New article Comparative analysis of 10 flat trading strategies has been published:
The article explores the advantages and disadvantages of trading in flat periods. The ten strategies created and tested within this article are based on the tracking of price movements inside a channel. Each strategy is provided with a filtering mechanism, which is aimed at avoiding false market entry signals.
The channel borders are determined based on the Envelopes
indicator. The MFI indicator is additionally used for filtering of
The below figure shows market entry conditions according to Strategy #1.
Fig. 3. Entry conditions for the flat trading Strategy #1
Author: Alexander Fedosov
Hello Alexander, great article!
Can you explain about the optimization, like what time range did you use (what split In-Sample Versus Out-of-Sample; any overlappings)?
Another thought: because of the smaller than 1y period used here, what do think of applying a Walk-Forward optimization towards these strategies?