Strategy Close System Make Profit Currency Pair USDCHF in Foreign Exchange Market by Algorithmic Trading

  • วิทวัส กำธรกิตติกุล
  • สมพร ปั่นโภชา
Keywords: Strategy Close System, Simple Moving Average, Linear Regression Channel

Abstract

The objective of this study is to crate 3 simple trading strategies with the concept of the close system for making profit USDCHF in foreign market exchange, By choosing a currency pair, USD/CHF

There simple strategies are 1) Close system open position & take profit every 150 points. 2) Close system & Moving average 5 days cross up 8 days. 3) Close system & Linear regression channel 50 candles.The historical USD/CHF rates in 2019 are used to investigate the optimality criteria for testing data from January 2020 to April 2020.

The results show that 3 strategies can be used for more profitable trading in 2020, and be able to take profits at 19% to 40%.  1) Close system open order & take profit every 150 points with Lot size 0.02 having return 1,178.37$ (39.28%) for funding 3,000$, Maximum drawdown 65.92% and Sharpe ratio 0.86. 2) Close system & moving average 5 days cross up 8 days & take profit 200 points with Lot size 0.02 having return 567.09$(18.90%) for funding 3,000$, Maximum drawdown 72.44% and Sharpe ratio 1.38. 3.Close system & linear regression channel 50 candle with Lot size 0.02, open order when the price range is lower than -1σ & -2σ and take profit at the time when prices are at +2σ, having return 1,162.75$ (38.76%) for funding 3,000$, Maximum drawdown 92.86% and Sharpe ratio 0.92.

Therefore, the most suitable strategy that receivers the highest return is the first strategy. Although its Sharpe ratio is less than other strategies. For the reason is due to have the most holding order that occurs from moving in the wrong direction.

Published
2020-08-19

Most read articles by the same author(s)

1 2 3 4 > >>