TrendPullBack Strategy - How to Improve it

[shanmugapradeep]

Strategy

         // ===== Indicators =====
         bool GreenCandle = true;
         bool RedCandle   = true;
 
         double RSIValue  = fRSI(rSymbol, SelectedTimeFrame, RSI_Period, RSI_AppliedPrice, SignalStrengthValue);
         if(RSIValue == 0)
            continue;
 
         double BB_ResistanceLine_UpperBand_S0  = fBands(rSymbol, SelectedTimeFrame, BollingerBands_Period, BollingerBands_deviation, 0, BollingerBands_AppliedPrice, UPPER_BAND, 0);
         if(BB_ResistanceLine_UpperBand_S0 == 0)
            continue;
 
         double BB_SupportLine_LowerBand_S0  = fBands(rSymbol, SelectedTimeFrame, BollingerBands_Period, BollingerBands_deviation, 0, BollingerBands_AppliedPrice, LOWER_BAND, 0);
         if(BB_SupportLine_LowerBand_S0 == 0)
            continue;
 
         double MovingAverage_S0 = fMA(rSymbol, SelectedTimeFrame, MovingAverage_Period, 0, MovingAverage_Method, MovingAverage_AppliedPrice, 0);
         if(MovingAverage_S0 == 0)
            continue;
 
         double ADXStrength = fADX(rSymbol, SelectedTimeFrame, ADX_Period, MAIN_LINE, 0);
         if(ADXStrength == 0)
            continue;
 
         double ADX_PlusDI_S0 = fADX(rSymbol, SelectedTimeFrame, ADX_Period, PLUSDI_LINE, 0);
         if(ADX_PlusDI_S0 == 0)
            continue;
 
         double ADX_MinusDI_S0 = fADX(rSymbol, SelectedTimeFrame, ADX_Period, MINUSDI_LINE, 0);
         if(ADX_MinusDI_S0 == 0)
            continue;
 
            double BB_ResistanceLine_UpperBand  = fBands(rSymbol, SelectedTimeFrame, BollingerBands_Period, BollingerBands_deviation, 0, BollingerBands_AppliedPrice, UPPER_BAND, SignalStrengthValue);
            if(BB_ResistanceLine_UpperBand == 0)
               continue;
 
            double BB_SupportLine_LowerBand  = fBands(rSymbol, SelectedTimeFrame, BollingerBands_Period, BollingerBands_deviation, 0, BollingerBands_AppliedPrice, LOWER_BAND, SignalStrengthValue);
            if(BB_SupportLine_LowerBand == 0)
               continue;
 
            double BB_MiddleBand  = fBands(rSymbol, SelectedTimeFrame, BollingerBands_Period, BollingerBands_deviation, 0, BollingerBands_AppliedPrice, BASE_LINE, 0);
            if(BB_MiddleBand == 0)
               continue;
 
            double MovingAverage_S = fMA(rSymbol, SelectedTimeFrame, MovingAverage_Period, 0, MovingAverage_Method, MovingAverage_AppliedPrice, SignalStrengthValue);
            if(MovingAverage_S == 0)
               continue;
 
            double ADX_PlusDI_S  = fADX(rSymbol, SelectedTimeFrame, ADX_Period, PLUSDI_LINE, SignalStrengthValue);
            if(ADX_PlusDI_S == 0)
               continue;
 
            double ADX_MinusDI_S = fADX(rSymbol, SelectedTimeFrame, ADX_Period, MINUSDI_LINE, SignalStrengthValue);
            if(ADX_MinusDI_S == 0)
               continue;
 
            double HighS = iHigh(rSymbol, SelectedTimeFrame, SignalStrengthValue);
            double LowS  = iLow(rSymbol, SelectedTimeFrame, SignalStrengthValue);
            double Close_S1 = iClose(rSymbol, SelectedTimeFrame, 1);
 
            // ===== Candle strength =====
 
            for(int c = 1; c <= SignalStrengthValue; c++)   //
              {
               double CloseS = iClose(rSymbol, SelectedTimeFrame, c);
               double OpenS  = iOpen(rSymbol, SelectedTimeFrame, c);
 
               if(GreenCandle && CloseS <= OpenS)   // not bullish
                  GreenCandle = false;
 
               if(RedCandle && CloseS >= OpenS)   // not bearish
                  RedCandle = false;
 
               // performance shortcut
               if(!GreenCandle && !RedCandle)
                  break;
              }
 
            // ===== Execute =====
            if(
               //Small TrendReversal
               (!RelativeStrengthIndex || RSIValue < RSI_BelowLevel) &&
               (!BollingerBands || (LowS < BB_SupportLine_LowerBand && Close_S1 < BB_MiddleBand && Close_S1 > BB_SupportLine_LowerBand_S0)) &&
               GreenCandle &&
 
               //Strong Big Trend
               (!MovingAverage || (rBID > MovingAverage_S0 && MovingAverage_S0 > MovingAverage_S)) &&
               (!AverageDirectionalIndex || (ADXStrength > ADX_Strength && ADX_PlusDI_S0 > ADX_MinusDI_S0 && ADX_PlusDI_S0 > ADX_PlusDI_S))
            )
              {
               gTradeComment = IndiCatorsName + "+" + gSingleTFCheckingStatus + "+" + IntegerToString(SignalStrengthValue);
               gNewOrderSend = BUYORDER;
               NewOrderSend();
              }
            else
               if(
                  //Small TrendReversal
                  (!RelativeStrengthIndex || RSIValue > RSI_AboveLevel) &&
                  (!BollingerBands || (HighS > BB_ResistanceLine_UpperBand && Close_S1 > BB_MiddleBand && Close_S1 < BB_ResistanceLine_UpperBand_S0)) &&
                  RedCandle &&
                  //Strong Big Trend
                  (!MovingAverage || (rBID < MovingAverage_S0 && MovingAverage_S0 < MovingAverage_S)) &&
                  (!AverageDirectionalIndex || (ADXStrength > ADX_Strength && ADX_PlusDI_S0 < ADX_MinusDI_S0 && ADX_MinusDI_S0 > ADX_MinusDI_S))
               )
                 {
                  gTradeComment = IndiCatorsName + "+" + gSingleTFCheckingStatus + "+" + IntegerToString(SignalStrengthValue);
                  gNewOrderSend = SELLORDER;
                  NewOrderSend();
                 }

Inputs

input int SignalStrengthValue = 1; //Shift
input ENUM_TIMEFRAMES SelectedTimeFrame = PERIOD_M15;
 
input string __RSI_Indicator__ = "***RSI Indicator Settings***";
input ENUM_APPLIED_PRICE RSI_AppliedPrice = PRICE_CLOSE;
input int RSI_Period = 14;
input int RSI_AboveLevel = 70;
input int RSI_BelowLevel = 30;
 
input string __BollingerBands_Indicator__ = "***Bollinger Bands Indicator Settings***";
input ENUM_APPLIED_PRICE BollingerBands_AppliedPrice = PRICE_CLOSE;
input int BollingerBands_Period = 20;
input double BollingerBands_deviation = 2.0;
input int BollingerBands_BandShift = 0;
 
input string __MovingAverage_Indicator__ = "***Moving Average Indicator Settings***";
input ENUM_MA_METHOD MovingAverage_Method = MODE_EMA;
input ENUM_APPLIED_PRICE MovingAverage_AppliedPrice = PRICE_CLOSE;
input int MovingAverage_Period = 200;
input int MovingAverage_MAShift = 0;
 
input string __ADX_Indicator__ = "***ADX Indicator Settings***";
input int ADX_Strength = 10;
input int ADX_Period = 100;

Backtest result are very mixed for some pair it profitable and for some pair it loss.