DAX Parabolic System

• 12/16/2019 at 4:02 PM #114991
  AE

  Hi guys,

  Let me show you this simple strategy using SAR. It use a simple SAR with two filters (stochastic and macd) to select better operations.

  I have a lot of fake signals but anyway winners are better than lossers so it make money.

  It works for DAX 1h.

  Any idea to improve this strategy?

   

  // Definición de los parámetros del código DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada // Condiciones para entrada de posiciones largas parabolic = SAR[0.02,0.02,0.2] sto = Stochastic[5,3](close) signal = average[3](sto) mac = MACD[12,26,9](close) c1 = (parabolic < close) c2 = (signal > 50) c3 = (parabolic[1] > close[1]) IF c1 AND c2 AND c3 and mac >0 THEN BUY 1 CONTRACT AT MARKET ENDIF // Condiciones de salida de posiciones largas c4 = (close < parabolic) IF c4 THEN SELL AT MARKET ENDIF c5 = (parabolic > close) c6 = (parabolic[1] < close[1]) if not c2 and c5 and c6 and mac < 0 then Sellshort 1 contract at market endif c7 = (close > parabolic) IF c7 THEN EXITSHORT AT MARKET ENDIF SET STOP pTRAILING 55

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  // Definición de los parámetros del código DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada   // Condiciones para entrada de posiciones largas parabolic = SAR[0.02,0.02,0.2] sto = Stochastic[5,3](close) signal = average[3](sto)   mac = MACD[12,26,9](close)     c1 = (parabolic < close) c2 = (signal > 50) c3 = (parabolic[1] > close[1])       IF c1 AND c2 AND c3 and mac >0 THEN BUY 1 CONTRACT AT MARKET ENDIF // Condiciones de salida de posiciones largas   c4 = (close < parabolic)   IF c4 THEN SELL AT MARKET ENDIF   c5 = (parabolic > close) c6 = (parabolic[1] < close[1])   if not c2 and c5 and c6 and mac < 0 then Sellshort 1 contract at market endif   c7 = (close > parabolic)   IF c7 THEN EXITSHORT AT MARKET ENDIF   SET STOP pTRAILING 55

   

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  Nicolas

  

  AE

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  12/16/2019 at 7:14 PM #114997
  GraHal

  Thanks for sharing with us online.

  With TS = 55, I get attached error message and the Strategy stopped at the red arrowheads.

  Do you get same over 100k bars?

  

  GraHal

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  12/16/2019 at 7:17 PM #115000
  GraHal

  But with TS = 75 I get attached … much better! 🙂

  

  GraHal

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  12/16/2019 at 7:24 PM #115003
  GraHal

  And using the TS code found at Log 65 here …

  Snippet Link Library

  I get attached … better again! 🙂

   

   

   

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  Alfred

  

  GraHal

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  12/16/2019 at 7:27 PM #115007
  AE

  In deed, with no TS you will get the best result, but the DD is more high. Check the picture

  Ideas to improve it? 😀

  

  AE

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  12/16/2019 at 7:55 PM #115009
  Vonasi

  GraHal wrote:

  With TS = 55, I get attached error message and the Strategy stopped at the red arrowheads.

  You’ve unfortunately hit on a tick by tick data hole. I see this error quite often on the DJI daily when using tick by tick because there is a day sometime in 2010 that has data problems or no tick by tick and if a trade happens to be open on this day then the strategy crashes and gives me that error message.

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  Vonasi

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  12/16/2019 at 8:15 PM #115010
  GraHal

  Thank you Vonasi … I had no thoughts on what had caused the stoppage … ‘tick by tick data hole’ … I like it (well only the description! 🙂

  

  GraHal

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  05/06/2021 at 9:12 PM #168979
  DECO2021

  Hello.

  Forgive my ignorance and my English, I am new.

  Applying it to Gold I get this (photo attached).

  As you see ???. Thanks. Greetings.

  

  DECO2021

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  05/06/2021 at 11:41 PM #168990
  robertogozzi

  @DECO2021

  What’s your question exactly, is it too good to be true or is it not as good as expected?

  Did you include spread?

  Did you use tick-by-tick mode?

  How many lots/contracts did you trade each time?

  Please post the ITF file you have used.

   

  

  robertogozzi

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  06/12/2021 at 6:17 PM #171658
  Wolf Trades

  Hi, I’d improved this system with fix stop loss and take profit and Nicolas’s trailing stop. I add a condition that close trade on friday after time that I setted.

  I attach file and images of equity and report. In my opinion we have to filter much better, because there are a lot of trade and we have to consider overnight costs (if someone expert coder can do that).

  I backtested this system from 2010 to now with tick by tick mode with 2point spread.

  

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  06/12/2021 at 7:02 PM #171662
  Eric

  Beware of the drawdown

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  GraHal

  

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  11/25/2021 at 4:44 PM #182267
  nonetheless

  I came across this in the library – thanks to AE for sharing.

  Made a few changes, tweaked the numbers here and there, I’m sure there’s still room for improvement.

  ***Optimized on 100% of data so still needs out of sample testing***

  No reason this shouldn’t be re-optimized for the NAS, SP etc.

   

  // 25/11/21 DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada DEFPARAM preloadbars = 10000 positionsize=1 Timeframe (4 hours) ma = average[p,t](typicalprice) cb1 = ma > ma[1] mb = average[p2,t2](typicalprice) cs1 = mb < mb[1] Timeframe (default) parabolic = SAR[q,w,e] parabolicS = SAR[qs,ws,es] sto = Stochastic[s1,s2](close) signal = average[av,t3](sto) mac = MACD[m,a,c](close) cb2 = (close > parabolic) cb3 = (close[1] < parabolic[1]) cs2 = (close < parabolicS) cs3 = (close[1] > parabolicS[1]) cb4 = (signal > l) cs4 = (signal < s) //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) cb5 = K>D cs5 = K<D //Volatility Filter Vol = (Std[v1](Close) / Close) * 100 cb6 = Vol < v2 cs6 = Vol < v3 CB = cb1 AND cb2 AND cb3 and cb4 and cb5 and cb6 and mac >0 CS = cs1 AND cs2 AND cs3 and cs4 and cs5 and cs6 and mac <0 IF CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF // Condiciones de salida de posiciones largas IF cs2 THEN SELL AT MARKET ENDIF if CS then Sellshort positionsize contract at market SET STOP %LOSS sls SET TARGET %PROFIT tps endif IF cb2 THEN EXITSHORT AT MARKET ENDIF // %trailing stop function incl. cumulative positions once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong = tsl // % trailingpercentshort = tss // % once acceleratorlong = a1 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= a2 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif //***************************************** //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif //=================================== RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>rs and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endif

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  // 25/11/21 DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada DEFPARAM preloadbars = 10000   positionsize=1   Timeframe (4 hours) ma = average[p,t](typicalprice) cb1 = ma > ma[1]   mb = average[p2,t2](typicalprice) cs1 = mb < mb[1]   Timeframe (default) parabolic = SAR[q,w,e] parabolicS = SAR[qs,ws,es]   sto = Stochastic[s1,s2](close) signal = average[av,t3](sto) mac = MACD[m,a,c](close)   cb2 = (close > parabolic) cb3 = (close[1] < parabolic[1])   cs2 = (close < parabolicS) cs3 = (close[1] > parabolicS[1])   cb4 = (signal > l) cs4 = (signal < s)   //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K)   cb5 = K>D cs5 = K<D   //Volatility Filter Vol = (Std[v1](Close) / Close) * 100 cb6 = Vol < v2 cs6 = Vol < v3   CB = cb1 AND cb2 AND cb3 and cb4 and cb5 and cb6 and mac >0 CS = cs1 AND cs2 AND cs3 and cs4 and cs5 and cs6 and mac <0   IF CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF   // Condiciones de salida de posiciones largas IF cs2 THEN SELL AT MARKET ENDIF   if CS then Sellshort positionsize contract at market SET STOP %LOSS sls SET TARGET %PROFIT tps endif   IF cb2 THEN EXITSHORT AT MARKET ENDIF   // %trailing stop function incl. cumulative positions once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong  = tsl // % trailingpercentshort = tss // % once acceleratorlong = a1 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= a2 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity  = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif   //***************************************** //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif   //=================================== RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>rs and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endif

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  nonetheless

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  11/26/2021 at 12:07 PM #182326
  @AlgoHunter1

  Hi – like the look of the results.  Was wondering, if you optimise on 100% of the data wouldn’t this effectively curve fit the results shown?  So a higher risk that it may fall flat once live? Trying to learn – thanks

  

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  11/26/2021 at 1:08 PM #182329
  nonetheless

  that’s why it needs out of sample testing. put it on demo for a few months, see what happens.

  Or, you can do your own 70/30 optimization if you prefer.

  I find testing in demo to be more reliable as it more closely resembles real trading conditions (changes in the spread, overnight fees etc)

   

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  nonetheless

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  11/26/2021 at 2:02 PM #182333
  monkeys nuts

  That’s a good point.  I have done the same, optimised a strategy on a 70/30 split then run in demo, and finally launched in an incubation phase on small size to test for a period of time.  The issue is that the live trades don’t always match up to the back test trades (some trades are completely missing or there is a difference in profit/loss that is greater than the spread).

  After all that I look to only keep those strategies which have a 90% or greater match between back test and live results.  Optimising becomes dangerous if used excessively, but even still you will always get a difference between live and back test.

  

  monkeys nuts

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