We have received many requests from our readers to publish AFL for USD-INR Currency Trading strategy. This post would cater to all those requests. This is an extremely profitable trend following strategy for USD-INR currency pair. See the backtest report for its performance. It is an intraday strategy based on triple crossover of Exponential moving averages.

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USD-INR Currency Trading Strategy: AFL Overview

Paramter	Value
Preferred Timeframe	10 minutes
Indicators Used	EMA 3, EMA 21, EMA 46
Buy Condition	EMA Period 3 is greater than EMA period 21, and EMA period 21 is greater than EMA period 46.
Sell Condition	EMA Period 3 is less than EMA period 21, and EMA period 21 is less than EMA period 46
Stop Loss	0.5%
Targets	No fixed target, Stop and reverse when AFL gives opposite signal
Position Size	80% of Trading Capital
Initial Equity	100000
Brokerage	50 per order
Margin	2.5% (for USD-INR Currency futures)

USD-INR Currency Trading Strategy: AFL Code

//------------------------------------------------------
//
//  Formula Name:    USD-INR Trading Startegy
//  Author/Uploader: Trading Tuitions
//  E-mail:          support@tradingtuitions.com
//  Website:         www.tradingtuitions.com
//------------------------------------------------------

_SECTION_BEGIN("USD-INR Trading Startegy");

SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 100000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",50);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize( 80, spsPercentOfEquity ); 
SetOption( "AllowPositionShrinking", True );
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;

SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));

EMAPeriod1=3;
EMAPeriod2=21;
EMAPeriod3=46;

Buy = EMA(C, EMAPeriod1) > EMA(C, EMAPeriod2) AND EMA(C, EMAPeriod2) < EMA(C, EMAPeriod3);
Sell = EMA(C, EMAPeriod1) < EMA(C, EMAPeriod2) AND EMA(C, EMAPeriod2) > EMA(C, EMAPeriod3);
 
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Short = Sell;
Cover = Buy;

StopLoss=0.5;
ApplyStop(Type=0,Mode=1,Amount=StopLoss);

Plot( Close, "Price", colorWhite, styleCandle );
Plot(ema( C, EMAPeriod1 ),"3EMA",colorWhite);
Plot(ema( C, EMAPeriod2 ),"21EMA",colorBlue);
Plot(ema( C, EMAPeriod3 ),"46EMA",colorRed);
 

/* Plot Buy and Sell Signal Arrows */
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);
 
_SECTION_END();

AFL Screenshot

Backtest Report

Paramter	Value
	USD-INR Currency Futures
Initial Capital	100000
Final Capital	896807.50
Backtest Period	07-07-2015 to 03-03-2016
Timeframe	10 minutes
Net Profit %	796.81%
Annual Return %	2672.58%
Number of Trades	111
Winning Trade %	39.64%
Average holding Period	64 periods
Max consecutive losses	8
Max system % drawdown	-44.49%
Max Trade % drawdown	-28.39%

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 1000 and margin requirement of 2.5% for USD-INR:

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