This is a breakout strategy where buy/sell signal is generated when price crosses a dynamic support/resistance. The calculation of support/resistance is based on highest high value and lowest low value for a particular lookback period. This strategy seems to work well in Trending markets.
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|Preferred Timeframe||Daily, Hourly|
|Buy Condition||Price crosses above dynamic resistance.|
|Sell Condition||Price crosses below dynamic support.|
|Targets||No fixed target, Stop and reverse when AFL gives opposite signal|
|Position Size||150 (fixed)|
|Brokerage||50 per order|
Click here to download AFL code for this system.
|Backtest Period||01-Jan-2007 to 19-02-2016|
|Net Profit %||537.81%|
|Annual Return %||22.48%|
|Number of Trades||243|
|Winning Trade %||41.56%|
|Average holding Period||8.93 periods|
|Max consecutive losses||6|
|Max system % drawdown||-28.78%|
|Max Trade % drawdown||-60.73%|
Download the detailed backtest report here.
Please note that you can expect even better results if you allow compounding of your returns.
Additional Amibroker settings for backtesting
Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 75 and margin requirement of 10% for NSE Nifty:
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