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A better momentum strategy

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  • A better momentum strategy

    I haven't written much in the forum (mainly because I use most of my free time backtesting etc.), but I read a lot and I think it is great to see people helping each other in this complex and unpredictable forex world.

    After not being profitable manually myself and being tired of signal subscriptions that use averaging and eventually end up in a big DD, I decided to mostly trade automatically.

    Therefore, I analyzed in which scenarios the market was more predictable historically (which are not very many) and ended up with mainly two strategies, that I would like to share not only for marketing purpose, but since the price is quite reasonable (considering the time it took to develop them) I honestly think it might be a good addition to any portfolio.
    I am always very critical and don't want to promise any impossible gains, but as we see even really good traders like SteadyCapture (I am myself also invested in SC) or the Revolution quant strategy can have their drawdowns or stagnation periods, so I think it is best to diversify as much as possible in profitable strategies.

    The first strategy is a momentum strategy, which is a bit similar to SFE Price Action (all momentum strategies are similar...) but it uses a time filter and only trades in the two hours after bank events or speeches from bankers. This way it is possible to get quite high historic profit factors of 2 to 4 depending on the symbol. Here is a link to the portfolio backtest (simulated with commission and execution delay).
    The general problem of momentum strategies is that they don't perform well when there are no strong fundamental trends. Therefore, with the time filter we try to minimize trading during those times.

    The other strategy is using the fact that big players are trying to stop out technical trades (reversal and breakout) around important price levels. Therefore, the volatility is statistically a bit higher around those levels making it possible to get a higher than random profit chance. But this only works on brokers with really good execution (I mainly use LMAX and Darwinex). I even coded a FIX version, where one can send stop orders directly to the XCore at Darwinex, if anyone is interested in it. Those will be executed before any MT4 orders and usually get a few points better price. Historic backtests.

    Some live performance (one can also invest in them via Darwinex with only a performance fee):
    Meet DARWIN index BAX and add it your portfolio of liquid alpha from €/£/$ 200. Broker and asset manager regulated by the FCA (UK) and the CNMV (Spain).

    Invest in LYH listed by corni. Diversify your portfolio and invest in leading independent traders. FCA (UK) & CNMV (Spain) regulated FinTech.

    Seller profile.
    Last edited by corni; 01-25-2018, 05:23 PM.

  • #2
    interesting approach you are going.

    momentum strategies are in a little bit of a quandry as of late. all i am watching going downhill for the last 3 months, mine included. sure took a good beating yesterday.

    only trading during the central bank events makes sense to me, but yesterday you should have had losses too i would think.

    i sure hope yours will do well, i will put mine to sleep for now till i see changes in the market.

    great coding work from all i can see btw


    • #3
      Thanks for your interest.

      Well most momentum strategies are going sideways because of many fake breakouts. On central bank events those are less even though they can occur.

      But if you look at my Darwinex signal my strategy actually made 4% this week and also made profit yesterday.

      The important point is that if you are running momentum strategies without time filter, you have to only take the very strong impulses and use big trailing stops to make up for all the losses by catching a few monster movements in a year. But with that time filter one can be a bit more aggressive and use faster break even/smaller trailing stops.
      Still of cause also my strategy will have losing days or even months, but historically this was very successful.


      • #4
        Hi, are you on myfxbook autotrade?


        • #5
          Originally posted by danielslwu View Post
          Hi, are you on myfxbook autotrade?
          No not yet. One can invest in the strategy at Darwinex with only performance fee or via mql signal for $30/month (or just rent the EA itself for $30/month). Not sure what will be better in terms of subscription costs the spread mark up on myfxbook or the performance fee. Probably very similar, but I will look into it and maybe make it availalbe.