intraday DAX strategy 5min mini1€ spread 1

• 01/24/2017 at 3:32 PM #22279
  Nicolas

  @Raul & jonjon

  You’ll have to verify each order to see if the strategy perfom the exact same way when you expand the backtest history.

  I think the main cause could be the lot size calculation that changed accordingly to gain and loss, so if the serie start at a different time, it could be completely different if the strategy was started the day before or the day after… That’s the main reason a trading strategy should always be tested with constant lot size.

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  jonjon

  

  Nicolas

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  01/24/2017 at 3:36 PM #22280
  jonjon

  Hi all. Did anyone else’s system not fire this morning? This happened to me. I contacted PRT and they said they had no report of any problems although I see at least one other member (above) having a similar problem.

  

  jonjon

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  01/24/2017 at 3:52 PM #22281
  volpiemanuele

  @nicolas

  hi,

  today in Germany 30 in real account no trade  but in demo account the same strategy today trade. Why ?

  Just now in demo account trade with wall street cash with little gain (ptrailin 5.4 and 5..two version). Thanks

  

  volpiemanuele

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  01/24/2017 at 3:55 PM #22282
  Raul Vg

  Hi jonjon, that has happened proque in the next bar of 5 minutes the price has not reached to touch the opening order, to be scalping, I look for jerks in the market like yesterday. And if they do not occur, better not to enter.

  Let’s try what Nicolas says, try this robot please. Just put a contract steadily, although not the same to not increase or decrease, we can see what happens in 2013.

  By the way, do you pay for having 200,000 bars in DAX?

  

  Raul Vg

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  01/24/2017 at 3:59 PM #22286
  Raul Vg

  Check that in the demo you have the same version as in real, because earlier did not launch orders, but bought directly, now launches the order and if it does not touch the price in the next bar, it is eliminated because there has not been enough movement Strong in price and no longer worth risking. If someone wants to try to keep the order, I could try, I would not know how to do this so that the order stays in the market all day in case it touches at any time.

  

  Raul Vg

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  01/24/2017 at 4:06 PM #22287
  mamio

  @volpiemanuele

  What strategy on Dow are you running?

  The minimum trailing stop distance with IG seems to be 10 points for my demo account. What about you?

  

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  01/24/2017 at 5:35 PM #22310
  Raul Vg

  Hi guys, Testing things in my head, I just happen to something new, maybe a little crazy, but the backtests give a good result.

  It is basically the same as it has been until now, but every 5 minutes the first 15 minutes of the day, ie at 9:00 will place an order depending on the direction of the bar at 8:55 p.m., at 9:05 p.m. another with The direction of the bar from 9:00 p.m., at 9:10 p.m. another order with the direction of the bar of 9:05 and finally at 9:15 p.m. another with the direction of the bar of 9:10 p.m.

  I do not put accumulator of positions, I always always put 10 contracts.

  The problem when performing the backtest is that at most by backtest can perform 500 checks tick by tick, when performing 4 operations daily, reaches this figure in a few months, so you have to go backtesting step by step. In this case it does not influence the number of contracts because it always introduces the same.

  Attached captures the backtests step by step.

  As in the previous program, there are days that work better than others. It works especially well operating from Monday to Wednesday or from Monday to Thursday, without operating on Fridays.

  

  Raul Vg

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  01/24/2017 at 5:37 PM #22317
  CN

  Very nice Raul! Great work.

  Send the code so I can backtest aswell

  

  CN

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  01/24/2017 at 5:44 PM #22318
  Raul Vg

  That’s how the chart works every day of the week.

  In this case, as there is no accumulator of contracts, no matter how it fails on Fridays because it does not cut any winning streak, each day is independent of the previous one.

  For that reason while in the long of benefits, can be operated on Fridays also Attached step by step because the backtest has a maximum of 500 checks tick by tick.

  

  Raul Vg

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  01/24/2017 at 5:48 PM #22323
  Raul Vg

  This is the code to operate every day of the week, if you want to modify it, you have to put a 0 instead of 1, where it puts daytrading = 1.

   

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 HoraEntradaLimite = 091500 HoraInicio = 090000 if dayofweek=1 then //Monday daytrading=1 endif if dayofweek=2 then // Tuesday daytrading=1 endif if dayofweek=3 then // Wednesday daytrading=1 endif if dayofweek=4 then //Thursday daytrading=1 endif if dayofweek=5 then // Frifay daytrading=1 endif if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 then c1 = open < close-2 if not onmarket then IF c1 THEN buy 10 contract AT close+2 stop endif c2= open > close-1 IF c2 THEN sellshort 10 contract AT close-1 stop endif endif endif SET STOP ptrailing 5

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  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   DEFPARAM FlatAfter =173000       HoraEntradaLimite = 091500   HoraInicio = 090000     if dayofweek=1 then //Monday daytrading=1 endif if dayofweek=2 then // Tuesday daytrading=1 endif if dayofweek=3 then // Wednesday daytrading=1 endif if dayofweek=4 then //Thursday daytrading=1 endif if dayofweek=5 then // Frifay daytrading=1 endif     if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1  then     c1 = open < close-2 if not onmarket then IF c1 THEN   buy 10 contract AT close+2 stop endif   c2= open > close-1   IF c2 THEN   sellshort 10 contract AT close-1 stop endif endif endif         SET STOP ptrailing 5

   

  

  Raul Vg

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  01/24/2017 at 5:49 PM #22324
  Joachim Nilsson

  Sick results Raul!! You mind sharing the code?

  

  Joachim Nilsson

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  01/24/2017 at 5:56 PM #22325
  CN

  @raul
  What happends if we add an acum to the daytrade code?

   

  

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  01/24/2017 at 6:01 PM #22326
  Raul Vg

  You could add both an accumulator as in the previous version, as a risk manager that as benefits increase, contracts rise. We would have to see how the results are with this.

  

  Raul Vg

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  01/24/2017 at 6:12 PM #22334
  Nicolas

  @everyone

  Do you find any differences in backtests when you uncheck the tick/tick functionnality?

  

  Nicolas

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  01/24/2017 at 6:51 PM #22342
  Raul Vg

  Nicolas, this is the difference in the same period of time.

  

  Raul Vg

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