Apply SMA

smoothing to cusum.
[SMA 10000
Optimise
direction (U2, U9): Lookback = 5000.
-0.01903
-0.21953

Optimise
direction (U2, U9): No.
0.01241
-0.00460

SMA 5000
Optimise
direction (U2, U9): No.
-0.03759
-0.05275
]
Apply cusum
method to all of 2018 data.
[

1a
Optimise
direction (U2, U9): Lookback = 5000.
0.03655
-0.51047

Optimise
direction (U2, U9): No.
-0.06043
-0.21366

2a
199999
Calculate 17:45 - 23:10 (Excel crashed).
-0.00642
-0.33908
w PL with
spread is constantly losing.
]
Test
double-moving-average signals on cusum chart.
Buy
when MAs cross up and are below 0.
Sell
when MAs cross down and are above 0.

Test
moving average on cusum of price difference % squared.
If SL
is hit, then wait for next trade signal.
Log
all results within sheet via VBA macro.
[

· 2018 CORRUPT: rebuild in new

sheet without charts and formatting.
· Delete all data and copy £-PL
heat-map results.
· Add chart data if and when needed
before deleting.
· Only add VBA macro before running
it. Delete VBA after finishing.

Create
a gross pips PL, pips-per-trade and cusum chart for a few weeks' data only.
Use as
a reference to check trades on the price chart.

[08/02/18 - 26/03/18]

Check
if col AA and AB PL per trade incl. spread is correct.
Update
col AG and AH.

[Updated £PL is different to original.]

Log actual gross pips PL for March and February 2018. Calculate net pips by
subtracting spread in a new column.

Check formulas and pip PLs.

Compare new and old Feb and Mar results

Add Long/short-display column based on col U (Min = Short, Max = Long).

Apply a fast SMA on cusum to reduce choppy trades around the crossover.

A walk-forward-optimised cusum-SMA might compensate for this somewhat.

[10000,10000

No SMA (SMA1):

£42,806.40

SMA20:

£32,548.93

w Don't use SMA.

Copy to 2019 sheet.

[5000,7500
 Original: £60,031.77

Updated: £59,640.38]

2019:

VBA
macro calculation: 18:30 - 01:50 (8 hours 20 minutes)

-1R%:
50%
SL:
300 pips
SL
multiplier: 0.01

3500,15000:

Updated: £91,125.82
Pips
incl. spread + £-PL:

Screen
clipping taken: 07/07/2019 15:43

Screen
clipping taken: 07/07/2019 15:44