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  1. #1
    arm-mani.ru Guest

    Default Simple ADX Strategy

    Simple ADX Strategy

    I have called this strategy: Simple ADX. It is my intention to provide the code for a basic trading strategy with the intention to learn from the input from other traders using this forum.

    The basics of the strategy are as follows:

    When the 14 period ADA rises from below 15 to above 15 with a change in the ADX of 0.5 or more, a big trend might be underway.
    A simple Parabolic Stop is used.

    Let's look at the code as I use it in Genesis Trade Navigator:

    For a Long Entry:
    IF DMI plus (14 , 0) > DMI minus (14 , 0) And ADX (14 , 0) <= 15 And ADX (14 , 0) > ADX (14 , 0).1 And Next Bar DayOfWeek <> 3 And Next Bar WeekOfMonth <> 4

    For Long Exit:
    IF Crosses Below (Low , Parabolic (0 , 0.02 , 0.2))
    Then Sell Market

    For Short Entry:
    IF DMI minus (14 , 0) > DMI plus (14 , 0) And ADX (14 , 0) <= 15 And ADX (14 , 0) > (ADX (14 , 0)).1 And Next Bar DayOfWeek <> 2

    For Short Exit:
    IF Crosses Above (High , Parabolic (0 , 0.02 , 0.2))
    Then Sell Market



    The Long Entry looks at a DMI Plus > DMI Minus and the ADX must be rising ADX > ADX.1 (= one bar ago)
    The last two conditions were added after back testing: it should not be the 3rd day of the week; it should not be the 4th week of the month.

    I tested it on the Japanese Yen (in Genesis G6J-067).
    Looking at the results over a long period of time (1977 – 2009):

    Total Net profit: $102.538
    Profit Factor: 3.05
    Winning Percentage: 51.8%
    Return %: 966.7%
    Average trade: $932
    Max Closed-out drawdown: -$6400
    Max IntraDay Drawdown: -$7908
    Percent in the market: 18.9%
    Total trades: 110

    Looking at a time when electronic trading was more common (2001 – 2009):
    Total Net profit: $24.903
    Profit Factor: 3.43
    Winning Percentage: 57.1%
    Return %: 290.7%
    Average trade: $889
    Max Closed-out drawdown: -$ 5145
    Max IntraDay Drawdown: -$ 5865
    Percent in the market: 14.6 %
    Total trades: 28

    What I like about this system is the low drawdown. It does not trade often but it has been a consistent winner with an average profit per trade around $ 900.

  2. #2
    Arnoldbip Guest

    Default

    Looking at the DAX with the same strategy but a slightly different exit gives the following results - see thumbnails.
    The table showing the trades indicate the principle of cutting your losses and letting your profits run
    I used $ 45 for slippage and commission. No Money Management technique was used. This is for 1 contract.
    No forward testing or Monte Carlo simulation was done.

  3. #3
    ArnoldMig Guest

    Default

    Looks pretty interesting.

    Using money managment should make it v. promising, but will make the drawdowns bigger, although hopefully you can offset the effect by simultaneously trading several more markets.

    Obviously you have to have the cash for the margins, but you want to get the results for other markets like Crude, Gold, Treasuries, Wheat or Coffee (or another Ag.) - i.e. put together a basket of less correlated markets. Then combine the returns and see what the collated results look like. Might well be quite tradeable.

    By the way, DAX is a big fat contract with high volatility and margin. Did you try the SP eMini?

  4. #4
    Arnotting Guest

    Default

    Hi Adamus,

    I tested this strategy on all trade-able futures markets: the JPY and DAX showed interesting and consistent results with an acceptable drawdown. In this case I chose for "market selection".
    The JPY was optimized by taking out the worst day of the week and week of the month.
    The DAX was not optimized at all. It only uses a different exit strategy.

    Percentage wise, using Money Management (MM) does not make a difference in drawdown, only in absolute money value.

 

 

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