BeeJay trading strategy research

In this issue we will look at a strategy based on four indicators, standard for MetaTrader 4 trading terminal and popular among traders: Moving Average, CCI, RSI and Parabolic SAR. Maximum details of the trading strategy algorithm described on the magazine's websiteWe offer you the results of automating tactics.

BeeJay trading strategy rules

To begin, let's briefly outline the rules of trading on the selected strategy. To begin with, we set the indicators on the working chart. We will need:

—         Экспоненциальная скользящая средняя EMA (8) – цвет синий, применить к close;
—         Простая скользящая средняя SMA (26) — цвет оранжевый, применить к close;
—         индикатор Commodity Channel Index – CCI (55) – применить к close, установить уровень «0»;
—         индикатор Commodity Channel Index – CCI (34) — применить к close и установить уровень «0»;
—         Осциллятор Relative Strenght Index – RSI (26) – применить к close и установить уровень «48»;
—         Parabolic SAR Indicator (0.02, 0.2).

We make a deal to buy if:
The EMA (8) crosses the SMA (26) from bottom to top;
2. The CCI (55) and CCI (34) cross the zero line also from bottom to top;
The RSI indicator (26) crossed its level of 48 upwards.

StopLoss is set by Parabolic SAR indicator. For buy trades - under the nearest point located below the price. For sell transactions - above the nearest point located above the price. At profit in positions it is offered to transfer stop-orders on points of the Parabolic indicator. TakeProfit depends on the chosen currency pair and time frame, and varies in the following limits: for M15 - 20-30 points, for H1 - 100 points, for H4 - 200-500 points.

All three events must happen and it doesn't matter in what order. The situation is reversed for a sell trade. Figures 1 and 2 show examples of long and short positions.

Fig. 1. Example of a sale transaction.

Fig. 2. An example of a buy deal.

Testing a trading strategy

So, we've decided on the rules, now let's move on to testing the trading strategy. The author of the algorithm stated that timeframes for trading should be changed depending on the currency pair, ie, use EURUSD, AUDUSD for scalping at M15, GBPUSD and EURUSD for longer-term trading at H1, H4.

First we will take the EURUSD currency pair on the M15 timeframe for testing. The experiment will be conducted from January 1, 2010 to January 1, 2011. The results are shown in Figure 3.

Fig. 3. Testing of the Expert Advisor on EURUSD, M15. Download the report.

This run did not show anything particularly interesting. The deposit, of course, we did not lose, but we saw a profit of only $83, once, and that seems to be by accident.

We continue to try scalping with the Expert Advisor. For this, we use the AUDUSD pair, 15-minute timeframe and the same testing period (see Figure 4).

Fig. 4. Testing of the trading Expert Advisor on AUDUSD, М15. Download the report.

And there is absolutely nothing attractive - we did not even see any profit, monotonous "drain" with periodic mobilization of forces.

Let's try to go to higher timeframes. Figures 5 and 6 show the results of testing the Expert Advisor on the hourly chart of EURUSD and GBPUSD. The testing interval is larger for the sample to be representative - 1999-2011.

Fig. 5. Testing of the Expert Advisor on EURUSD, H1. Download the report.

Fig. 6. Testing of the Expert Advisor on GBPUSD, H1. Download the report.

EURUSD was trustworthy during the first thousand trades and even showed 18% profit, but the end of the test was unsuccessful - we got back to the beginning of the way. GBPUSD was the opposite - at first it fell almost by 50% and then it quickly recovered its positions, which, by the way, didn't end well either. Maybe we will be lucky on the H4?

Fig. 7. Testing the trading strategy on EURUSD, H4. Download the report.

Fig. 8. Testing of the Expert Advisor on GBPUSD, H4. Download the report.

Unfortunately, our last experiment was not successful either. The balance graphs show that the results of the Expert Advisor are unstable, and if there were any profits, they were small and short-lived. So we can only try to optimize the strategy.

Optimization of the expert and conclusions

Surprisingly, none of the proposed timeframes were successful in optimization. All the results of the forward tests turned out to be negative. The main reason for this is the lagged position opening signal. Obviously, the set of indicators turned out to be unsuccessful for the selected currency pairs. Therefore, we do not recommend to use the strategy in real trading.

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