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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 :)
Jared Broad
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.
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.
Stefan
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.
Stefano Raggi
@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.
Stefan
Thanks for the update. No real inconvenience encountered :)
Hendrik410
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?
Jared Broad
we just added spread data to improve backtest model accuracy. This will impact the performance of highly traded strategies like this one.
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.
Hendrik410
Great, good to know
Apollos Hill
Hi sorry to resurrect an old thread but i came accross this strategy when searching for bollinger bands in the forums. I sentiment Jared's risk control / development tips. I would like to add some trading tips. I would trade one a 1 minute chart and only trade the first 3 hours of the session. so from 3am to 6am. I would also put in a basket of pairs, not just GBPUSD. Some pairs will be more volatile on different days because of certain news announcements. Additionally, i would even call this the NYC breakout because thats when the most volume happens. I have been working on a strategy like this for a month now and haven't had much luck. I'm doing similar to what you are doing but using the momentum MOM indicator, i even tried a ATR crossover to detect volatility. I also tried to change the Dual Thrust Algo posted in the strategies section. Does anyone have any suggestions for indicating and detecting the most volatile pair to trade every day at 3am? perhaps....the Moving AVerage Channel Indicator?Â
Aspel
 i need to buy/sell if the 15Min candle closes above/below the high/low of the 2.AM EST 1 hour Candle between 3.AM to 4.AM London open time
 iam unable to acess the historical 15min tradebar close prices for comparison
 Anyone give a hint of how to do it Thanks
Stefan
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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