CAC Breakout ported to other markets

Cosmic1 · Thu, 18 Aug 2016 15:09:36 +0000

I have been working on getting some more reliable auto strategies incorporated in to my trading along side the manual stuff I do. I’m testing Nicolas’ code for CAC breakout on different markets at the moment due to the fact that with 200k units and the 15TF you can get 8-9 years of data for increased confidence + the fact of no 0 bars/no fake profits. Prior to this I was using 1min TF to eliminate 0 bars/fake profits on some breakout auto trades that I had made for the major indices but with only 18 months of data, of course the forward testing did not match up to the backtest and I lost confidence. I’ve tried a few markets but the two I focused on at the moment are DAX and EUR/USD. I optimised these with 2/3 of the data as suggested to avoid curve fitting. The results are below. I can give the basic changes here or upload the ITF’s if any one is interested. Has anyone else had success porting this one to different markets?

This topic has 37 replies, 10 voices, and was last updated 7 years ago by Despair.

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08/09/2017 at 9:24 AM #42787

Nicolas

Another interesting but buried topic. I’m actually cleaning my subscribed topics and stumbled on this one, so that’s why I’m posting here. I think open range breakout is still of interest of course and this strategy, part of the prorealtime documentation, still deserves investigation.

Now that Walk Forward Analysis is available, did someone tried to use it for the optimization of the 4 variables of the strategy? It should help a lot determining how to proceed with these values in ranging markets. Another topic in my favorite list 🙂

Nicolas
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08/09/2017 at 10:10 AM #42795

Despair

Can someone post the link to the original version for the CAC please?

Despair
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08/09/2017 at 10:26 AM #42797

Nicolas

This is the original code: CAC40 Breakout system

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Despair

Nicolas
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08/09/2017 at 10:33 AM #42798

Despair

Just started a WFA of the DAX version but with all 4 variables this will take all day.

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Nicolas, Henrik

Despair
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08/09/2017 at 10:32 PM #42837

Nicolas

Still optimizing?

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08/10/2017 at 9:42 AM #42850

Despair

Haha I had to leave the house for some other business. The results I got so far were not really useless but not outstanding either. I will try to do better and come back if I get a result worth showing.

Despair
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08/10/2017 at 12:02 PM #42900

Nicolas

The best is the enemy of good 🙂 This strategy afford to loose quickly, it results to have sometimes many losing trades in the same row, so equity curve could be not so “sexy” (not straight upward).

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08/10/2017 at 12:22 PM #42901

Despair

That’s it. The winning percentage is quite low. Something like 30%. I will try to incorporate some trades handling false breakouts.

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CAC Breakout ported to other markets

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