I'm sharing a simple strategy I coded, based on some material that was shared in an open (free) online seminar held by Rockwell trading late last year. (See
The strategy uses three indicators; Bollinger bands, MACD and RSI. The idea is to go long when price is touching the upper band, RSI is "high" , and MACD is positive. And vice versa for shorts, as shown in the picture below.
In the screenshot from the seminar, one can see that they apply the entry on a 20 tick range bar chart of Gold.
Running a backtest with the strategy on Gold over the last year (with the default indicator parameters as suggested by the picture) yields a quite negative result. 726 trades, profit factor 0.87, a $11900 loss before commissions.
However, when playing with the optimizer in NinjaTrader, trying other chart styles, instruments, and parameter sets, I came up with some combinations that do look somewhat promising. How do you like the following, obtained with a 150 tick chart of TF (Russel 2000)?
91195
Now, I'm well aware of the risks with optimization, and I suspect this may be a case of curve-fitting past data, to some degree.
But I'm sensing there may be some nugget of usefulness here, so I would be very happy if someone else would take a look at the strategy, and play with its parameters. Let me know your thoughts and results.
Btw., I was going to submit this to the "Battle of the Bots", but I guess right now it's not quite clear how that thread is going to progress.