Discussion of article "Comparative analysis of 10 flat trading strategies"

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MetaQuotes Software Corp.
Moderator
201683
MetaQuotes Software Corp.  

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.

Strategy #1. The Envelopes indicator with the MFI-based filter

The channel borders are determined based on the Envelopes indicator. The MFI indicator is additionally used for filtering of signals.

Indicator Parameter Description
Used indicator Envelopes
Used indicator MFI
Timeframe H1
Buy conditions The price reaches the lower channel border, and MFI is in the oversold zone (below 20)
Sell conditions The price reaches the upper channel border, and MFI is in the overbought zone (above 80)
Exit conditions   The price reaches the opposite channel border

The below figure shows market entry conditions according to Strategy #1.

Fig. 3. Entry conditions for the flat trading Strategy #1

Author: Alexander Fedosov

Martin Dieter Backschat
4071
Martin Dieter Backschat  

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?

Thanks, Martin.

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