intraday DAX strategy 5min mini1€ spread 1

• 01/20/2017 at 2:05 PM #21865
  Nicolas

  Took the last code from this post: https://www.prorealcode.com/topic/5-min-mini1e-dax-spread-1/page/3/#post-21815

  Modified the code to be lightweight with only useful code, don’t know if it’s the last version, but this kind of coding should be used in your future development, to gain  some time while backtesting:

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter = 173000 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(18,ordersize) n=1 if Time >= HoraInicio and time <= HoraEntradaLimite then if not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+2 endif ordersize=max(ordersize,1) IF c1 THEN buy ordersize*n contract AT close+2 stop endif IF c2 THEN sellshort ordersize*n 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   once ordersize=1   HoraEntradaLimite = 090600   HoraInicio = 090500   Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(18,ordersize) n=1   if Time >= HoraInicio and time <= HoraEntradaLimite then   if not onmarket then   c1 = open < close-2*pointsize c2= open > close-1*pointsize   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+2 endif ordersize=max(ordersize,1)   IF c1 THEN buy ordersize*n contract AT close+2 stop endif   IF c2 THEN sellshort ordersize*n contract AT close-1 stop endif   endif endif   SET STOP ptrailing 5

   

   

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  stephane, Raul Vg, CN, jonjon

  

  Nicolas

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  01/20/2017 at 3:14 PM #21875
  Alco

  @jonjon

  Dow has a minimum 9 pip SL.

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  CN, jonjon

  

  Alco

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  01/20/2017 at 3:34 PM #21877
  Alco

  @jonjon

  Oh wait, sorry I got it wrong. It has a minimum 9 pip SL before opening. After opening it has a minimum of 6 pip SL.

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  jonjon

  

  Alco

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  01/20/2017 at 3:45 PM #21878
  jonjon

  @Alco. That sounds better. I’ll try getting the data. I actually trade the Dow anyway (I’m currently trading through X_Trader and chart through eSignal). The equivalent contract on PRT to what I trade is the Mini DJ30 Full0317 Future. Hopefully this is similar to the prices you get.

  I’ll let you know how it goes.

  

  jonjon

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  01/20/2017 at 4:12 PM #21881
  BC

  Hi Nicolas

  Is it possible Live trade with “ptrailing” function with V10.2?

  Thanks

  

  BC

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  01/20/2017 at 4:16 PM #21882
  Nicolas

  @Bin

  Yes of course, the reason why people are complaining about it, is about the lack of reliability into backtest in version pre 10.2 and the “0 bar” phenomena.

  

  Nicolas

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  01/20/2017 at 7:34 PM #21900
  4everTrading

  Hello guys,

   

  First of all, Grandisimo trabajo Raul,

  Next…

  This is only an idea, I tried the strategy in 15 minutes timeframe, only changing some data (attach shot3). I have compared the both timeframe in the last year (small backtest) and the results were sightly diferent.

  I changed the code to start both system with only one contract  for really small accounts (sadly my case)

  As you can see, the drawdown is very similar but gains not

  So, what’s your opinion

  HappyTrading

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 once ordersize=1 HoraEntradaLimite = 091600 HoraInicio = 091500 Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) if Ordersize>18 then Ordersize=180 endif n=1 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//+1 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*n contract AT close+2 stop endif c2= open > close-1 IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 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*n 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   once ordersize=1   HoraEntradaLimite = 091600   HoraInicio = 091500   Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) if Ordersize>18 then Ordersize=180 endif n=1   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//+1 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*n contract AT close+2 stop endif   c2= open > close-1   IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 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*n contract AT close-1 stop endif endif endif         SET STOP ptrailing 5

   

  

  4everTrading

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  01/20/2017 at 7:37 PM #21909
  Raul Vg

  Jonjon, Could you pass the backtest from the day of June 2014 that gives you the error until today? Counting that you have it in the dax of 25 € per point, it would have to divide everything between 25.

  

  Raul Vg

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  01/20/2017 at 7:42 PM #21910
  Raul Vg

  Hi Carlos, thank you very much, I see in your backtest a benefits curve that is not very attractive and an excessive max drawdown, for example, for the last robot that I have shared the max drawdown is half and profits more than double

  

  Raul Vg

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  01/20/2017 at 7:43 PM #21911
  Raul Vg

  The gain / loss ratio is practically half

  

  Raul Vg

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  01/20/2017 at 7:51 PM #21912
  4everTrading

  Thanks for the comment, what capital do you think is the best to start in live account. I would like to get code to start with 2000€ of capital and trying to asuming a real risk

  Saludos de Madrid.

  

  4everTrading

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  01/20/2017 at 8:34 PM #21918
  jonjon

  Raul – here you go. Your previous code exactly as it was with a trailing stop of 5. Problem seems to be with the data around end June & July 2014. The backtest here is from 1 Aug 2014 until 30 Dec 2016.

   

  Have a good weekend guys. Catch you Monday

  

  jonjon

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  01/20/2017 at 8:34 PM #21921
  Nicolas

  @carlos

  With the same strategy you are waiting 3 times longer (3 bars of 5 minutes in a 15 minutes timeframe) to place and move stoploss with the trailing stop. As you may already know it, nothing happens between 2 bars in probacktest.

  

  Nicolas

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  01/20/2017 at 8:59 PM #21922
  Raul Vg

  Hi jonjon, Many thanks for your time and for helping me, there is one thing that bothers me, and is that in my backtest of a year and a half earns 33,000euros, and in yours 2 and a half years with a very good profit curve earns 600,000 / 25 = 24,000 euros. I do not understand how it can be so

  

  Raul Vg

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  01/21/2017 at 12:20 AM #21929
  volpiemanuele

  Hi,

  at this time, for me,  the best code is this. I have modified the code posted from nicolas in relation to position size leaving only my position size and optimizing the best position trade in max 38 lots. Thanks

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada // La posición se cierra a las 17:29 p.m. si no toca ni stop ni take. DEFPARAM FlatAfter =173000 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(38,ordersize) n=1 if Time >= HoraInicio and time <= HoraEntradaLimite then if not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF c1 THEN buy ordersize*n contract AT close+2 stop endif IF c2 THEN sellshort ordersize*n 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   // La posición se cierra a las 17:29 p.m. si no toca ni stop ni take. DEFPARAM FlatAfter =173000 once ordersize=1   HoraEntradaLimite = 090600   HoraInicio = 090500     Margin = 60 Lottfree = 0 orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(38,ordersize) n=1       if Time >= HoraInicio and time <= HoraEntradaLimite then   if not onmarket then   c1 = open < close-2*pointsize c2= open > close-1*pointsize     IF c1 THEN buy ordersize*n contract AT close+2 stop endif   IF c2 THEN sellshort ordersize*n contract AT close-1 stop endif   endif endif   SET STOP ptrailing 5

  Thanks

  

  volpiemanuele

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