intraday DAX strategy 5min mini1€ spread 1

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  • 01/31/2017 at 11:07 AM #23216
    Lyny

    @ Raul, is it right? to jump from 3 to 30 in size? i got a big loss today. the last long was right but to be stop out with loss, when it should be long run for profit.

    01/31/2017 at 11:24 AM #23223
    Lyny

    @Grahal, how come i got a short entry at 8:05 with a big loss but you are not (in your demo)? And your size move from 42 to 31, but my one from 3 to 30. Did you adjust n ? and the code?

    01/31/2017 at 12:05 PM #23236
    GraHal

    @Lyny Did you adjust TS to 6 as I suggested? I have not adjusted the code except TS to 6. My previous lot size from yesterday must have been 42, my 1st trade was a loss and so my lot size dropped to 31 for my next trade, Your previous lot size was 3 from yesterday and your first trade must have been a Gain (?) and so your lot size increased to 30 for your next trade.

    (PS Aha you got me thinking now … I wrote above and then looked at my v3 Trades and my 1st trade was a gain … so yeah why did lot size then drop to 31??? I think I’ll follow my own advice below!!!! :)) 

    I suggest you read the many words on this thread again from where Raul provides V3 and states how it works (Link below) read from that page to this page again and again. I suggest this cos it’s kinda scary for me (and more scary for you?) that you are using the ATS but haven’t got your head around how it works / what to expect?

    https://www.prorealcode.com/topic/5-min-mini1e-dax-spread-1/page/17/#post-22785

    I’m not great at reading other folks code and when I use an ATS and not understand how it works then I make sure the lot size is low (max 5 @ £1 per point) and I test on Demo first anyway for months!  Please I suggest  you set your max lot size to 5 or better still use one of the other 3 versions (v1, v2, v2-mod) where the code has been ‘toned down’ for lower lot size. If you use V3 and you set max lot size to 5 and the ATS is QUIT due to the ATS wanting to trade  at 10 or 30 or whatever then you will kick yourself again tomorrow??

    Attached are today’s results for v1, v2 and v2-mod, not great, but least you can see that they use low lot size and would be better for you until you get your equity past your critical starting 10K then you not be so twitchy??

    Cheers
    GraHal

    01/31/2017 at 12:15 PM #23244
    GraHal

    Aha Further to above, but please read all above also @Lyny …  I bet the drop to 31 from 42 is due to prior losing trades before the gain this morning. The lot size ‘cranks up and down due to a winning streak or losing streak’. I’ll check later and report back but I just gotta do my tax return now  … last day today 31 Jan and I’ve not started it yet due to all this excitementon here!:)

    GraHal

    01/31/2017 at 12:29 PM #23245
    Lyny

    @Grahal, apart from all issue of the lot size, and @Raul. it seems there is something not correct here, at the last trade at 8:16, or start a new trade at 8:15 (as we are using 5 min chart), it seems there is no signal for a long trade, could not find any point (open < close – 2 ), but have an entry for long here? or am I wrong at something? And idea? I attached 1 second chart here for a double check.

    01/31/2017 at 1:53 PM #23257
    GraHal

    Just having a break from my tax return during lunch 🙂


    @Lyny     no attachment to yours above and anyway I think you may need (?) a tick by tick chart to see if …

     // Long entry conditions
    c1 = open < close-2
    if not onmarket then
    IF c1 THEN

    Attached shows above condition met at 08.16 on 31 Jan

    GraHal

    01/31/2017 at 1:55 PM #23259
    Brage

    Hi

    Following the fast progress in this thread with this interesting idea. Thanks for sharing.

    01/31/2017 at 2:04 PM #23263
    GraHal

    attached showing the Long at 08.16 31 jan. @Lyny I was wrong … you wouldn’t need a tick chart  to see the open < close-2 as it is the 08.10 that fulfils the condition open < close-2. But you may need a tick chart to see the entry condition

    buy ordersize*n contract AT close+2 stop/

    01/31/2017 at 2:19 PM #23274
    GraHal

    Brage ha I think progress is a bit too fast 🙂 … my fingers are going faster than my brain (again!). back to my tax return now! 🙁

    Had to close the loop before I go … attached 1 tick chart showing entry at 11681.9 after previous candle closed at 11682.9 so fulfilling the stop entry of -1

    01/31/2017 at 2:35 PM #23280
    GraHal

    oh what a tangled web we weave 🙂 and all cos Nicolas won’t let us edit / correct our errors more than twice 🙂 the entry stop is close +2 and I made it look like close -1. You’d need a tick chart showing the Close of previous candle to be sure, but got to do my tax return! 🙂

    01/31/2017 at 3:45 PM #23291
    mamio

    Do you want to  see what happend to my account this morning? Whatch this video at slow motion. See how a long profitable trade can become a short loosing trade.

    https://dl.dropboxusercontent.com/u/34289751/Daxm5m.mp4

    1 user thanked author for this post.
    avatar GraHal
    01/31/2017 at 5:37 PM #23305
    Raul Vg

    Hello! Today has been a bad day if, seems done on purpose. I still do not understand why the backtest does not look like what actually happens. It is necessary to continue working and studying this, the idea seems promising, but we must continue working

    01/31/2017 at 6:49 PM #23315
    manel

    Raul –  by the way thanks so much for your continued great work on this topic, much appreciated – Part of it does seem to be slippage and fast moving markets in real vs demo but that does not explain every difference unfortunately. I think it could also be sometimes due to the backtest engine/software in demo and live (both in 10.2 and 10.3) may not be the exact same piece of code ie different code (see my example below), so that may influence results slightly sometimes. That may explain it but Nicolas (who is doing a fantastic job here – many thanks to you) has obviously more knowledge of this than anyone here to confirm if this could be a possible scenario.

    I have also come across over the past few days a potential bug in the backtest software in the Demo 10.3 tick by tick optimisation engine which I will post in a separate topic for someone to look at (when I get a bit of time to take pics, write it up etc). This does not influence actual backtest results, just optimisation so does not affect the current topic under discussion but highlights possible inherent software issues that could occur.

    In the meantime as rightly suggested by yourself and others here, everyone please treat results with a bit of caution. And especially to any newbies here, please make sure you are comfortable with the risk and tone it down at the start and live to fight another day. This is still a new ATS so while the good people here iron out the creases it’s better to protect your capital in the meantime, there will always be time and opportunities to make profits in the future.

    01/31/2017 at 7:11 PM #23316
    Raul Vg

    Well said manel, there must be some mistake somewhere, but we must be well on the way when changing the time the robot does not work on the backtest, I think we are well on track in time, timeframe and how to enter.

    If the strategy did not work, the backtest would give us other schedules as good and would work in other assets, but apparently only works in the dax and opening.

    We are on track, but we have to keep working and do not throw the towel on the first bad day.

    1 user thanked author for this post.
    avatar manel
    01/31/2017 at 7:34 PM #23320
    manel

    Agreed Raul. You have already identified the core principles and parameters of the strategy which is the difficult bit and they do look fairly robust at present so plenty of good things to work with. It’s just a case of persevering, testing and refining certain things as you go along. No sense in quitting this early on, you need to give any strategy some time to breathe for a while which is why risk management at the start is always important.

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