In the DukasCopy Wiki we can see a simple strategy for JForex platform, based on crossing of two SMAs. The SMAStrategy strategy based on two SMA (Simple moving average): SMA with time period 10 and SMA with time period 90. The strategy logic can be described as 2 actions:
  • If SMA 10 cross SMA 90 from up to down, then the strategy closes existing short position and open a buy order if long position does not exist
  • If SMA 10 cross SMA 90 from down to up, then the strategy closes existing long position and open a sell order if short position does not exist
But you can’t use this strategy to get profit because the purpose of it is educational, and the results are not very good. All what you can get is slow decreasing of depo (fig. 1) for the random strategy parameters
  • instrument - EURUSD;
  • period – one hour;
  • filter – weekends;
from 01.01.2012:
Fig. 1. But can we improve this strategy to get a profit? Let’s see…
How many hourly bars do we have from 01.01.2012 till now? It is approximately 21300 hourly bars. DukasCopy tester generated 375 orders in this period. So, the average trade length is 57 hours. How can we use this information to improve our strategy?
Let’s think about the waves of …
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