This issue examines a three-indicator scalping strategy designed specifically for the EUR/USD forex pair. A full description is available in the Forex Strategies section of ForTraders.org. Below is a concise summary of the rules.
Indicators Used:
- Exponential Moving Average (EMA) with period 120, applied to Median Price ((High + Low) / 2);
- Laguerre indicator configured with levels at 0, 0.1, 0.9, and 1;
- Commodity Channel Index (CCI) with period 14, using thresholds of +5 and −5.
Entry Rules:
Long entry (Buy signal) when all of the following are true:
- The current candle’s EMA(120) value is higher than the previous candle’s — i.e., the EMA is rising;
- The Laguerre indicator reads exactly 0;
- The CCI(14) is below −5.
Fig. 1. Buy signal.
TakeProfit is set at 10–15 pips, or a Trailing Stop is used to move StopLoss into profit. StopLoss is placed at the same distance as TakeProfit (10–15 pips). Close the trade or tighten StopLoss toward the current price if the Laguerre indicator rises above 0.9.
Short entry (Sell signal) is the mirror opposite (see Fig. 2):
Fig. 2. Sell signal.
After reaching +5–7 pips profit, move StopLoss to break-even; a 1-pip Trailing Stop works well for this.
Strategy Backtest (Original Rules)
The strategy rules are clear and an Expert Advisor (EA) was coded. We backtested it on EUR/USD at the M5 timeframe from 2010 through February 2011 (see Fig. 3).
Fig. 3. Backtest of the strategy using original rules. Download report.
Results were poor: the EA spent most of the time in drawdown and ended testing deeply in the red — a 50% account loss over one year. Still, the logic appeared promising, so we proceeded to optimize all external parameters.
Expert Advisor Optimization
Optimization was performed on EUR/USD at M5, using January–August 2010 for optimization and the remainder (September 2010–February 2011) for forward testing (see Fig. 4).
Fig. 4. Optimization results and final equity curve. Download report.
The optimized equity curve looks significantly more robust. Though total trades decreased, drawdown periods nearly disappeared — the curve rises steadily. Over the full 12-month forward test, the account balance grew by over 4×.
Conclusion
As often observed in our research, the original (non-optimized) rules failed to deliver profitability — yet the underlying concept proved viable after parameter tuning. Further refinements are likely possible; discussion is welcome on the forex forum.
Download Laguerre indicator | Download EA | Discuss on forum | Optimization set file
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“excerpt”: “Scalping strategy for EUR/USD using Laguerre, CCI(14), and EMA(120) on M5 during GMT 22:00–06:00. Original rules lost 50%; optimized version gained >400%.”,
“slug”: “laguerre-cci-ema-scalping-strategy-eurusd-m5”,
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FAQ
What time zone and session does this strategy target?
It’s designed for the night session: GMT 22:00 to 06:00 — a low-volatility, range-bound period ideal for scalping EUR/USD.
Why did the original strategy fail, and how was it fixed?
The default parameters produced excessive false signals and drawdown. Optimization tuned Laguerre levels, EMA smoothing, and CCI thresholds to improve signal reliability
