intraday DAX strategy 5min mini1€ spread 1

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  • 01/28/2017 at 10:39 AM #22822
    Raul Vg

    I tried the backtest on each day and for every hour. That is to say:

    Only on Mondays at 9am

    Only on Mondays at 9.05

    Only on Mondays at 9.10

    …

    Only on Mondays at 9.30

    Only on Tuesdays at 9am

    Only on Tuesdays at 9.05

    …

    For that reason of the design of the program, looks for example as it works only Wednesday at the 9th. When functioning so bad historically, I refuse to use that schedule on Wednesdays. However, only Wednesday at 9.05 works very well. I attach the graphics.

    So, what do we want to operate on Wednesday at 9 o’clock if we historically see that it does not work well?

    It is clear that the market trend can change at any time, and start working well now Wednesday at 9. but now we must stick to the history of the last year and a half.

    For this reason I have chosen the best hours each day individually.

    01/28/2017 at 11:23 AM #22828
    Nicolas

    A real trend filter made of volumes would be an interested things to test, such as VWAP.

    3 users thanked author for this post.
    avatar jonjon, avatar CN, avatar Joachim Nilsson
    01/28/2017 at 1:43 PM #22836
    GraHal

    @Lyny you asked about lot size. Enter a max lot size that you are comfortable with (re your own risk profile). If the ATS tries to trade higher than ‘your personal max lot’ the ATS will stop; you will then be happy or sad depending if that stopped / Quit trade made profit or loss 🙂

    See attached, Rauls latest version 3 … from Jul 16 starts at 1 lot but on 18 Jan 17 could be circa 300 lots. The 300 lots would be funded out of profits made by the ATS.

    We all  / you need to understand how the code works re lots size and adjust according to your own risk profile. It’s not difficult … even I can do it! 🙂 Raul kindly even explains in words in the link below along with the V3 code.  https://www.prorealcode.com/topic/5-min-mini1e-dax-spread-1/page/17/#post-22785

    Bear in mind that, even though 300 lots would be traded out of profits, if there were some exceptional event and the DAX  gapped down 50 points (-0.4% – feasible) and the ATS was Long, then the 5 point stop loss could be filled at 50 points loss! A sobering thought @ £1 per point spreadbet 50 x 300 x 1 = £15,000 reduction in profits in seconds! Not missing something  am I guys? 🙂

    I accept the risk and thank Raul, Emanuel, Carlos and others on here for the opportunity, but we all (especially newbies?) need to be careful what we could be getting into at such high lot values. As Raul says (link above) all variables are adjustable to suit individuals … so get into the code and above all control risk to your starting equity so you live to fight another day?

    GraHal

    01/29/2017 at 12:04 AM #22892
    Lyny

    @Grahal, I am still confused. I mean the trade size reconfirmed pop up before your system start running. For other normal strategies, I fill in the size I want to trade, for example 2 or 5. But in this robot strategy, should I fill 2 for start system running , or  the maximum of contracts happen after accumulating , for example 300 as u said?

    01/29/2017 at 12:05 PM #22910
    GraHal

    @Lyny just to be clear, I never said enter 300 🙂 Do you trade 300 lots on any other system or manual? Is 300 lots an accepted part of your personal risk profile? If No, then you don’t want to be trading 250 – 300 lots on this ATS.

    If you don’t want to go into the code (?) and reduce the variables down to a level that sits well with your personal risk profile then the only way to limit risk is by the entering the max lot you are comfortable to trade in that ‘trade size pop up’. The ATS should Quit / End / Cease if the ATS tries to trade above the max levl you input in the pop up.

    Having said that, I can’t recall an ATS stopping and the reason being ‘max level exceeded’? I feel sure I’ve not entered the correct max lot size in the 200 ATS I run on Demo. That is what Demo Account is there for … so enter a max of 2 and set Raul V3 going on Demo and you will find out tomorrow morning probably? I’ll drop one of mine to 2 also and we’ll report back?

    Cheers
    GraHal

    01/29/2017 at 12:24 PM #22911
    Lyny

    @GraHal and Raul, Thank you very much. another thing, i consider that Raul V3 seems has no stop setting right? so the margin will be calculated as Tradesize x margin factor, for DAX, i just do a backtest for 02/jan 2017 to 27/jan/2017, there a couple of days, tradesize go up a lot, 275 point (margin factor = 1%) -> £3188975 in value x 1% margin factor = £31889.75 margin require. so it means with £10000 initial capital, the trade will be stop and the account will be cut off all. Am i right?

    Advice me, if i just have £10000 capital please

    01/29/2017 at 12:29 PM #22915
    Lyny

    back test on version DAX v3, i have changed all time back 1 hour for London time. the result come out look very good, but can i perform the trade with initial capital of £10000?

    01/29/2017 at 12:57 PM #22921
    GraHal

    @Lyny Raul V3 does have a stop, scroll right to the bottom, you may even have to click in the code and use the down arrows on the keyboard to get to the bottom line.  I had to change the stop to 6 (from 5) as IG had Quit my V3 due to min stop distance  (in UK anyway) being 6 points.

    By the time you are at lot size 275 your starting capital  of 10k will have grown and be at some figure > 10k. Did you work out  £3188975 margin as per attached?

    01/29/2017 at 1:00 PM #22922
    Lyny

    here i attached infor about Dax and IG requirement for Dax. So, am I still safe? as with the backtest above, by 17/01/2017 my capital go up to ~ £19000, then I am not fall below 50% of margin requirement of £31889.75, and also the trade in and out quickly, does not last 24 hours. AM I SAFE with £10k start with? Advice me please!

    01/29/2017 at 1:03 PM #22927
    CN

    @lyny, yes, you are safe.

    01/29/2017 at 1:06 PM #22928
    Lyny

    hi Grahal, please look at my attachment of ORDER LIST pictue on 18 Jan 2017, on value colume. Value = £3186975.00 . And i scoll down all to bottom of the code, there is endif, don’t see trailing stop set there? can find it?

    01/29/2017 at 1:20 PM #22934
    GraHal

    @Lyny see attached for Trailing Stop 5 on Line 184.

    Maybe you should keep lot size to less than 125 euro (GBP equivalent??) and then margin factor will not exceed 0.5%??

    01/29/2017 at 1:23 PM #22937
    Lyny

    it is funny, my code end at line 182??? so, should i put extra line 184 for trailing stop as u said on?

    01/29/2017 at 1:25 PM #22938
    Lyny

    @GraHal, ok, got it.

    01/29/2017 at 1:28 PM #22940
    GraHal

    @Lyny How did you get V3 onto yourPlatform … copy and paste or save v3 and import (safest method) cos if you copy and pasted then seems you missed off Line 184??  You deffo need Line 184 no doubt about that.

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