Donchian Filter tfmt5

Donchian Filter tfmt5

As with our other adviser Turtle, this system is based on the price channel breakout (Price Channel), and Donchian channel, and uses two moving averages. Moving Averages confirm the trend by filtering out false breakouts and reducing the price “noise”. When calculating a moving average is used more bars than in the calculation of the other. Long positions are opened when the shorter moving average (fewer bars) is above the long (longer bars), and the price breaks the upper price channel. Short positions are opened when the shorter moving average is below the longer and the price breaks the lower price channel.

As the development trend and the emergence of new price highs and lows the price breaks the upper or lower price channel, and moving averages confirm the trend and reduce the price “noise”. Secondary price channel needs to exit the trailing (trailing exit). Advisor calculates the amount of position based on the percentage of the volatility (Percent Volatility position sizing) for the uniform handling of any characters and tick values, reduce losses, and reducing them to a predictable percentage. Lot size is calculated based on the foot. If the price moves in the lucrative direction, additional items are added (configurable input parameters) as the system increases the volume of pyramid (system pyramids).

The default settings are a system of Turtle System 1, in accordance with the classification Feis Curtis (Curtis Faith), this in his book “The Way of the Turtle” (Way of the Turtle) when testing the system in the futures market. Advisor allows you to select any number of bars to entry and exit, as well as any number of bars for moving averages. Advisor covers only its position (with the same magic number).

Note: The values ​​of the input parameters are not optimized default. We recommend pre-work with a product demo, to select the most optimal combination of parameters on the basis of permissible for you the level of risk, and increase profit potential. trend following systems are based on long-term probabilities (long term probabilities). Although such systems have lower gain indicators they reach profitability by major trends, quickly getting rid of unprofitable trades and letting profits run. Testing on several symbols indicates that the advisor profit trend symbols exceeds a small loss on the non-trend pair.

Entry and pyramiding

Advisor to enter the market when the price overcomes the maximum or minimum price channel in accordance with the parameter Entry_Periods, and the moving average, determined Short_MA parameter is close to a breakthrough moving average Long_MA. Advisor adds the position as soon as the price reaches a new high or low, without waiting for the next bar. When Max_Units carried out over 1 additional inputs into the market, increasing the amount of position (pyramiding) increments ATR, parameter set ATR_between_Pyramids.

outputs

The outputs from the market place by using trailing price channels defined parameter Exit_Periods. When the price is set and reaches the channel exit point counselor closes all positions, including open by pyramiding.

The size and position of the stop levels

Advisor calculates the amount of position based on the percentage of the volatility associated with the stop level. Stop layer uses the parameters ATR_Periods and Stop_Range_ATR to calculate the ATR, and then multiplies the two values ​​to find the distance of the stop level of the entry price. Stop levels are not displayed (are not coded into) with the position, but closes the adviser position if the price reaches the stop value. As you add additional units at pyramiding stop loss is moved in accordance with the last entry price. Using the value of the stop level (Risk_Percent option), and your account information (tick size, lot, decimal places, etc.), the adviser determines the size of the position, using the distance from the entrance to the stop level and limiting the number of lots at the level you specify percentage. As a result, each symbol, price volatility and are treated the same. As the size of your position is changing under the influence of profits or subsidence, these changes are taken into account in determining the position size.

Input parameters

  • Entry_Periods – calculating the number of bars for the maxima and minima are used in calculating the breakthroughs (entry breakouts).
  • Exit_Periods – calculating the number of bars for the maxima and minima are used when leaving the trailing (trailing exits).
  • Long_MA – the number of bars for the calculation of long or slow moving average.
  • Short_MA – the number of bars for the calculation of a short or fast moving average.
  • Risk_Percent – percentage of risk in one position when the stop price level. Example: if you assume the risk 2% of your funds, set parameter value 2.
  • ATR_Periods – the number of bars used in calculating the ATR.
  • Stop_Range_ATR – this value is multiplied by the ATR, to determine the location of the stop level with respect to the entry price. Example: if you want to install the stop level at a distance of 2 * ATR from the price, set the parameter value 2.
  • Max_Units – maximum number of entries in the market (including the first one) to the extent that, as the position moves in the direction of the lucrative and adds advisor position of pyramid.
  • ATR_between_Pyramids – this value is multiplied by the ATR for use in the calculation, when the next position at pyramiding must be added. Example: at a value of 1.5 is added next piramidingovaya position when the price reaches plus entry level (1.5 * ATR) for long positions or minus level input (1.5 * ATR) for short positions.
  • Slippage – the size of the allowable slip at the opening position.
  • Reduction_Percent – the amount by which decreases your balance when calculating the size of the position. Example: If the parameter is equal to 20, in position during the drawdown size will be 20% less than without reduction. When calculating the size of the position, the adviser will take into account only 80% of the actual amount of your money to reduce the risk to the end of the period of drawdown.

One of the screens presented demonstrates our free channel price indicator with a green line showing the 20-channel bars to enter the market (20 bar entry price channels), and a red line – 10 bars exit channel (10 bar exit price channels). Yellow line – short moving average, pink – long. Long positions are opened only when the yellow 50 bars moving average is above the 300 pink bars and the price breaks the upper price channel. Short positions are opened only when the yellow 50 bars moving average is under 300 bars of pink and the price breaks the lower price channel.

Denial of responsibilityTrade is speculative and is not suitable for all investors. Investors should only jeopardize the money that they are willing to lose, because there is always the risk of substantial losses. Investors should be fully aware of their financial capabilities before making a deal. Past performance does not guarantee future results. Hypothetical or simulated results of operations have limitations and do not represent actual trading. In addition, since such transactions have not been fulfilled in reality, the results can be skewed one way or another due to various unrecorded market factors, such as lack of liquidity. Programs that simulate commercial activities, operate only historical data without any assurances that any account can be achieved the same or approximately the same profit or loss, which are stated in the description.
Donchian Filter tfmt5

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