intraday DAX strategy 5min mini1€ spread 1

Raul Vg · Thu, 19 Jan 2017 12:16:10 +0000

I share the robot here, so we can improve it and show me the backtest with 200000 bars // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 if Ordersize>15 then Ordersize=15 endif if Time >= HoraInicio and time <= HoraEntradaLimite then c1 = open < close-2 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 if ordersize<1 then ordersize=1 ENDIF endif buy ordersize*6 contract AT close+2 stop endif c2= open > close-1 IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*6 contract AT close-1 stop endif endif endif SET STOP ptrailing 5 Q

This topic has 502 replies, 34 voices, and was last updated 4 years ago by Asteriks.

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01/24/2017 at 7:44 PM #22357

Raul Vg

Also works very well from 09.00h to 09.25h

Raul Vg

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01/24/2017 at 7:54 PM #22358

Nicolas

@Raul

Ok, thanks. Seems clear that the upper equity curve is the one without the ticks backtest.

Another question that I’d like to ask, to confirm my thought about the strategy, are there days with multiple entries/exit on the same candlestick?

Nicolas

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01/24/2017 at 8:12 PM #22359

Raul Vg

If, basically it is the same strategy as before, before I only put an operation at 09.05h depending on the bar that goes from 09.00h to 09.05h. But now, every 5 min during the first 15 min of the day.

example:

* 08.55h to 09.00h: positive bar. Put order at 09.00h of purchase +2 points above, trailing of 5 points.

* 09.00h to 09.05h: negative bar. Put order at 09.05h of sale -1 points below, trailing of 5 points.

* 09.05h to 09.10h: positive bar. Put order at 09.10h of purchase +2 points above, trailing of 5 points.

* 09.10h to 09.15h: negative bar. Put order at 09.15h of sale -1 points below, trailing of 5 points.

In any case, if during any of those 5 minutes the price does not touch the order, the order is closed and the order of the next bar is opened.

Every day, will enter 4 operations, unless you open one and the next bar has not closed, because the accumulation of orders is deactivated.

DEFPARAM CumulateOrders = false

1	DEFPARAM CumulateOrders = false

Raul Vg

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01/24/2017 at 9:07 PM #22365

Nicolas

Ok for the last version and the schedule range, but I was thinking of the first initial version. But that’s OK if this old one is depreciated now.

Nicolas

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01/24/2017 at 10:01 PM #22367

volpiemanuele

@Raul

I add my risk manager and the result is very good. For the first period until april 2016 the result is 38k instead 18k. Thanks

volpiemanuele

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01/24/2017 at 10:17 PM #22368

@Emanuele

Tried adding ur manager, but did not suceed, could you post the code? 🙂

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01/24/2017 at 10:19 PM #22369

volpiemanuele

// Definición de los parámetros del código
DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada

DEFPARAM FlatAfter =173000



HoraEntradaLimite = 091500

HoraInicio = 090000


Margin = 60
Lottfree = 0
orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin))
ordersize=min(38,ordersize)

n=1

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 orderSize*n contract AT close+2 stop
endif

c2= open > close-1

IF c2 THEN

sellshort orderSize*n contract AT close-1 stop
endif
endif
endif




SET STOP ptrailing 5

// Definición de los parámetros del código

DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada

DEFPARAM FlatAfter =173000

HoraEntradaLimite = 091500

HoraInicio = 090000

Margin = 60

Lottfree = 0

orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin))

ordersize=min(38,ordersize)

n=1

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 orderSize*n contract AT close+2 stop

endif

c2= open > close-1

IF c2 THEN

sellshort orderSize*n contract AT close-1 stop

endif

SET STOP ptrailing 5

volpiemanuele

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01/24/2017 at 10:23 PM #22370

volpiemanuele

Tomorrow I replace these instead the previous version. I add in the variable Lottfree the result of the previous veersion that for me is equal (-20 (it’s gain)) in order to allow my risk manager. Thanks

volpiemanuele

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01/24/2017 at 10:29 PM #22371

@emanuele
Getting worse results with this code then the last one.. More trades and more losses

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01/24/2017 at 10:44 PM #22375

volpiemanuele

@CN

For the same period I have 3053 euros of profit.

volpiemanuele

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01/24/2017 at 10:45 PM #22377

@emanuele

Please post a pic so I can see the difference in gain/loss etc

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01/24/2017 at 10:52 PM #22378

volpiemanuele

view attach

volpiemanuele

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01/24/2017 at 11:27 PM #22384

Raul Vg

Try to remove the Fridays, or to see how it works every day of the week separately you can go testing it only on Mondays, only on Tuesdays … and you will see how historically Fridays works badly. For them it changes the value daytrading = 1, by daytrading = 0 on the day that you do not want it to operate. If you put in all 0, except on Friday, it will only operate on Fridays. I personally do not like how Friday works

Raul Vg

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01/25/2017 at 6:14 AM #22385

So what would you guys prefer @raul and @emanuele?

In my opinion there’s more drawdown to the latest daily trading strat.. 45% wins etc…

Thoughts?

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01/25/2017 at 8:50 AM #22386

volpiemanuele

Good Morning,

i start in real with my version because I need to start with 1 lot.Until Friday, I’m on a business trip and I have no time to do other tests including those suggested by Raoul. Thanks

volpiemanuele

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