intraday DAX strategy 5min mini1€ spread 1

• 01/23/2017 at 11:03 AM #22118
  volpiemanuele

  @alco

  Considering that I have other strategies I have shared the capital and devoted to this 400 euro.

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  Alco

  

  volpiemanuele

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  01/23/2017 at 11:38 AM #22123
  Raul Vg

  In eur / usd does not work because when placing the order put +2 points above and -1 below, in the currency pairs move around 0’00001, ie, if the eur / usd puts close In 1’05123, when placing the order in +2, you are putting it in 3.05123, something that will never touch. In currency pairs you have to move with decimals.

   

  en eur/usd no funciona porque al poner la orden la pones +2 puntos por encima y -1 por debajo, en los pares de divisas se mueven en torno a 0’00001, es decir, que si el eur/usd pone cierra en 1’05123, al poner la orden en +2, la estas poniendo en 3,05123, algo que nunca llegará a tocar. en los pares de divisas tienes q moverte con decimales.

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  Raul Vg

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  01/23/2017 at 11:58 AM #22124
  mamio

  Maybe we could use 1 hour bar candle and enter at the breakout of max or min of the last ten bars. What do you think?

  

  mamio

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  01/23/2017 at 3:04 PM #22142
  GraHal

  Hi Guys

  When I run Algo 5MIN TSL5 CON GSTOR RIESGO with tick-tick OFF I get zerobars, big profits, few losses and 40K overall profit (Capture 1 & 2 attached) .

  When I run Algo 5MIN TSL5 CON GSTOR RIESGO with tick-tick backtest  ON I get zerobars, small profits, lots of small losses and £200 overall loss ((Capture 3 & 4 attached).

  Are you sure you are using tick-tick optimise backtest correctly?

  GraHal

   

   

  

  GraHal

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  01/23/2017 at 3:19 PM #22148
  GraHal

  Correction to above 1st paragraph should read … 30k overall profit

  GraHal

  

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  01/23/2017 at 3:45 PM #22153
  Raul Vg

  Hi GraHal, Do you live in England, have you changed the time of entry? There is an hour less than in Spain.

  

  Raul Vg

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  01/23/2017 at 4:03 PM #22154
  Raul Vg

  Hi guys, I have decided to try a new thing, to see that days of the week fail more and what days more correct.

  For them I have done 5 different backtest, one for each day of the week, and as you can see in the attachments on Friday it fails a lot, and Thursdays are not very good either.

  The last two catches with the program only operating from Monday to Wednesday and the other from Monday to Thursday, I decide to exclude Friday because it is the day that most fails.

  I can not attach all the captures, these are here Monday, Tuesday, Wednesday and Thursday.

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  manel

  

  Raul Vg

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  01/23/2017 at 4:04 PM #22160
  Raul Vg

  These catches are from Friday, and from the backtest from Monday to Wednesday and from Monday to Thursday

  

  Raul Vg

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  01/23/2017 at 4:08 PM #22165
  Joachim Nilsson

  Nice Raul. Wold you like to post the code with the best profit?

  

  Joachim Nilsson

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  01/23/2017 at 4:26 PM #22166
  volpiemanuele

  Hi,

  In demo today positive result on Wall Street cash….tonight I share the strategy for this instrument. I think to share my analisys of day trading that Raoul said. Yesterday I start this work that I think to finish tonigh. Tanks

   

  

  volpiemanuele

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  01/23/2017 at 4:31 PM #22167
  jonjon

  Hi guys

   

  I’ve been busy with my 1 year-old being sick and at home today. I see that there has been a lot of talk over the weekend and a few different versions of the code. I haven’t had chance to read and digest everything so I will be looking at an older version of the code. As I mentioned on Friday I had a very quick look at the Dow (5 min and also 10 min out of interest).

   

  Product: Mini DJ30 Full0317 Future

  5min: 200,000 bars goes back to April 2014.

  10min: goes back to Sept 2012. I have tested from 2 Jan 2013.

   

  I’ve had to be a bit more aggressive with the lot sizing to get reasonable returns which I think is OK with the Dow rather than the Dax. In particular I start off with 5 lots. Also increase order size by 3. I haven’t used the cool risk management / sizing toolthat is a new bit of code I have seen (I’m not sure I would use this in practice anyway as I think I would prefer to manually control this (other than the increase +3 or reducing /2)  considering market volatility, performance of different strategies…etc). I’m also not using the ptrailing as we know that it is not reliable in live trading on IG so I therefore don’t want to test this. I’m keeping it simple still with fixed stop and target. I’m sure there are better results to be had out there.

   

  Code for the 5 min is below. The code for 10 min bars is exactly the same just with different times.

   

  I attach the results. Any comments welcome. As I said I have looked at this only very quickly but early results are promising.

   

  I’m probably going to run both simultaneously in demo to compare.

   

  I’m not going to be around for the rest of the day. Catch you guys tomorrow.

   

  // Definition of parameters DEFPARAM CumulateOrders = false // No accumulation of orders // Position is closed at 9:00 p.m., local market time (London). DEFPARAM FlatAfter =205900 Once Ordersize=1 // Start time (calculation at end of 143000 bar) StartTime = 143500 // Only 1 position per day EndTime = 143900 // Max orders & risk multiplier //Margin = 60 //Lottfree = 0 //OrderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) //Ordersize=min(35,Ordersize) If Ordersize > 35 THEN Ordersize = 35 Endif n=1 // Conditions for analysis If Time >= StartTime and time <= EndTime THEN If not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 // -2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+3 Endif Ordersize=max(Ordersize,5) // Conditions to enter positions 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 //Stops & target SET STOP ploss 6 //5 3 SET TARGET pPROFIT 14 //10 12

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  // Definition of parameters DEFPARAM CumulateOrders = false // No accumulation of orders   // Position is closed at 9:00 p.m., local market time (London). DEFPARAM FlatAfter =205900   Once Ordersize=1   // Start time (calculation at end of 143000 bar) StartTime = 143500 // Only 1 position per day EndTime = 143900   // Max orders & risk multiplier //Margin = 60 //Lottfree = 0 //OrderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) //Ordersize=min(35,Ordersize)   If Ordersize > 35 THEN Ordersize = 35 Endif   n=1   // Conditions for analysis   If Time >= StartTime and time <= EndTime THEN   If not onmarket then   c1 = open < close-2*pointsize c2= open > close-1*pointsize   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 // -2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+3 Endif   Ordersize=max(Ordersize,5)   // Conditions to enter positions 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   //Stops & target SET STOP ploss 6 //5 3 SET TARGET pPROFIT 14 //10 12

   

   

  

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  01/23/2017 at 5:19 PM #22178
  Raul Vg

  jonjon, I hope your son gets better soon

   

  This is the backtest adapted for the FSTE 100,It is not as good as in the DAX, although it is quite positive, I find it very attractive, it needs to be touched up a bit

   

  // 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>40 then Ordersize=30 endif if dayofweek=1 then daytrading=1 endif if dayofweek=2 then daytrading=1 endif if dayofweek=3 then daytrading=1 endif if dayofweek=4 then daytrading=1 endif if dayofweek=5 then daytrading=0 endif n=3 if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 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+5 if ordersize<1 then ordersize=1 ENDIF endif buy ordersize*n contract AT close+2 stop endif c2= open > close-2 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+5 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*n contract AT close-1 stop endif endif endif SET STOP ptrailing 2

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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   if Ordersize>40 then Ordersize=30 endif   if dayofweek=1 then daytrading=1 endif if dayofweek=2 then daytrading=1 endif if dayofweek=3 then daytrading=1 endif if dayofweek=4 then daytrading=1 endif if dayofweek=5 then daytrading=0 endif n=3   if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1  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+5 if ordersize<1 then ordersize=1 ENDIF endif buy ordersize*n contract AT close+2 stop endif   c2= open > close-2   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+5 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*n contract AT close-1 stop endif endif endif         SET STOP ptrailing 2

   

   

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  Raul Vg

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  01/23/2017 at 5:24 PM #22181
  Raul Vg

  Could you be so kind to try this code on the dax? Remember that you have it at 25 euros per point, if it stays at 0 increase the initial money, thanks.

   

  // 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>40 then Ordersize=30 endif if dayofweek=1 then daytrading=1 endif if dayofweek=2 then daytrading=1 endif if dayofweek=3 then daytrading=1 endif if dayofweek=4 then daytrading=1 endif if dayofweek=5 then daytrading=0 endif n=1 if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 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+5 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 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+5 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 = 090600   HoraInicio = 090500   if Ordersize>40 then Ordersize=30 endif   if dayofweek=1 then daytrading=1 endif if dayofweek=2 then daytrading=1 endif if dayofweek=3 then daytrading=1 endif if dayofweek=4 then daytrading=1 endif if dayofweek=5 then daytrading=0 endif n=1   if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1  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+5 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 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+5 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*n contract AT close-1 stop endif endif endif         SET STOP ptrailing 5

   

  

  Raul Vg

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  01/23/2017 at 5:25 PM #22182
  Raul Vg

  The above message is for jonjon try it with 200,000 bars

  

  Raul Vg

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  01/23/2017 at 6:11 PM #22184
  arcane

  Good evening.

  You must respect the stop distances.

  On Down Jones: stop minimun 9 points.

  If you do not set the correct stop distance, warning.

  The program is open without stop protection.

  The distance of the stop and stop trailings is also different for the same index.

  

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