First CTL strategy example. Filtered EMA Strategy.

First CTL strategy example. Filtered EMA Strategy.

First the code:

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strategy filteredEMA;
/* written by ctlprogrammer for EUR/USD timeframe 30 min*/
/*Warning for demonstration purpose only, no live trading please*/
/* http://ctltrading.blogspot.com*/

input period1 = 13,period2=5, lots = 1;

vars ma1(series),ma2(series),ma3(series),currentbar(number),entryallowed(bool);

begin

if back(close) < front(close) + 200 then return;

currentbar := back(close);

ma1 := ema(close, period1);

ma2 := ema(close, period2);

ma3 := ema(close,200);

entryallowed:=true;

if crossdown(ma2,ma1) and low[currentbar-3]<ma1[currentbar-2] then entryallowed:=false;

if crossup(ma2,ma1) and high[currentbar-3]>ma1[currentbar-2] then entryallowed:=false;

if entryallowed=true then

begin

        if crossdown(ma2,ma1) and ma3[currentbar-1]>ma3[currentbar] then

        begin

            if long() then begin exitlong(); sell(lots); end;

            if not short() then sell(lots);

        end;

       if crossup(ma2,ma1) and ma3[currentbar-1]<ma3[currentbar] then

       begin

           if short() then begin exitshort(); buy(lots); end;

           if not long() then buy(lots);

       end;

end;
end.
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How does this strategy works:

It is a trend following based strategy.

if crossup(ma2,ma1) and ma3[currentbar-1]<ma3[currentbar]

The strategy goes long when fast Exponential moving average (period 5) crosses the slow Exponential moving average (period 13) upwards and the Exponential moving average (period 200) is going up.

if crossdown(ma2,ma1) and ma3[currentbar-1]>ma3[currentbar]

The strategy goes short when fast Exponential moving average (period 5) crosses the slow Exponential moving average (period 13) downwards and the Exponential moving average (period 200) is going down.

To avoid to many false signals there is a build in filter:

entryallowed:=true;

if crossdown(ma2,ma1) and low[currentbar-3]<ma1[currentbar-2] then entryallowed:=false;

if crossup(ma2,ma1) and high[currentbar-3]>ma1[currentbar-2] then entryallowed:=false;

This parts makes sure that entries are only valid if the crossing has a descent slope. It checks if the 3 bar before the crossing was above the Exponential Moving Average (period 13).

Back test shows that this strategy works best in time frames 30 min or higher. I wrote it for the EUR/USD currency.