DAX 15 M (EUR 1 Mini) Rottura Resistenza Spread 1

• 01/30/2017 at 9:10 AM #23019
  Alex

  La strateggia necessita 2 indicatori da allegare.Si accettano consigli per migliorarla grazie.

  DEFPARAM CumulateOrders = false ONCE Positionsize=1 // define saisonal position multiplier >0 - long ONCE Januaryl = 2//DD 1263 ONCE Februaryl = 2//DD 1263 ONCE Marchl = 2//2 migliora 12% Ma DD 1580 ONCE Aprill = 2//2 MM 20% DD 1360 ONCE Mayl = 2//MM DD 1252 Abbassa ONCE Junel = 0 //23% DD 1298 ONCE Julyl = 0 //3% dd < 900 ONCE Augustl = 2//8% dd > 938 ONCE Septemberl = 0//5% < dd 906 ONCE Octoberl = 2//34% dd = 906 ONCE Novemberl = 2//26% dd > 934 ONCE Decemberl = 2//25% DD > 954 // saisonal pattern long position IF CurrentMonth = 1 THEN saisonalPatternMultiplierl = Januaryl ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplierl = Februaryl ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplierl = Marchl ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplierl = Aprill ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplierl = Mayl ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplierl = Junel ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplierl = Julyl ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplierl = Augustl ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplierl = Septemberl ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplierl = Octoberl ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplierl = Novemberl ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplierl = Decemberl ENDIF // define saisonal position multiplier >0 short ONCE Januarys = 1//2 >25% DD 954 > 1041 ONCE Februarys = 1//% Poco ONCE Marchs = 2 //5% DD =954 ONCE Aprils = 2//9% DD=954 ONCE Mays = 0//13% DD=954 ONCE Junes = 0//1% DD=954 Ratio aumenta ONCE Julys = 2//9% DD 954 > 1004 ONCE Augusts = 2//25% DD=1004 ONCE Septembers = 1//da rivedere ONCE Octobers = 1//da rivedere ONCE Novembers = 0//20% DD=1004 ONCE Decembers = 2//10% DD=1004 // saisonal pattern short position IF CurrentMonth = 1 THEN saisonalPatternMultipliers = Januarys ELSIF CurrentMonth = 2 THEN saisonalPatternMultipliers = Februarys ELSIF CurrentMonth = 3 THEN saisonalPatternMultipliers = Marchs ELSIF CurrentMonth = 4 THEN saisonalPatternMultipliers = Aprils ELSIF CurrentMonth = 5 THEN saisonalPatternMultipliers = Mays ELSIF CurrentMonth = 6 THEN saisonalPatternMultipliers = Junes ELSIF CurrentMonth = 7 THEN saisonalPatternMultipliers = Julys ELSIF CurrentMonth = 8 THEN saisonalPatternMultipliers = Augusts ELSIF CurrentMonth = 9 THEN saisonalPatternMultipliers = Septembers ELSIF CurrentMonth = 10 THEN saisonalPatternMultipliers = Octobers ELSIF CurrentMonth = 11 THEN saisonalPatternMultipliers = Novembers ELSIF CurrentMonth = 12 THEN saisonalPatternMultipliers = Decembers ENDIF // Condizioni per entrare su posizioni long myLong, mySell, my0 = CALL "Flag_Buy" myEntriShort, myEsciShort, my1 = CALL "Flag_Sell" IF TIME >= 90000 AND TIME <= 173000 AND close > myLong AND my0 THEN IF saisonalPatternMultiplierl > 0 THEN BUY Positionsize * saisonalPatternMultiplierl CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni long IF close < mySell THEN SELL AT MARKET ENDIF // Condizioni per entrare su posizioni short IF TIME >= 90000 AND TIME <= 173000 AND close < myEntriShort AND my1 THEN IF saisonalPatternMultipliers > 0 THEN SELLSHORT Positionsize * saisonalPatternMultipliers CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni short IF close > myEsciShort THEN EXITSHORT AT MARKET ENDIF ONCE maxCandlesShortWithoutProfit =63// limit short loss latest after 63 candles // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ms = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF SHORTONMARKET AND ms THEN EXITSHORT AT MARKET ENDIF // Stop e target: SET Target Pprofit 86 SET STOP PLOSS 63

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  DEFPARAM CumulateOrders = false   ONCE Positionsize=1   // define saisonal position multiplier >0 - long ONCE Januaryl = 2//DD 1263 ONCE Februaryl = 2//DD 1263 ONCE Marchl = 2//2 migliora 12% Ma DD 1580 ONCE Aprill = 2//2 MM 20% DD 1360 ONCE Mayl = 2//MM DD 1252 Abbassa ONCE Junel = 0 //23% DD 1298 ONCE Julyl = 0 //3% dd < 900 ONCE Augustl = 2//8% dd > 938 ONCE Septemberl = 0//5% < dd 906 ONCE Octoberl = 2//34% dd = 906 ONCE Novemberl = 2//26% dd > 934 ONCE Decemberl = 2//25% DD > 954 // saisonal pattern long position IF CurrentMonth = 1 THEN saisonalPatternMultiplierl = Januaryl ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplierl = Februaryl ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplierl = Marchl ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplierl = Aprill ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplierl = Mayl ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplierl = Junel ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplierl = Julyl ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplierl = Augustl ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplierl = Septemberl ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplierl = Octoberl ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplierl = Novemberl ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplierl = Decemberl ENDIF   // define saisonal position multiplier >0 short ONCE Januarys = 1//2 >25% DD 954 > 1041 ONCE Februarys = 1//% Poco ONCE Marchs = 2 //5% DD =954 ONCE Aprils = 2//9% DD=954 ONCE Mays = 0//13% DD=954 ONCE Junes = 0//1% DD=954 Ratio aumenta ONCE Julys = 2//9% DD 954 > 1004 ONCE Augusts = 2//25% DD=1004 ONCE Septembers = 1//da rivedere ONCE Octobers = 1//da rivedere ONCE Novembers = 0//20% DD=1004 ONCE Decembers = 2//10% DD=1004 // saisonal pattern short position IF CurrentMonth = 1 THEN saisonalPatternMultipliers = Januarys ELSIF CurrentMonth = 2 THEN saisonalPatternMultipliers = Februarys ELSIF CurrentMonth = 3 THEN saisonalPatternMultipliers = Marchs ELSIF CurrentMonth = 4 THEN saisonalPatternMultipliers = Aprils ELSIF CurrentMonth = 5 THEN saisonalPatternMultipliers = Mays ELSIF CurrentMonth = 6 THEN saisonalPatternMultipliers = Junes ELSIF CurrentMonth = 7 THEN saisonalPatternMultipliers = Julys ELSIF CurrentMonth = 8 THEN saisonalPatternMultipliers = Augusts ELSIF CurrentMonth = 9 THEN saisonalPatternMultipliers = Septembers ELSIF CurrentMonth = 10 THEN saisonalPatternMultipliers = Octobers ELSIF CurrentMonth = 11 THEN saisonalPatternMultipliers = Novembers ELSIF CurrentMonth = 12 THEN saisonalPatternMultipliers = Decembers ENDIF   // Condizioni per entrare su posizioni long myLong, mySell, my0 = CALL "Flag_Buy" myEntriShort, myEsciShort, my1 = CALL "Flag_Sell"   IF TIME >= 90000 AND TIME <= 173000 AND close > myLong AND my0 THEN IF saisonalPatternMultiplierl > 0 THEN BUY Positionsize * saisonalPatternMultiplierl  CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni long IF close < mySell THEN SELL AT MARKET ENDIF // Condizioni per entrare su posizioni short IF TIME >= 90000 AND TIME <= 173000 AND close < myEntriShort AND my1 THEN IF saisonalPatternMultipliers > 0 THEN SELLSHORT Positionsize * saisonalPatternMultipliers  CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni short IF close > myEsciShort THEN EXITSHORT AT MARKET ENDIF   ONCE maxCandlesShortWithoutProfit =63// limit short loss latest after 63 candles // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   ms = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit   IF SHORTONMARKET AND ms THEN EXITSHORT AT MARKET ENDIF   // Stop e target: SET Target Pprofit 86 SET STOP PLOSS 63

  ————————————————————————————-
  //Flag_Buy
  if box=1 and (high>tth or low<ttl) then
  box=0
  flag=0
  endif
  if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then
  th=low[3]
  flag=1
  endif
  if flag=1 and box=0 and low<th then
  flag=0
  endif
  if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then
  tth=high[3]
  ttl=th
  box=1
  endif
  once tth=undefined
  once ttl=undefined
  c1=close>= wilderaverage[200*8](close)

  RETURN tth AS “Long”, ttl AS “Sell”,c1 AS “(0)”
  ————————————————————————————–
  //Flag_Sell
  if box=1 and (high>tth or low<ttl) then
  box=0
  flag=0
  endif
  if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then
  th=low[3]
  flag=1
  endif
  if flag=1 and box=0 and low<th then
  flag=0
  endif
  if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then
  tth=high[3]
  ttl=th
  box=1
  endif
  once tth=undefined
  once ttl=undefined
  c1=close>= wilderaverage[200*8](close)

  RETURN tth AS “Long”, ttl AS “Sell”,c1 AS “(0)”

  

  Alex

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  01/30/2017 at 9:21 AM #23023
  Nicolas

  Ciao, mi sono trasferito il vostro presentare alla biblioteca, al Forum, invece, per discutere su di esso. Sembra quello che avete utilizzato l’ormai famoso andamento stagionale del sistema Pathfinder.
  Sembra buono con me, ma ti dispiacerebbe preghiamo di aiutarci a capire meglio le lunghe e corte trigger delle posizioni di trading? Grazie. Vi posto la strategia nella libreria, una volta che si dà maggiori dettagli sulla strategia.

  

  Nicolas

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  01/30/2017 at 9:36 AM #23027
  Alex

  Ciao nicolas bisogna cambiare e aggiungere questo Flag_Sell

  if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[1] and low[2]>low[3] and low[3]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[1] and high[2]<high[1] and high[3]<high[2] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close < wilderaverage[218*7](close) RETURN ttl AS "EntriShort",tth AS "EsciShort",c1 AS "(1)"

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  if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[1] and low[2]>low[3] and low[3]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[1] and high[2]<high[1] and high[3]<high[2] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close < wilderaverage[218*7](close)   RETURN ttl AS "EntriShort",tth AS "EsciShort",c1 AS "(1)"

   

  

  Alex

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  01/30/2017 at 9:39 AM #23028
  Alex

  E questo e flag_Buy,

  if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close>= wilderaverage[200*8](close) RETURN tth AS "Long", ttl AS "Sell",c1 AS "(0)"

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  if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close>= wilderaverage[200*8](close)   RETURN tth AS "Long", ttl AS "Sell",c1 AS "(0)"

   

  

  Alex

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  01/30/2017 at 10:30 AM #23035
  Alex

  In allegato itf strateggia completa.

  3 users thanked author for this post.

  Paris, Reiner, Jesús

  

  Alex

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  01/30/2017 at 10:44 AM #23044
  Nicolas

  Grazie, ma vuoi ci dispiacerebbe dice come fa la strategia sta funzionando? Quali sono gli indicatori bandiera buy e bandiera vendere?
  Sembra che aver ottimizzato un po takeprofit e il stoploss?

  

  Nicolas

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  01/30/2017 at 11:01 AM #23052
  Alex

  Buy =close > tth indicatore flag_buy

  SELL close < ttl indicatore flag_buy

  SELLSHORT close < ttl indicatore flag_Sell

  EXITSHORT close > tth indicatore flag_Sell

  Equilibrio Long  close >= media[x] Periodi accetta solo Long

  Equilibrio short close < media[x]Periodi accetta solo Short

  La rottura di resistenza deve avvenire ora Tra 9.00 e 17.30

   

  

  Alex

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  01/30/2017 at 11:15 AM #23059
  Alex

  Per ulteriori chiarimenti vedi esempi pratici al seguente sito.

  http://hk-lisse.over-blog.com/tag/prorealtime%20backtest/

  

  Alex

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  01/30/2017 at 12:57 PM #23082
  Nicolas

  Grazie, è più chiaro ora, si è utilizzato Darvas boxes codici dal sito HK-Lisse!
  La strategia sembra giusto per me, come ho detto. L’unico problema che ho avuto è che il TakeProfit e stoploss sono un po ‘sovradattamento a mio parere. E ‘lo stesso caso per i periodi WilderAverage: 200 * 8 per posizione long e 218 * 7 per un breve? Ha ottimizzato themw con ProBacktest ottimizzatore?
  Ti sto chiedendo a queste domande, perché molte persone faranno lo stesso se il codice è pubblicato nella libreria di codici 🙂

  

  Nicolas

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  01/30/2017 at 1:29 PM #23086
  Alex

  Per avere un DD basso io ho optato questo tipo di setup di media mobile,ma si possono trovare altri setup di media,profitto e stop losss e di equilibrio vistoche non e una strateggia di lungo periodo ma quasi intraday,ho ottimizzato themw con ProBacktest ottimizzatore? si.

  

  Alex

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  01/30/2017 at 1:33 PM #23087
  Alex

  a mio parere le medie mobili di lungo periodo dara una ottimizzazione automatica anche per il futuro.

  

  Alex

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  01/30/2017 at 4:55 PM #23112
  Nicolas

  È la strategia non va bene con lo stesso movimento periodo medio per le posizioni LONG e SHORT?

  Si consiglia di utilizzare il valore reale invece troppo:

  wilderaverage[1600](close)

  1	wilderaverage[1600](close)

  Si dovrebbe anche cercare di ottimizzare il TakeProfit e fermare la perdita di valore con un approccio diverso, con “IN SAMPLE” e “OUT OF SAMPLE”.

  Ciò significherebbe: ottimizzare dalla data di inizio al 80% dell’intero dati e quindi verificare se i valori ottimizzati per poter lavorare bene nel 20% dei dati che durano.

  

  Nicolas

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  01/30/2017 at 5:05 PM #23116
  Alex

  Di fatti sono state messe di periodo diverso le medie mobili appunto per questo motivo,troppi falsi segnali

  

  Alex

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  01/30/2017 at 8:23 PM #23146
  Alex

  Nicolas un chiarimento sulle strategie che faccio io, comincio a lavorare in un trading system che fa solo Long,poi lavoro con la stesso trading system che lavora solo short,ottimizzando long e short separatamente,unisco i due trading system cercando un equilibrio e ottengo questi risultati.

  

  Alex

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  01/31/2017 at 8:10 PM #23335
  Alex

  ciao nicolas ma come mai ancora non posti questo trading system,perche ne ho altri piu interessanti tipo allego foto.

  

  Alex

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