I have come across the method from FF (http://www.forexfactory.com/showthread.php?t=391229) and thanks to KOS and the originator of basket trading strategy --- Trader101. I think this variant is profitable and mechanical, however, I have not tried it very long time and cannot guarantee it is successful in the future. As I am not a coder, I can't even backtest the result, my only backtest technique is by my eyeball
Okay, here are the rules.
1) The basket comprised of EURUSD,GBPUSD,AUDUSD,NZDUSD,EURJPY,GBPJPY,AUDJPY,NZDJPY
2) When market risk on, we long the whole basket. When risk off, we square long and open short and vice versa.
3). What is the market, it is the basket. You can see the 8 pairs are all anti-USD/JPY. So the basket is strong when risk on and weak when risk off.
4)Entry rule: Trading all TF, I prefer H1
Long: When MACD >0, and price close above 8 period EMA PAC High, long signal generated. Long the basket next bar open (or you decide on your observation of price action). Exit when next short signal appear and close out the basket the next bar.
Short: When MACD <0, and price close below 8 period EMA PAC Low, short signal generated. Short the basket next bar open (or you decide on your observation of price action). Exit when next long signal appear and close out the basket the next bar.
5). SL set 4-5% of equity or when counter signal generated.
6) Result as attached pics: (lot size 0.1 each)
a) 27/9 00:00 long and exit 28/9 14:00; profit 1292
b) 28/9 13:00 short and exit 01/10 11:00; profit 747
c) 1/10 11:00 long and exit 2/10 10:00; loss 242
d) 2/10 10:00 short and exit 4/10 2:00 ; profit 609
e) 4/10 2:00 long and exit 5/10 10:00; profit 641
Total profit for 5 trades is $3047. It can even more if you exit at the extreme or before counter signal issued. And thanks to Garyfritz and George providing us such a great indi of the BasketEquity to make this eyeball backtest to be successful
I will post indi and template on next post.
You can then test the system at you own risk and see its potential instead of just trust my cherry pick. BTW, excuse my poor English as I don't use it regularly.......
Edit Long/Short Exit Rule: Exit and Reverse as point 4 + H4 MACD falling/ rising (no need to happen same time). This can hold the trade longer and less spread paid and bigger profit
