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Adaptive Trading Indicator based on the Return of Past Trades

by bug man, 4606 days ago
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Imagine you have a trading rule that turns itself off if the average return of the last trade (or the last few trades) that were generated by this rule are negative or below a specific threshold.

This is exactly what this technical indicator will allow you to do.
You tell him which trading rule to test, the number of past trades to consider, the number of periods to use in the return calculation (Sort of N-Bar stop) and the lookback period to search for past trades. After you enter these inputs, the indicator will tell you for each period, the average return of the past trades.

Example: (The function name is PastTrades)
rule1 = cross(close, sma(30)); // Price crosses above its 30-Bar simple moving average
ruleT1 = rule1 and PastTrades(rule1, 10, 2, 300) > 0;
buy = ruleT1;

"ruleT1" variable returns a signal if "rule1" is TRUE and if, at the same time, the average return of the last 2 trades generated by "rule1" are above zero. In the above example, a trade return is calculated based on the next-bar open price as entry price and the next 11-bar (10 + 1) open price as exit price.

I have previously developed and shared some trading indicators based on the same idea of creating adaptive rules:
Simulation/Backtest Trading Indicator
Buy Sell Simulation Indicator
Strategy Indicator - Percent winning trades for a trading rule
Buy Indicator


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Type: Trading Indicator

Object ID: 950


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.