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London Breakout Strategy

This forex strategy waits for a breakout during the start of the London Session. The market is usually ranging during the Asian session, the idea is to wait for the rush of liquidity when the London session starts and to follow the breakout. The london session starts 3 AM EST.

I tried following the techniques commonly used to trade the London Breakout (moving average, trendlines, support and resistance and so on) without success. This strategy enters using bollinger bands and exits by either taking profit, hitting a stop loss or after 5 hours. You need to increase the leverage for any significant returns, though the strategy has high drawdowns. 

Any advice or criticism would be appreciated :)

Update Backtest








Cool :) I've often thought about writing a strategy like this too.

My main suggestion would be to remove the 0.00080 / 0.00180 and make it a variable based on volatility. Even if it doesn't perform as well it will adapt with the changing environment. In the same train of thought I'd remove the "SetHoldings(pair1, 1);" and make the "1" - 100% investment dependent on the percieved risk / volatility of the market.

This control of the investment size is a basic foundation of risk control. Often you can take a bad signal and make it a solid investment just through really great risk control.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Jared

Thanks for the advice. I'll see if I can update the algorithm to take volatility and volume into account.

By the way, I seem to be getting different results now for the strategy, with the same code and backtest interval as above.

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@StefanJ, thanks for reporting the bug (introduced yesterday).

It has just been fixed and merged in the LEAN codebase:
https://github.com/QuantConnect/Lean/pull/690

The algorithm stats should be now as in the original backtest, sorry for the inconvenience.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks for the update. No real inconvenience encountered :)

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Well, it just cloned the strategy and ran a backtest. It still doesn't reach the performance of the original backtest.

Am I doing something wrong?

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 we just added spread data to improve backtest model accuracy. This will impact the performance of highly traded strategies like this one.

https://www.quantconnect.com/forum/discussion/1854/adding-spread-to-fxcfd-data

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Great, good to know 

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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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