COT + ema + aux ticker — Strategy by Fanoooo
By Fanoooo
Performance Metrics
- Author: Fanoooo
- Symbol: FX:AUDJPY
- Timeframe: 1 week
- Net P&L: +5,091.06 EUR (+5.09%)
- Win Rate: 87.5%
- Profit Factor: 8.014
- Max Drawdown: 725.81 EUR (0.70%)
- Total Trades: 8
- Sharpe Ratio: 0.069
Description
Purpose: Create a script for backtesting the idea that COT can steer weekly Bias on Forex Market. How does it works: the script use Commercials Delta Conctract, EMA of the selected ticker, EMA of 2 auxiliary tickers (e.g. correlated ticker) to generates buy and sell signals, it allows to include or not each of these.If you use all the indicator, The buy or sell signals are generated following that rules: (Example for buy signals on GBPCAD) 1) Commercials add net contract to GBP futures + remove net contract to CAD2) EMA of GBPCAD is rising3) EMA of 1st aux ticker is rising (or decline if select inv option)4) EMA of 2nd aux ticker is rising (or decline if select inv option)The scripts set the stop at low of the week for long orders and high of the week for shorts.The exit strategy is to exit at first week of profitHow could you use it: [WARNING IT WORKS ONLY IN 1W Timeframe]1) Choose your FX Ticker e.g. GBPCAD and set 1W TimeFrame2) Select ticker in the strategy setting, remember to select the currency in right order, if you want to study GBP CAD 1st currency is GBP and 2nd CAD3) Choose if you want to use EMA (and its period of calculation) 4) Choose if you want to use a aux ticker, the direction, and the relative ema periodWhat could be better; 1) you can just buy on begin of the week.2) the exit strategy isn't best you can do3) No level of delta contract is consider, its generate a buy signial also for 1 contract in the right directionFor any question, suggestion of improvemet, ideas, insult:) write to meIt all started from a script i find here on tradingview that extract COT data. Don't remember the name of that guy but Thanks a lot. My English isn't perfect but i hope you can understand as well.