Dax survivor long/short mean reverting/breakout

Dax survivor long/short mean reverting/breakout

Dear all

I have tested a slight variation on the them of my previously described strategy on short TF.

This time I took a very long timeseries, used Daily timeframe and modified the exit strategy in term of number of bars, all is optimized with Reiner’s seasonal parameters

Although the return of 180%  with a drawdown of  ~20k on a such a long timeseries is not great, I though it was worth posting because of the ability of this strategy to survive all the 1998/2001/2008 shocks and because it’s relative smoothness.

Any idea to reduce the drawdown even more would be greatly appreciated.

Best Regards

Francesco

 

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  1. Cosmic1 • 04/29/2017 #

    Hi Francesco, thanks for your hard work. I have been playing around with your strategy but can’t get an IN/OUT /WF sample to work. The best I can get is either a slight decline, flat or very slight profit on the out sample for the last period and no where near 50% efficiency. Did you test in this way, what are your views?

  2. Francesco78 • 04/29/2017 #

    Hi Cosmic1
    Thank you for your comments.
    what I did is to optimize the code for different time frames, we could optimized in order for the strategy to work for the last 2 years or 5 years, but in my opinion by doing so we will get an insufficient number of trades in order to make the sample statistically significative.
    From what I remember I agree with you, if you do WF from the beginning of the time series then the last period is flat or slightly negative, if instead you make the optimization starting from more recent time, i.e. 2007 in that case you get an upward slope.
    Id be happy to discuss further.
    Best Regards
    Francesco 
     

  3. keemax73 • 04/29/2017 #

    Ciao Francesco78, i tried to put your strategy in real mode but did not generate any movement.
    What am I doing wrong ?
    Thank you.

  4. Francesco78 • 04/29/2017 #

    Hi Keemax, I dont have it on real at the moment, in any case the strategy is very long term and dont generate a big number of trade so it is reasonable that you dont have any signal if you put it just for few days, I suggest to do a backtesting starting from the day you you have chosen to put in on real and see if there is a discrepancy from back test and real.
    I hope that helps.
    Francesco 

  5. Francesco78 • 04/29/2017 #

    I did a little bit of work on that and now the results looks better and more stable.
    Please let me know what you think!
    Regards
    Francesco 

  6. Francesco78 • 04/29/2017 #

    I did a little bit of work on that and now the results looks better and more stable.
    Please let me know what you think!
    // DAX(mini) - IG MARKETS
    // TIME FRAME 1Day
    // SPREAD 1.0 Point

    DEFPARAM CumulateOrders = False

    //DEFPARAM FLATBEFORE =090000
    //DEFPARAM FLATAFTER =210000
    golong = 1
    goshort = 1
    exitafternbars =1 // the strategy has an exit strategy of the type n bars

    // variables optimized
    adxvallong = 28 // set the adx value for long position under which the strategy is mean reverting and above which the strategy is breakout
    atrmaxlong = 250//set the max vol accetable for long position
    adxvalshort = 20// set the adx value for short poistions under which the strategy is mean reverting and above which the strategy is breakout
    atrmaxshort = 250//set the max vol acceptable for short positions

    along= 30//number of cons bar for a long trade
    mlong = 1// sets the atr multiplier to enter into a mean reverting strategy for long positions
    nlong = 1.2//sets the atr multiplier to enter into a breakout strategy for long positions

    ashort=7//number of cons bars for a short trade
    mshort = 1//sets the atr multiplier to enter into a mean reverting strategy for short positions
    nshort = 2//sets the atr multiplier to enter into a breakout strategy for short positions
    //

    vollongok = atr<atrmaxlong
    volshortok = atr<atrmaxshort
    brekoutlong = marketregimeindicator>adxvallong
    meanreversionlong = marketregimeindicator <adxvallong
    brekoutshort = marketregimeindicator>adxvalshort
    meanreversionshort = marketregimeindicator<adxvalshort
    adxperiod = 17
    atrperiod = 13
    marketregimeindicator = adx[adxperiod]
    atr = AverageTrueRange[atrperiod]

    positionshort = round(1000/atr) //define the size of short positions
    positionlong = saisonalpatternmultiplier*round(1000/atr/2.16666) // define the size of long positions

    // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade)
    ONCE January1 = -3//3 //0 risk(3)
    ONCE January2 = 2//0 //3 ok
    ONCE February1 = 3 //3 ok
    ONCE February2 = -3//3 //0 risk(3)
    ONCE March1 = 0//3 //0 risk(3)
    ONCE March2 = 3//2 //3 ok
    ONCE April1 = 3 //3 ok
    ONCE April2 = 3 //3 ok
    ONCE May1 = 3//1 //0 risk(1)
    ONCE May2 = 1 //0 risk(1)
    ONCE June1 = -2//1 //1 ok 2
    ONCE June2 = 3//2 //3 ok
    ONCE July1 = -2//3 //1 chance
    ONCE July2 = 1 //3 ok
    ONCE August1 = 3 //1 chance 1
    ONCE August2 = 3 //3 ok
    ONCE September1 = 2//3 //0 risk(3)
    ONCE September2 = 0 //0 ok
    ONCE October1 = 3 //0 risk(3)
    ONCE October2 = 3//2 //3 ok
    ONCE November1 =3// 1 //1 ok
    ONCE November2 = 3 //3 ok
    ONCE December1 = 3 // 1 chance
    ONCE December2 = 3//2 //3 ok

    // set saisonal multiplier
    currentDayOfTheMonth = Day
    midOfMonth = 15
    IF CurrentMonth = 1 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = January1
    ELSE
    saisonalPatternMultiplier = January2
    ENDIF
    ELSIF CurrentMonth = 2 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = February1
    ELSE
    saisonalPatternMultiplier = February2
    ENDIF
    ELSIF CurrentMonth = 3 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = March1
    ELSE
    saisonalPatternMultiplier = March2
    ENDIF
    ELSIF CurrentMonth = 4 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = April1
    ELSE
    saisonalPatternMultiplier = April2
    ENDIF
    ELSIF CurrentMonth = 5 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = May1
    ELSE
    saisonalPatternMultiplier = May2
    ENDIF
    ELSIF CurrentMonth = 6 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = June1
    ELSE
    saisonalPatternMultiplier = June2
    ENDIF
    ELSIF CurrentMonth = 7 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = July1
    ELSE
    saisonalPatternMultiplier = July2
    ENDIF
    ELSIF CurrentMonth = 8 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = August1
    ELSE
    saisonalPatternMultiplier = August2
    ENDIF
    ELSIF CurrentMonth = 9 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = September1
    ELSE
    saisonalPatternMultiplier = September2
    ENDIF
    ELSIF CurrentMonth = 10 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = October1
    ELSE
    saisonalPatternMultiplier = October2
    ENDIF
    ELSIF CurrentMonth = 11 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = November1
    ELSE
    saisonalPatternMultiplier = November2
    ENDIF
    ELSIF CurrentMonth = 12 THEN
    IF currentDayOfTheMonth <= midOfMonth THEN
    saisonalPatternMultiplier = December1
    ELSE
    saisonalPatternMultiplier = December2
    ENDIF

    endif

    //long meanreversion
    IF (abs(open-close) > (atr*mlong) and close < open and golong and vollongok and meanreversionlong) THEN
    buy positionlong CONTRACTS AT MARKET
    ENDIF

    // long breakout
    IF (abs(open-close) > (atr*nlong) and close > open and golong and vollongok and brekoutlong) THEN
    buy positionlong CONTRACTS AT MARKET
    ENDIF

    //short meanrevesrion
    IF (abs(open-close) > (atr*mshort) and close > open and goshort and volshortok and meanreversionshort) THEN
    sellshort positionshort CONTRACTS AT MARKET
    ENDIF

    // short
    IF (abs(open-close) > (atr*nshort) and close < open and goshort and volshortok and brekoutshort) THEN
    sellshort positionshort CONTRACTS AT MARKET
    ENDIF

    if exitafternbars then
    IF shortonmarket and BarIndex - TradeIndex >= ashort Then
    exitshort positionshort contracts at Market
    EndIF
    endif

    if exitafternbars then
    IF longonmarket and BarIndex - TradeIndex >= along Then
    sell positionlong contracts at Market
    EndIF
    endif

    p = 6
    l = 7

    set target profit p*atr
    set stop ploss l*atr

    Regards
    Francesco 

  7. Khaled • 04/29/2017 #

    Hi Francesco , thank you for sharing your hard work. Any idea why all orders are executed at 01.00 am (French/Italian time)?
    Thanks
    Khaled

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