For base we shall take simple strategy based on cross two simple moving average.
Optimize it in tester.
Parameters of optimization:
Instrument: EUS/USD,
Chart: M15,
Range: 12/03/2010 - 02/25/2011,
Min. periods for MA: 20,
Max. periods for MA: 200,
Step: 20.
As main criterion to optimization I have chosen parameter P/F=Profit/Max.fall equity.
After optimization 5 best sets look like:
As changed parameters if we shall combine several strategies with different periods?
For this I wrote a strategy that can simultaneously work with three pairs of moving averages.
Period1 and Period2 correspond first MA, Period3, Period4 - second MA and Period5, Period6 - third MA.
If Period1=Period2 or Period3=Period4 or Period5=Period6 corresponding MA is not used.
Set Period1=80 and Period2=100 further optimization.
For 2 pairs MA the best parameters follows:
Continuing in the same way.
After the third stage of optimization: