CTST_XUpLong_212 (ver. 13) Running

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Version 9 won 201907 contest, following description is mainly on version 9. Trading Logic: There are 3 types of signals (type01/02/11) which can trigger strategy to close opposite position and open new: 1) Type01: Long case: When fast MA T3-24(input parameter FastMAPeriod) cross up T3-52(input parameter SlowMAPeriod)) and T3-52 is flat (T3-52 increase more than G_SlowMAFlatInc=-0.00005 in recent 2 periods), will trigger closing short position if exists, and open long position if there is no existing long position. Short case: When fast MA T3-24(input parameter FastMAPeriod) cross down T3-52(input parameter SlowMAPeriod)) and T3-52 is flat (T3-52 decrease more than G_SlowMAFlatInc=-0.00005 in recent 2 periods), will trigger closing long position if exists, and open short position if there is no existing long position. Type01 is the major trading signal to generate profit. 2) Type02: Short case: condition is similar to type01 Long case except slowMA (T3-52) cannot pass flat check in type01. It will trigger close of long position and open of short position is no existing short position. Long case: condition is similar to type01 Short case except slowMA (T3-52) cannot pass flat check in type01. It will trigger close of short position and open of long position is no existing long position. type02 is introduced to prevent false cross signal close a good position. 3) type11 Type11 is defined as follows: ADX14 > 30 (G_ADXTrendLimit as input parameter) means strong trend. ADX14 > ADXR means trend is not fading. the signal candle can not be longer than 11 pips (input parameter G_ADXEnterCandlePipsLimit) to prevent climax which may be the final movement of the trend. type11 signal is only valid when there is no type01 or type02 signal. 3) type11 Type11 is defined as follows: ADX14 > 30 (G_ADXTrendLimit as input parameter) means strong trend. ADX14 > ADXR means trend is not fading. the signal candle can not be longer than 11 pips (input parameter G_ADXEnterCandlePipsLimit) to prevent climax which may be the final movement of the trend. type11 signal is only valid when there is no type01 or type02 signal. Long case: DMI PDI > MDI means long side is stronger. there are previous at least 2 candles with lower high-price to match the retracement, and later a break above of previous high means up-trend resume. Short case: DMI MDI> PDI means short side is stronger. there are previous at least 2 candles with higher low-price to match the rally, and later a break below of previous low means down-trend resume. Type11: This signal is introduced with following consideration: 3.1)Type01 position can closed with TP, but one effective T3-24/52 crossing signal can continue run hundreds pips, trend-continue is worth of trading; 3.2) Type01 position can be closed with SL, and then trend resume without cross of MAs in opposite and same direction, trend-resume case worth of trading; 3.3) when type01 signal is near to TP, but there is a V pattern revert without cross of MA in opposite direction, trend-revert signal can exit previous position with some profit or less loss and open new opposite side position. 3.4) Sometimes type02 signal is false signal, T3-52 is not flat, but after some oscillation of V pattern revert, it can start a trend, this kind of trend-continue case is worth trading. Description of indicators: T3-24 is fast MA, T3-52 is slow MA, shift 1 means latest finished candle, shift 2 means last second finished signal. T3 type MA is chosen because T3 is the most smooth MA and generate least false signal. DMI(14) shift 1 generate ADX, PDI and MDI usded in type11. V12 set all other instruments's value to GBP/USD, because additional instrument can slowdown the strategy and make it not running as expected. It also correct TSL bug. v13: change type01 TP from 60 to 50 pips Explanation of chosen settings will be put into a seperate blog https://www.dukascopy.com/fxcomm/blog/?action=post-show&post_id=219622

Cumulative Profit/Loss dynamics

Selected period: 01.12.2019 - 31.12.2019

Full Stats

Standings (points): 14 (269)
Performance, $ (points): 134,77K$ (187)
Drawdown, % (points): 7.66% (46)
Bonuses: 36
Average Profit Trade: 9,13K$
Average Loss Trade: -7490.71$
Profit factor: 0,00K
Number of trades: 9
Traded volume: 119,36M$
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