This strategy is based on MACD, RSI, Stochastic and Exponential moving average. Combination of all these indicators assures good returns with minimum whipsaws. In the chart, uptrends are represented by blue color and downtrends are represented by red color.
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AFL Overview
| Paramter | Value |
| Preferred Timeframe | Daily, Hourly |
| Indicators Used | MACD, Stochastic, RSI, EMA |
| Buy Condition | RSI period 3 greater than 50, Difference between MACD and
MACD signal line is greater than 0 and also greater than that of previous candle, Stochastic %D line is less than 80 and greater than that of previous candle, Closing price greater than EMA period 100. |
| Sell Condition | RSI period 3 less than 50, Difference between MACD and
MACD signal line is less than 0 and also less than that of previous candle, Stochastic %D line is greater than 20 and less than that of previous candle, Closing price less than EMA period 100. |
| Stop Loss | 2.5% |
| Targets | No fixed target, Stop and reverse when AFL gives opposite signal |
| Position Size | 300(fixed) |
| Initial Equity | 200000 |
| Brokerage | 50 per order |
| Margin | 10% |
AFL Code
Click here to download the AFL code for this system. The AFL can directly be imported into Amibroker and no modifications are required.
AFL Screenshot
Backtest Report
| Paramter | Value |
| NSE BankNifty | |
| Initial Capital | 200000 |
| Final Capital | 5370094.50 |
| Backtest Period | 09-06-2000 to 26-02-2016 |
| Timeframe | Daily |
| Net Profit % | 2585.05% |
| Annual Return % | 22.58% |
| Number of Trades | 110 |
| Winning Trade % | 28.18% |
| Average holding Period | 30.73 periods |
| Max consecutive losses | 12 |
| Max system % drawdown | -56.04% |
| Max Trade % drawdown | -62.51% |
Download the detailed backtest report here.
Please note that you can expect even better results if you allow compounding of your returns.
Equity Curve
Additional Amibroker settings for backtesting
Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 30 and margin requirement of 10% for Bank Nifty:
Disclaimer:
All the AFL’s posted in this section are for learning purpose. Trading Tuitions does not necessarily own these AFL’s and we don’t have any intellectual property rights on them. We might copy useful AFL’s from public forums and post it in this section in a presentable format. The intent is not to copy anybody’s work but to share knowledge. If you find any misleading or non-reproducible content then please inform us at support@tradingtuitions.com
Thanks!
Hi,
Thanks for the amazing system and other articles you’ll have been posting. I have mentioned before that this is one of the very few Indian websites which can provide such great deal of knowledge on AmiBroker. What makes it better is that you’ll encourage questions and respond to them in time. My request is if you’ll could do a small code on dynamic position sizing like anti martingale. This is one topic which is not available (easily at least) on the internet. This will help me and all other fellow traders searching for the same.
Thanking you in anticipation,
Neha
Thank you Neha. We’ll try to cover dynamic position sizing in one of our ‘AFL of the week’ articles. Stay tuned!
Hi,
Thank you so much. Looking forward to the same.
Best wishes,
Neha
Ahh man.. the draw down is really huge. It would be very difficult to trade such systems. When I work on developing systems, i always focus on lower drawdown ratio. you can check my system details here http://www.squareoff.in
Can we apply this on EOD? IF no are there any strategies which can be applied on EOD?
Hi Dhaval,
Yes, you can. But the performance may differ. Check out the below EOD strategies:
https://tradingtuitions.com/afl-of-the-week-a-profitable-trend-following-system/
https://tradingtuitions.com/afl-of-the-week-support-resistance-based-trading-system/
https://tradingtuitions.com/afl-of-the-week-14-73-ema/
Hi, if you did not have the tradedelays set up, then you buy=buy and c>ema20, would be buy=buy and ref(c,-1)>ema20?, because you dont know where the close will be in the open right?
Yes, that is true. But its better to have trade delays than referencing previous bar.
Thanks for posting strategies for all Timeframes which covers wide base of traders,would like to know is the entry taken on the high breached after the buysignal or low breached after the low signal,…Thanking for same
Hi Umesh,
Trade should be initiated at the Open price of next candle after signal
Hi.
Admire simple yet sharp write-ups of yours.
Why are the backrest periods not the same for different strategies you discuss?
Best wishes,
Chetan
Thanks Chetan! The reason why backtest period is not the same for all the strategies is that fact that stock market changes constantly with time. For ex: Mean reversion strategies did not work at all before the stock market crash of 2008. I do not want to demotivate the readers showing negative results from that period.