BidAskTickVol_8c opens trades using only tick volume information.
Large differences in bid and ask tick volumes might signal possible
changes in market balance. The strategy executes on every tick
event) and uses tick volume information to open trade.
Sell when ask volume is higher and buy when bid volume is higher than
ask volume 16.5 times (parameter: vol_factor). Minimal volume is set
to 5 mil (vol_filter) and additional filters used are minimum candle
size filter (parameter candle_filter = 0.1 pips for 10M candle) and
STDDEV filter to avoid entering the market on flats. Parameter
min_stddev_filter is 4.9 (the value is calculated by
similarly max_stddev_filter is set to 70 to limit the maximum
The trade will be skipped when the spread (parameter: spread_filter)
is larger than 2 pips.
Trading amount is 22% (defaultRisk) from Equity*Leverage (Weekend
Leverage is used on Fridays).
After the trade is closed (OnTrade event) with loss, the variable
unsuccessful_trades will be incremented.
Every consecutive unsuccessful trade will decrease the trading amount
= amount/(unsuccessful_trades+1). First profitable trade will reset
unsuccessful_trades to 0.
SL is set to 92 pips. The default TP set by market order is 100 pips.
Virtual TP is 18 pips. Virtual means strategy itself will try decide
to close the trade or keep it open after profit reaches 18 pips. To
this the strategy needs two tick prices: current tick and previous
tick. If the price difference is positive, don't close the trade, if
it's negative, close it. The downside of this is that if the price
goes back below TP level by single tick, the trade is not closed.
It also has system that triggers trade only when price is moving in
the right direction after conditions are met, it is controlled by two
parameters: distance - (2 pips) and trade_window - (5 secs). This
means if the difference between last and previous tick is against the
signal (the price is going up on sell signal) then delay opening the
trade for trade_window seconds until the price goes 2 pips
dist) in desired direction.
Parameter expiration_time is set to 345600 (seconds). It means that
unclosed trades will be closed after 4 days (excluding weekends)
Parameters from_hour and to_hour can be used to limit trading hours,
they are set to 0 and 24 by default. (trade on all hours).
Parameter weekday_filter can be used to skip trading on specified day
of the week, by default it is set to 0 (disabled), 1 means Sunday, 2
Monday and so on.
Parameter npos controls how many positions can be opened (for testing
purposes), for contest only 1 position is allowed.