Breakout Long on Dax 1 hour

• 04/18/2018 at 8:12 AM #68606
  Pier

  Enter a long position when price break the highest within 4 bars

  i use as filter “trend continuation factor” when the green line is over and adx

  It provides a trailing stop and %stop loss

  I suggest to download the strategy with the link below, to get the complete code (strategy + indicator at the same time when importing it).

  bars = 21 barsback = 4 TcfL, TcfS = CALL "Trend Continuation Factor"[15] if high = highest[bars](close) then bi = barindex hh = highest[bars](close) endif //conditions long l1 = close crosses over hh l1 = l1 and barindex < bi + barsback l1 = l1 and TcfL > TcfS l1 = l1 and adx[10] > 16 //enter position if not onmarket and l1 then buy at market //SET TARGET PPROFIT AverageTrueRange[14](close)*6.5 endif trailingstart = tradeprice/315 //trailing will start @trailinstart points profit trailingstep = 5 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP %LOSS 0.7

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  bars = 21   barsback = 4 TcfL, TcfS = CALL "Trend Continuation Factor"[15]   if high = highest[bars](close)  then bi = barindex hh = highest[bars](close) endif   //conditions long l1 = close crosses over hh l1 = l1 and barindex < bi + barsback l1 = l1 and TcfL > TcfS l1 = l1 and adx[10] > 16   //enter position if not onmarket and l1 then buy at market //SET TARGET PPROFIT AverageTrueRange[14](close)*6.5 endif   trailingstart = tradeprice/315 //trailing will start @trailinstart points profit trailingstep = 5 //trailing step to move the "stoploss"   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   SET STOP %LOSS 0.7

   

   

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  GraHal

  

  Pier

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  04/18/2018 at 8:20 AM #68649
  Nicolas

  Hi Pier, thanks a lot for sharing this strategy with the community. I appreciate a lot.

  I made a test over 200k bars and the first part of the history (OOS period) shows that the strategy is overfit over the last part (the one you develop and optimize the strategy on = screenshot attached).

  It doesn’t mean the strategy is bad, perhaps it could become more “robust” with new optimization made every X bars, the Walk Forward tool will help you find how and when to do it. Thank you again 🙂

   

  

  Nicolas

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  04/18/2018 at 9:48 AM #68663
  GraHal

  Looks good!

  I like that it not drop below zero / still gains over the non-optimised 100k bars in Nicolas equity curve … shows plenty of potential!

  I’m setting it going in Demo right now! 🙂

  Let us know please if you make any changes after using WF etc.
  I will report back likewise.

  Thank You
  GraHal
  PS  Might you consider adding shorts also? I think the DAX is due a correction?

   

  

  GraHal

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  04/18/2018 at 10:36 AM #68671
  Pier

  bars = 21 barsback = 4 TcfL, TcfS = CALL "Trend Continuation Factor"[9] ac = CALL "accelerator adx"[5, 100] if high = highest[bars](close) then bi = barindex hh = highest[bars](close) endif //conditions long l1 = close crosses over hh l1 = l1 and barindex < bi + barsback l1 = l1 and TcfL > TcfS l1 = l1 and adx[10] > 16 l1 = l1 and ac > 0.9 //enter position if not onmarket and l1 then buy at market //SET TARGET PPROFIT AverageTrueRange[14](close)*6.5 endif ADX accelerator mShort = adx[adShortPeriod] mLong = adx[adLongPeriod] ad = max(0, (abs(mShort) / abs(mLong)) -1) return ad as "acd"

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  bars = 21   barsback = 4 TcfL, TcfS = CALL "Trend Continuation Factor"[9] ac = CALL "accelerator adx"[5, 100]   if high = highest[bars](close)  then bi = barindex hh = highest[bars](close) endif   //conditions long l1 = close crosses over hh l1 = l1 and barindex < bi + barsback l1 = l1 and TcfL > TcfS l1 = l1 and adx[10] > 16 l1 = l1 and ac > 0.9 //enter position if not onmarket and l1 then buy at market //SET TARGET PPROFIT AverageTrueRange[14](close)*6.5 endif   ADX accelerator   mShort = adx[adShortPeriod] mLong  = adx[adLongPeriod] ad = max(0, (abs(mShort) / abs(mLong)) -1) return ad as "acd"

   

  Try to set It  in this way:  using  ADX accelerator too and tcf[9] .  It seems that it works better 

  Short position is not so good I don’t why

   

  

  Pier

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