Difference in Angle of MA Strategy

• 11/14/2022 at 9:55 PM #204176
  snucke

  Hello!

  Have been building a strategy in the last couple of days and i have never contributed really to the forum with a strategy so i thought i could share one now

  This is mostly how a tend to build strategies, the frame with trends on higher timeframe and only exit with TS.

  it is built and optimized on on DAX 5 min with 200k bars, might be a little over optimized over 1M bars

  but i hope someone gets anyhing out of this and maybe a new take on building  strategies (or maybe im just like everyone else)

  Would be fun to see someone else try to make something out of it.

   

  the concept of the entry is basicly to enter when the MA has turnt up significantly wich one could interpret as strenght in the move

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated //MONEY MANAGEMENT DAX II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 2 ENDIF if MM then MinSize = 2 // IG minimum position size allowed MaxSize = 1050 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 500 //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF TIMEFRAME (daily, updateonclose) Cond5 = Average[10,8] > Average[10*1.1,8] TIMEFRAME (60 MINUTES, updateonclose) Cond4 = Average[11,6] > Average[11*1.2,6] TIMEFRAME (10 MINUTES, updateonclose) Cond3 = Average[23,2] > Average[23*1.35,2] TIMEFRAME (default, UPDATEONCLOSE) //Angle of Moving Average MM = Average[20,5](close) ADJASUROPPO = (MM-MM[10]*pipsize) / 10 ANGLE = (ATAN(ADJASUROPPO)) Difference = Angle - Angle[1] Cond2 = Difference > 35 //VWAP if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif Cond1 = close > VWAP Condbuy = Cond1 and Cond2 and Cond3 and Cond4 and Cond5 IF Condbuy THEN BUY positionsize CONTRACT AT MARKET ENDIF //**************************************************************************** once enableSL = 1 // stop loss once enableTS = 1 // trailing stop once enableBE = 0 // breakeven stop SL = 1.4 // % stop loss TS = 0.3 // % trailing stop BESG = 0 // % break even stop gain BESL = 0 // % break even stop level // underlaying security / index / forex // profittargets and stoploss have to match the lines // 0.01 FOREX [i.e. GBPUSD=0.01] // 1.00 SECURITIES [i.e. aapl=1 ; // 100.00 INDEXES [i.e. dax=100] // 100=XAUUSD // 100=CL US Crude // DAX=100 underlaying=100 // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=(trailingstop) then priceexit=maxprice-(trailingstop/(underlaying/100))*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=(trailingstop) then priceexit=minprice+(trailingstop/(underlaying/100))*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=(((tradeprice(1)/100)*BESG)/(underlaying/100))*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*BESL)/(underlaying/100))*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*BESG)/(underlaying/100))*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*BESL)/(underlaying/100))*pointsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif endif // to set & display stoploss if enableSL then set stop %loss SL endif

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  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated   //MONEY MANAGEMENT DAX II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 2 ENDIF if MM then MinSize = 2 // IG minimum position size allowed MaxSize = 1050 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 500  //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF   TIMEFRAME (daily, updateonclose) Cond5 = Average[10,8] > Average[10*1.1,8] TIMEFRAME (60 MINUTES, updateonclose) Cond4 = Average[11,6] > Average[11*1.2,6] TIMEFRAME (10 MINUTES, updateonclose) Cond3 = Average[23,2] > Average[23*1.35,2] TIMEFRAME (default, UPDATEONCLOSE)       //Angle of Moving Average MM = Average[20,5](close) ADJASUROPPO = (MM-MM[10]*pipsize) / 10 ANGLE = (ATAN(ADJASUROPPO)) Difference = Angle - Angle[1]   Cond2 = Difference > 35   //VWAP if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif   Cond1 = close > VWAP     Condbuy = Cond1 and Cond2 and Cond3 and Cond4 and Cond5   IF Condbuy THEN BUY positionsize CONTRACT AT MARKET ENDIF       //**************************************************************************** once enableSL = 1 // stop loss once enableTS = 1 // trailing stop once enableBE = 0 // breakeven stop SL   = 1.4 // % stop loss TS   = 0.3 // % trailing stop BESG = 0 // % break even stop gain BESL = 0 // % break even stop level // underlaying security / index / forex // profittargets and stoploss have to match the lines //   0.01 FOREX [i.e. GBPUSD=0.01] //   1.00 SECURITIES [i.e. aapl=1 ; // 100.00 INDEXES [i.e. dax=100] // 100=XAUUSD // 100=CL US Crude // DAX=100 underlaying=100 // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=(trailingstop) then priceexit=maxprice-(trailingstop/(underlaying/100))*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=(trailingstop) then priceexit=minprice+(trailingstop/(underlaying/100))*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=(((tradeprice(1)/100)*BESG)/(underlaying/100))*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*BESL)/(underlaying/100))*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*BESG)/(underlaying/100))*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*BESL)/(underlaying/100))*pointsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif endif // to set & display stoploss if enableSL then set stop %loss SL endif

   

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  snucke

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