Automatic trading system DAX 1H mini 1€
- This topic has 113 replies, 12 voices, and was last updated 6 years ago by
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Hi guys!
I hope your constructive criticism as always to improve the system. This system is an adaptation of a system of a companion of the web. Attach the screenshots. System 2 and 3 operate on DAX 1H and 4H, System 1, only with DAX 1H.
As soon as I can upload the library, I attach the .itf below.
Hi Raul – Many thanks for sharing your hard work. I have tested system 2 &3 in 1Hr TF over 200,000 bars. Attached are the results.
- System 2 looks to be more consistent for those with a lower volatility appetite
- System 2 – The Max drawdown of £5k+ (35%) occurs over the Dec 2008 period when there was considerable gapping and volatility hence why the draw is so high so probably not reflective of a usual result. Would need to look at periods post this to see what the next biggest or a “normal draw” would be
- System 3 has better results due to consistent scaling up of positions and the draw is only 8% which is pretty good.
- There are zero bars in both cases (we cannot test tick by tick test that far back) but the net total of these is £4.6k for system 2 and £10.6k for system 3 so roughly 20% of the gain, which is still acceptable. Of course there may be an effect on the scaling of positions and it may result in lower numbers overall but there is no way to work that out that unless we can tick by tick backtest that far back. Hence the fixed contract backtest will give us a better idea though.
- The system is supposed to only have entry trades on or after 8am UK/9am CET but I have found positions being opened at 7am so this needs to be looked at but there are not very many of these.
I will run the 4hr versions next and then onto the 1 fixed contract versions over the same TF
P.S.- Nicolas, is there an easy way to convert the the drag and drop PRT results into excel and convert the figures to number format. I used a value replace excel formula but it took some time…..
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No problem Raul, will run the results and post back shortly.
@ Paris – yes you make a good point, we need to be aware of over optimisation. But in this case the indicator periods have not been optimised which is good. Raul can confirm what other parameters have been (day of the week, take profit etc). One thing I would mention is that by using a fixed points stop/limit you run into issues of index values contributing to skewed results i.e 50 points on the Dax when the index is 7000 is harder to achieve in % terms than when the Dax is sitting at almost 12,000 points like it is today when +/- 50 points happens almost daily. This could also be one of the reasons that the strategy does not work as well in prior years – not definite though, just a thought.
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@Paris, this is what we are thinking of at the first glance you are right, but like manel said, I do not see any kind of optimising in the code: indicator periods are the default one, SL and TP are round numbers. I have the same conclusion as manel, the daily range of DAX has a lot increased since the last economic crisis, that should be one of the reason the strategy perform better since 2012.
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Hi! It may be due to the fact that these years the market is more volatile. But anyway the system 3 I see that works very well over these 10 years.
@Joachim Nilsson great job !! Can also be used for the Swiss index.2 users thanked author for this post.
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