Cowabunga System from babypips.comPlease do read the information below as well, especially if you are new to Forex.
The Cowabunga System is a type of Mechanical Trading System that filters trades based on the trend of the 4 hour chart with EMAs and some other familiar indicators (RSI, Stochastics and MACD) while entering trades base on 15 minute chart.
I have coded (quite amateurishly) the basic system onto a 15 minute chart (the 4 hour settings are coded as well). The author says the system is to be traded off the 15 minute chart with the 4 hour chart only as a reference for trend direction.
4 Hour Chart Settings
5 EMA
10 EMA
Stochastics (10,3,3)
RSI (9)
Then we move onto the 15 minute chart, where he gives us the trade entry rules.
15 Minute Chart Settings
5 EMA
10 EMA
Stochastics (10,3,3)
RSI (9)
MACD (12,26,9)
Entry Rules - long entry rules used, obviously reverse these for shorting.
1. EMA must cross above the 10 EMA.
2. RSI must be greater than 50 and not overbought.
3. Stochastic must be headed up and not be in overbought territory.
4. MACD histogram must go from negative to positive OR be negative and start to increase in value.
What I did.
1. Set the RSI and Stochastic levels to avoid entries when they indicate overbought conditions for long and oversold conditions for short (80 and 20 levels).
2. Users can input specific times they want to backtest.
3. User's can configure profit targets, trailing stops and stops. Default is set it to was 100 pips profit target with a 40 pip trailing stop. (Note, when you are changing these values, please note that each pip is worth 10, so 100 pips is entered as 1000.)
The Cowabunga System from babypips.com is another popular and active system. The author, Pip Surfer, continues to post wins and losses with this system. It shows there is a lot of honesty and integrity with this system if the author keeps up to date even 10 years later and is not afraid of sharing the times the system causes losses.
As an example of this, here is post he shared just last week . It's almost like a journal, he gives specific times and reasons why he entered, lets the readers know when he was stopped out, etc. I think that what he does is equally important as his system.
To read more about this system, visit the thread on babypips.com, click here.
SPDR S&P 500 ETF (SPY)
Free Strategy #08 (Combo of #01 and #02) (ES / SPY)This strategy was designed to be traded on daily data on the ES and SPY—the strategy was originally developed for NinjaTrader, which displays daily ES data based on RTH hours instead of 24 hours (1440 minute) like TradingView does, so we are presenting the results on the SPY until we figure out how to overcome this hurdle.
The strategy combines the two ideas from strategy #01 and strategy #02 .
Strategy #08
Quantity 100
Slippage: 2 ticks
Commission: 4.95 per order
Net Profit: 26,044.60
Max Drawdown: 3,947.60
Buy and Hold (Custom)
Quantity 100
Slippage: 2 ticks
Commission: 4.95 per order
Entry Long: 1993-02-01 @ 43.99
Exit Long: 2017-07-28 @ 246.34
Net Profit: 20,225.10
Max Drawdown: 9,042.00
Free Strategy #02 (ES / SPY)This strategy was designed to be traded on daily data on the ES and SPY—the strategy was originally developed for NinjaTrader, which displays daily ES data based on RTH hours instead of 24 hours (1440 minute) like TradingView does, so we are presenting the results on the SPY until we figure out how to overcome this hurdle.
Strategy #02
Quantity 100
Slippage: 2 ticks
Commission: 4.95 per order
Net Profit: 10,118.30
Max Drawdown: 4.037.60
Buy and Hold (Custom)
Quantity 100
Slippage: 2 ticks
Commission: 4.95 per order
Entry Long: 1993-02-01 @ 43.99
Exit Long: 2017-07-28 @ 246.34
Net Profit: 20,225.10
Max Drawdown: 9,042.00
Free Strategy #01 (ES / SPY)The strategy was designed to be traded based on daily data on the ES and SPY--the strategy was originally developed on NinjaTrader using approximately 50% out of sample data with a slippage of 1 tick on the ES. This is our first strategy that we converted from NinjaTrader to TradingView, so if you see any issues with our conversion, please let us know as we are still learning TradingView Pine Script.
Session barsthis script marks off the extended hours trading for NY session. Shades the off hours and overnight data. Highlights the regular trading session for NY session. It can be adjusted for any particular market.
I use it specifically to show the missing data on the SPY as compared with the continuous data on the SPX500.
Fibonacci Bollinger BandsThese Bollinger bands feature Fibonacci retracements to very clearly show areas of support and resistance. The basis is calculate off of the Volume Weighted Moving Average. The Bands are 3 standard deviations away from the mean. 99.73% of observations should be in this range.
SPY Master v1.0This is a simple swing trading algorithm that uses a fast RSI-EMA to trigger buy/cover signals and a slow RSI-EMA to trigger sell/short signals for SPY, an xchange-traded fund for the S&P 500.
The idea behind this strategy follows the premise that most profitable momentum trades usually occur during periods when price is trending up or down. Periods of flat price actions are usually where most unprofitable trades occur. Because we cannot predict exactly when trending periods will occur, the algorithm basically bets money on all trade opportunities during all market conditions. Despite an accuracy rate of only 40%, the algorithm's asymmetric risk/reward profile allows the average winner to be 2x the average loser. The end result is a positive (profitable) net payout.
TRADING RULES:
Buy/Cover = EMA3(RSI2) cross> 50
Sell/Short = EMA5(RSI2) cross< 50
BACKTEST SETTINGS:
- Period = March 2011 - Present
- Initial capital = $10,000
- Dividends excluded
- Trading costs excluded
PERFORMANCE COMPARISON:
There are 657 trades, which means 1,314 orders. Assuming each order costs $2 (what I pay for at Interactive Brokers), total trading costs should be $2,628.
-SPY (buy & hold) = 132.73 ---> 193.22 = +45.57% (dividends excluded)
-SPY Master v1.0 = $12,649 - $2,628 = $10,021 = +100.21%
DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.
After Hours Daytime - Consistency
Use only on Daily charts!!
When average AH moves are consistent with average daytime moves it tends to indicate a trend. The phenomenon is not obvious on a day to day basis but is easy to see with the smoothed changes.
Blue is smoothed daytime change and black is smoothed AH gap. The length is how many periods back to start the differentiation between AH and daytime.
Pink background shows BOTH smoothed AH and daytime changes are falling.
Lime background indicates both are rising.
When used on NYA with parameters shown the indicator give warnings with high specificity and reliability for the broader
ATR Pips [LazyBear] [Elixium Mod: FEAR GAUGE]Modified version of ATR Pips
The indicator's value is a third of the daily range which is good to use as a stop loss value for intra day scalping on markets such as index futures and forex.
It's good for detecting and confirming inflection points in the market.
Trailing Sharpe RatioThe Sharpe ratio allows you to see whether or not an investment has historically provided a return appropriate to its risk level. A Sharpe ratio above one is acceptable, above 2 is good, and above 3 is excellent. A Sharpe ratio less than one would indicate that an investment has not returned a high enough return to justify the risk of holding it. Interesting in this example, SPY's one year avg Sharpe ratio is above 3. This would mean on average SPY returns 3x better returns than the risk associated with holding it, implying there is some sort of underlying value to the investment.
When the sharpe ratio is above its signal, this implies the investment is currently outperforming compared to its typical return, below the signal means the investment is currently under performing. A negative Shape would mean that the investment has not provided a positive return, and may be a possible short candidate.
Deviation Back Tester (Great for Credit Spreads)!Error with math fixed in this one. Please use this one.
This is great for credit spreads! Lets say you wanted to know if you had sold a 15% OTM Bull Put vertical 2 months out, how often would you win? This Turns green if you would have been correct with your credit spread had it expired on that date, or red if you would've been wrong. Great for Back testing!
This could also be used for ATM debit spreads credit spreads etc. Example, how often does SPY deviate outside a 10% range relative to two months, 5% (if your doing straddles perhaps) etc.
This Can be used with any stock.
PLEASE KEEP IN MIND THAT IT TESTS DEVIATION IN BOTH DIRECTIONS. THEREFORE IT WILL HIGHLIGHT RED ON BOTH THE UPSIDE AND DOWNSIDE. WHEN BACKTESTING BE SURE TO CHECK WHETHER IT IS RED BECAUSE OF DOWNSIDE OR UPSIDE.
