Highlights of Updates

The most important reason for adding a filter, using the indicator of SMA50, is simple: to tell me when the trend is weak.

This means that when the SMA50 is closely bunched with the SMA15 channel, or effectively crisscrossing the SMA15 (high or low), then I will not enter any trades.

Strategy Summary

My current strategy that produced the above profit and loss chart is as follows:

• Trading on the D1 (daily) charts.
• On all trading, stop loss is always set.
• Position sizing is based on 0.3% risk per trade only for my prop trading.
• The core strategy is a line chart strategy
• Entry signal:
  • To enter a short position: my strategy requires the 50-period Simple Moving Average, SMA50, (on the close) to be sloping down. With that first condition met, it further requires the price to cross below the 15-period Simple Moving Average on the low (computing the simple moving average using the daily lowest price), AND require the Aroon Up indicator to be lower than the Aroon Down indicator.
  • To enter a long position: my strategy requires the SMA50 (on the close) to be sloping up. With that first condition met, it further requires the price to cross above the 15-period Simple Moving Average on the high (computing the simple moving average using the daily highest price), AND requires the Aroon Up indicator to be higher than the Aroon Down indicator.
  • Stoploss is put above the SMA15 (on the high) for a short position, and below the SMA15 (on the low) for a long position.
• Exit Signal:
  • For a short position, the exit signal is when EITHER Aroon Up is now above Aroon Down, OR when the price has crossed over the 15-period Simple Moving Average on the low (computed on the daily lows).
  • For a long position, the exit signal is when EITHER Aroon Up is now below Aroon Down, OR when the price has crossed under the 15-period Simple Moving Average on the high (computed on the daily highs).
• No more candlesticks — only line charts were used to reduce noise.

Discovered by Python Code

It is also worthy to note that this extremely simple and clear strategy was discovered by using Python code to experiment, prototype, and backtest.

The strategy has three benefits:

• It is extremely simple, so it reduces the possibility of execution errors.
• It is also extremely clear it only uses line charts (no candles sticks), so that it reduces noises on the charts.
• It also executes on the daily charts, so it is ultra low-maintenance and the signals are much more reliable than those on the lower timeframe.