A AMELIORER NOUVELLE STRATEGIE CAC40 1MIN SUR 10 000 UNITES

• 07/10/2020 at 2:27 PM #138874
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  Bonjour,

  Voici ma nouvelle stratégie pour le CAC40 (FRANCE40 chez IG) sur 1 minute et étudiée sur 10 000 bougies car je ne souhaite pas intégrer la période du COVID car la volatilité était forte. Je pense qu’il faut réactuliser les variables gains et stoploss tous les 10 000 bougies. Mon but est de faire beaucoup de trades avec des gains raisonnables et des pertes raisonnables. J’ai utilisé la supertrend intégrée à prorealtime en multiframe, peut-être faudrait-il la remplacer par la formule de calcul de l’angle et de la pente ?? Si il y a des passionnés de programmation qui peuvent améliorer ma stratégie, ce serait sympa. Je suis dispo pour toute question.

  REM PARAMETRES defparam cumulateorders=false //defparam flatbefore=082900 defparam preloadbars=10000 Defparam flatafter=215900 timeframe(1 minute) n=3 IF time<083000 or time>211000 then journee=0 else journee=1 endif REM GAINS gain=highest[32]-lowest[27] gain2=highest[1]-lowest[1] IF time>163000 or time<070000 then gain2=10 gain=15 endif REM PERTES if time>163000 OR TIME<083000 then set stop loss 20 else set stop loss 36 endif REM TENDANCES EN 12 MINUTES CROISEE AVEC 1 MINUTE timeframe (12 minute) if Supertrend[2,1]<close or supertrend[4,1]>close or close[100]<close[53] then mont2=1 else mont2=0 endif if shortonmarket and (tradeprice-close)<0 then mont2=0 endif if Supertrend[1,1]>close or supertrend[2,1]>close or close[15]>close then desc2=1 else desc2=0 endif timeframe (1 minute) if Supertrend[4,7]<close or supertrend[19,2]<close or ((close[120]-close)>80) then mont=1 else mont=0 endif if shortonmarket and (tradeprice-close)<0 then mont=0 endif if Supertrend[19,2]>close or supertrend[16,3]>close or ((close-close[380])>145) then desc=1 else desc=0 endif REM STOCHASTIQUE TIME SERIES p=20 q=2 plusHaut = HIGHEST[p](HIGH) plusBas = LOWEST[p](LOW) oscillateur = (CLOSE - plusBas) / (plusHaut - plusBas) * 100 K = AVERAGE[q,6](oscillateur) REM CALCUL NB BOUGIES MEME COULEUR u=9 w=8 descente=0 for z=1 to u do if open[z]>close[z] then descente=descente+1 endif next if descente>=w then stopvente=0 else stopvente=1 endif t=11 v=10 montee=0 for y=1 to T do if open[y]<close[y] then montee=montee+1 endif next if montee>=V then stopachat=0 else stopachat=1 endif REM CALCUL DE LA CLOTURE ecartclot=(time+63000)/166.66 cloturehier=close[ecartclot] rem INTERDICTIONS MATHEMATIQUES IF K[1]<-10 or stopvente=0 or (close[720]-close)>60 or (close[85]-close)>28 or (Average[15](close)-close[2]>8) or close<(dopen(0)-69) or close<(cloturehier-36) then stopv=1 else stopv=0 endif if (close-lowest[40])>80 OR K[1]>95 or stopachat=0 OR (close-close[720])>168 or (close-close[77])>52 or (close[3]-Average[18](close)>6) or close>(dlow(0)+80) or close>(cloturehier+81) then stopa=1 else stopa=0 endif REM INTERDICTIONS TEMPORELLES if (time>073000 and time<082000) or (time>112000 and time<123000) or (time>150000 and time<153000) or (time>162500 and time<180000) then stoptimea=1 else stoptimea=0 endif if (time>100000 and time<110000) or (time>121500 and time<131500) or (time>153000 and time<163000) or (time>083500 and time<091500) or (dayofweek=1 and time<120000) OR TIME<083000 OR time>200000 then stoptimev=1 else stoptimev=0 endif REM ACHAT IF open[2]<close[2] and mont=1 and mont2=1 and JOURNEE=1 and stopa=0 and stoptimea=0 and acha=1 then buy n share at market set target profit gain lastorder=0 endif REM VENTE if not onmarket and open[2]>close[2] and open[1]>close[1] and desc=1 and journee=1 and vent=1 and desc2=1 and stopv=0 and stoptimev=0 then sellshort n share at market set target profit gain2 lastorder=1 endif REM CLOTURE SI CHANGEMENT DE TENDANCE if longonmarket and desc=1 and journee=1 and stopv=0 and stoptimev=0 and vent=1 and desc2=1 and (barindex-tradeindex)>1 and (close-tradeprice)>0 then sell at market lastorder=1 endif if shortonmarket and mont=1 and mont2=1 and stopa=0 and journee=1 and stoptimea=0 and acha=1 and (barindex-tradeindex)>1 and (tradeprice-close)>0 then exitshort at market lastorder=0 endif if mont=1 and mont2=1 and journee=1 and stopa=0 and shortonmarket and (tradeprice-close)>1 then exitshort at market lastorder=0 endif if desc=1 and desc2=1 and longonmarket and (close-tradeprice)>1 then sell at market endif REM CLOTURE POUR GAIN RAPIDE if longonmarket and (barindex-tradeindex)<3 and (close-tradeprice)>8 then sell at market endif if shortonmarket and (barindex-tradeindex)<3 and (tradeprice-close)>8 then exitshort at market endif IF longonmarket and (barindex-tradeindex)>146 and (close-tradeprice)>0 then sell at market endif if shortonmarket and (barindex-tradeindex)>80 and (tradeprice-close)>0 then exitshort at market endif REM INTERDICTION DU MEME ORDRE SI TROP ELOIGNE if (close-tradeprice)>34 and lastorder=0 then acha=0 else acha=1 endif if (tradeprice-close)>7 and lastorder=1 then vent=0 else vent=1 endif REM CLOTURE ANTICIPEE if longonmarket and (close-tradeprice)>6 and (barindex-tradeindex)<4 then sell at market endif if shortonmarket and (tradeprice-close)>4 and (barindex-tradeindex)<=1 then exitshort at market endif if shortonmarket and (tradeprice-close)>13 and (barindex-tradeindex)>46 then exitshort at market endif if longonmarket and (close-tradeprice)>1 and (barindex-tradeindex)>138 then sell at market endif if longonmarket and (close-tradeprice)>-1 and (barindex-tradeindex)>92 then sell at market endif if shortonmarket and (tradeprice-close)>-5 and (barindex-tradeindex)>80 then exitshort at market endif

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  REM PARAMETRES defparam cumulateorders=false //defparam flatbefore=082900 defparam preloadbars=10000 Defparam flatafter=215900 timeframe(1 minute) n=3 IF  time<083000 or time>211000 then journee=0 else journee=1 endif REM GAINS gain=highest[32]-lowest[27] gain2=highest[1]-lowest[1] IF time>163000 or time<070000 then gain2=10 gain=15 endif REM PERTES if time>163000 OR TIME<083000 then set stop loss 20 else set stop loss 36 endif REM TENDANCES EN 12 MINUTES CROISEE AVEC 1 MINUTE timeframe (12 minute) if Supertrend[2,1]<close  or supertrend[4,1]>close or close[100]<close[53] then mont2=1 else mont2=0 endif if shortonmarket and (tradeprice-close)<0 then mont2=0 endif if Supertrend[1,1]>close or supertrend[2,1]>close or close[15]>close then desc2=1 else desc2=0 endif timeframe (1 minute) if Supertrend[4,7]<close or supertrend[19,2]<close or ((close[120]-close)>80) then mont=1 else mont=0 endif if shortonmarket and (tradeprice-close)<0 then mont=0 endif if Supertrend[19,2]>close or supertrend[16,3]>close or ((close-close[380])>145) then desc=1 else desc=0 endif REM STOCHASTIQUE TIME SERIES p=20 q=2 plusHaut = HIGHEST[p](HIGH) plusBas = LOWEST[p](LOW) oscillateur = (CLOSE - plusBas) / (plusHaut - plusBas) * 100 K = AVERAGE[q,6](oscillateur) REM CALCUL NB BOUGIES MEME COULEUR u=9 w=8 descente=0 for z=1 to u do if open[z]>close[z] then descente=descente+1 endif next if descente>=w then stopvente=0 else stopvente=1 endif t=11 v=10 montee=0 for y=1 to T do if open[y]<close[y] then montee=montee+1 endif next if montee>=V then stopachat=0 else stopachat=1 endif REM CALCUL DE LA CLOTURE ecartclot=(time+63000)/166.66 cloturehier=close[ecartclot] rem INTERDICTIONS MATHEMATIQUES IF K[1]<-10 or stopvente=0 or (close[720]-close)>60 or (close[85]-close)>28 or (Average[15](close)-close[2]>8) or close<(dopen(0)-69) or close<(cloturehier-36) then stopv=1 else stopv=0 endif if (close-lowest[40])>80 OR K[1]>95 or stopachat=0 OR (close-close[720])>168 or (close-close[77])>52 or (close[3]-Average[18](close)>6) or close>(dlow(0)+80) or close>(cloturehier+81) then stopa=1 else stopa=0 endif REM INTERDICTIONS TEMPORELLES if (time>073000 and time<082000) or (time>112000 and time<123000) or (time>150000 and time<153000) or (time>162500 and time<180000)  then stoptimea=1 else stoptimea=0 endif if  (time>100000 and time<110000) or (time>121500 and time<131500) or (time>153000 and time<163000)  or (time>083500 and time<091500) or (dayofweek=1 and time<120000) OR TIME<083000 OR time>200000 then stoptimev=1 else stoptimev=0 endif REM ACHAT IF open[2]<close[2] and mont=1 and mont2=1 and JOURNEE=1  and stopa=0 and stoptimea=0 and acha=1 then buy n share at market set target profit gain lastorder=0 endif REM VENTE if not onmarket and open[2]>close[2] and open[1]>close[1] and desc=1 and journee=1 and vent=1 and desc2=1 and stopv=0 and stoptimev=0 then sellshort n share at market set target profit gain2 lastorder=1 endif REM CLOTURE SI CHANGEMENT DE TENDANCE if longonmarket and desc=1 and journee=1 and stopv=0 and stoptimev=0 and vent=1 and desc2=1 and  (barindex-tradeindex)>1 and (close-tradeprice)>0 then sell at market lastorder=1 endif if shortonmarket and mont=1 and mont2=1 and stopa=0 and journee=1 and stoptimea=0 and acha=1 and (barindex-tradeindex)>1 and (tradeprice-close)>0 then exitshort at market lastorder=0 endif if mont=1 and mont2=1 and journee=1 and stopa=0 and shortonmarket and (tradeprice-close)>1 then exitshort at market lastorder=0 endif if desc=1 and desc2=1 and longonmarket and (close-tradeprice)>1 then sell at market endif REM CLOTURE POUR GAIN RAPIDE if longonmarket and (barindex-tradeindex)<3 and (close-tradeprice)>8 then sell at market endif if shortonmarket and (barindex-tradeindex)<3 and (tradeprice-close)>8 then exitshort at market endif IF longonmarket and (barindex-tradeindex)>146 and (close-tradeprice)>0 then sell at market endif if shortonmarket and (barindex-tradeindex)>80 and (tradeprice-close)>0 then exitshort at market endif REM INTERDICTION DU MEME ORDRE SI TROP ELOIGNE if (close-tradeprice)>34 and lastorder=0 then acha=0 else acha=1 endif if (tradeprice-close)>7 and lastorder=1 then vent=0 else vent=1 endif REM CLOTURE ANTICIPEE if longonmarket and (close-tradeprice)>6 and (barindex-tradeindex)<4 then sell at market endif if shortonmarket and (tradeprice-close)>4 and (barindex-tradeindex)<=1 then exitshort at market endif if shortonmarket and (tradeprice-close)>13 and (barindex-tradeindex)>46 then exitshort at market endif if longonmarket and (close-tradeprice)>1 and (barindex-tradeindex)>138 then sell at market endif if longonmarket and (close-tradeprice)>-1 and (barindex-tradeindex)>92 then sell at market endif if shortonmarket and (tradeprice-close)>-5 and (barindex-tradeindex)>80 then exitshort at market endif

   

   

  

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  07/10/2020 at 5:34 PM #138968
  WE ARE SOCIETY

  Je précise que le résultat obtenu est avec :

  -1- un créneau horaire d’Angleterre à H+1 (actuellement H+2 en France), donc 16h30 dans mon code veut dire 17h30 en France

  Il faut donc soit que vous rajoutiez 1 heure au code soit que vous mettiez votre plateforme en heure britannique

  -2- 1000€ de capital suffisent car je ne joue que 3 mini contrats ne demandant que 750 € de couverture environ

  Ci-joint performance du jour au 10/07/2020 avec 1000 € de capital en début de backtest

   

  

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  07/11/2020 at 12:05 PM #138999
  Scooby

  Il est possible d’ajouter des filtres de volatilité pour éviter les trades durant une période comme celle du corona.

  Tu pourras avoir une stratégie testable sur une horizon plus longue et plus représentatives du marché.

  Surtout qu’en ce moment les marchés sont encore bien différent de la période pérenne de fin 2019/début 2020.

  

  Scooby

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