
The aggregation of the Dynamic RSI is 6 x 5 minutes. Hence, we act on a 30 minute chart.
Third step: filtering of signals
With a view to limiting the number of spurious signals, we add the channel Breakout indicator, but this time as a filter. The Channel Breakout indicator signals a positive trend as futures break by reaching new highs and new lows when it reaches the trend is downwards.
If we Breakout indicator on an aggregation of 3 x 5 minutes have placed the buy and sell signals on Dynamic RSI (on a 6 x 5 minutes) scale, they will only be accepted if a breakout is a 15 minute time scale . These acts thus as a confirmation of the trade.
In this example we take a long position on the Bund as an oversold situation on the 30 minutes (6x5) time scale and there is an upward outbreak in 15 minutes (3x5) scale.
Fourth step: placing stops
Placing a stop in a strategy is essential. In this configuration, we use the Super Trend indicator as a stopper. The Super Trend is a trend indicator.
We use the aggregation 3 x 5. So, if we have a position and shorting the trend on a 15 minute scale runs up, then the position will be broken ends.
Fifth step: placing an object
Technical indicators such as the Super Trend lagging behind. So often you stay too long in position. For the trade to an early conclusion, we place a Profit Target stop.
The Profit Target stop is entered three times the ATR. The ATR or Average True Range measures the volatilieit of the Bund futures over 20 periods of 5 minutes. The number 20 is also called the ATR Span mentioned.
So the position will be concluded with a sell if the goal of 3 x ATR is reached. Set the ATR is 0.10 points and the entry point is 122.50, then the position will be closed as 122.80 is achieved with a sales order.
Sixth step: evaluating the strategy
Below is the equity curve (your power) which is a nice buildup of earnings shows.
The report below, attached to this article, shows a gain ratio of 72.92% and a profit factor of 2.80. This means that the average profit 2.8 times more important than the average loss.
The structure of this strategy without any optimization, shows that simple aggregation through different time frames apply, although it can lead to increased profitability of your strategy.
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