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Discussing the strategy VECTORIAL DAX (M5)
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Here is my version, with a different angle (WF). Improvments and suggestions are welcome!
// ROBOT VECTORIAL DAX V.3 // M5 // SPREAD 1.5 // by BALMORA 74 - FEBRUARY 2019 /// winnie version 10/04/12019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 ONCE BarLong = 950 //EXIT ZOMBIE TRADE LONG ONCE BarShort = 650 //EXIT ZOMBIE TRADE SHORT MoneyManagement = 2 //MoneyManagement = Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased. RiskManagement = 1 //RiskManagement = 0 = risk management off and 1 = risk management on. I do not recommend using this it can blow up your account very easily! Capital = 10000 MinBetSize = 1 //MinBetSize = The minimum bet size allowed for the instrument. RiskLevel = 10 //RiskLevel =A factor that changes how fast position size increases as profit increases. Only relevant if Risk Management is turned on. Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize) // TAILLE DES POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 20 CondSell1 = ANGLE <= - 24 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSizeLong contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSizeShort contract at market SET STOP %LOSS 2 ENDIF //VARIABLES STOP SUIVEUR ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF //EXIT ZOMBIE TRADE IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barlong THEN SELL AT MARKET ENDIF ENDIFHi Winnie. Thanks for sharing your researchs From my side I worked on an improved version based on Paul’s suggestions I kept the values of original angles but I did a backtest using Walk Forward to optimize the variable “lag” and I’m OK like you for lag = 1.5. Otherwise I added a 3rd condition for LONG and SHORT based on the orientation of a medium-term moving average : CondBuy3 = average[100](close) > average[100](close)[1] CondSell3 = average[20](close) < average[20](close)[1] It gives less number of positions / less drawdown and a better profit factor. Below are the results and the .ITF file. It is quite possible that the algorithm is over fitted and over optimized. Reason why I put the code in account demo to observe its behavior over 6 months to 1 year… I will it share it after….// ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= - 40 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIFIs there redundant code in this strategy or can anybody offer a reason for the following please? When I optimise the angles, it seems that almost any value gives the same figure for Gain … see attached. Attached is related to the code version immediately above this post.Balmora74 thanked this postvonsai True!!I tested your code on nasdaq.
changed sl and tp and time.
// ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 150000 and time <= 220000 CtimeB = time >= 150000 and time <= 220000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 8 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 5 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 30 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF
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| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/24/2019 |
| Status: | Active |
| Attachments: | 470 files |
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