Donchian Scalping strategy, help needed!

• 06/16/2017 at 12:54 PM #38442
  TheAccountant

  “Help! I need somebody
  Help! Not just anybody
  Help! You know I need someone
  Heeeeeeeeeeeeeeeeeeeeeeeeeeeelp! ”  🙂

  Hello everyone !

  I work on a scalping strategy based on donchian channel. I was inspired by a video I saw on the youtube channel of Doctrading ( Im a fan 🙂  )

  It’s a scalping stratégie on DAX. Timeframe M1. Filtered with MACD zero lag. I added  SMA50, SMA20, RSI and ADX. TP 2 pts SL 15 pts. The Timesitting are to have the spread a 1 pts.

  Please take a look at pics, it’s hard for me to describe with my bad english 🙂 ( I know: a guy with an English name who speaks bad English….. 🙂  )

  The problem is that the few losses destroy the long series of wins. And therefore the strategy is not profitable.

  I tried to modify the sl and tp. with SL = 40 pts we have 92% wins…. but is not profitable…

  So I tried to integrate this code of management of the positionsize (thanks to Nicolas) so that the beginning of a series of wins compensate the future loss :

  initiallot = 1 if buycondition then if positionperf(1)>0 then count=count+1 else count=0 endif if count=1 then mylot = 5 elsif count=2 then mylot = 10 elsif count=3 then mylot = 15 else mylot = initiallot endif BUY mylot CONTRACTS AT MARKET endif

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  initiallot = 1 if buycondition then if positionperf(1)>0 then   count=count+1 else   count=0 endif if count=1 then   mylot = 5 elsif count=2 then   mylot = 10 elsif count=3 then   mylot = 15 else   mylot = initiallot endif BUY mylot CONTRACTS AT MARKET endif

  But I did not find a good solution… And I’m blocked now. 🙁

  I will appreciate any help or ideas you may have.

  Have a nice day !

  TheAccountant.

  PS : I took the codes of the donchian channel and the MACD zero lag on the website of Doctrading.

  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 171500 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position acheteuse ignored, ignored, indicator1, indicator2 = CALL "macd zero retard perso" c1 = (indicator1 > indicator2) indicator3 = Average[50](close) c2 = (close > indicator3) indicator4 = RSI[9](close) c3 = (indicator4 < 70) indicator5, ignored = CALL "canal donchian perso" c4 = (close CROSSES OVER indicator5) indicator6 = Average[200](close) c5 = (close > indicator6) indicator7 = ADX[14] c6 = (indicator7 >= 25) IF (c1 AND c2 AND c3 AND c4 AND c5 AND c6) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert ignored, ignored, indicator8, indicator9 = CALL "macd zero retard perso" c7 = (indicator8 < indicator9) indicator10 = Average[50](close) c8 = (close < indicator10) indicator11 = RSI[9](close) c9 = (indicator11 > 30) ignored, indicator12 = CALL "canal donchian perso" c10 = (close CROSSES UNDER indicator12) indicator13 = Average[200](close) c11 = (close < indicator13) indicator14 = ADX[14] c12 = (indicator14 >= 25) IF (c7 AND c8 AND c9 AND c10 AND c11 AND c12) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Stops et objectifs SET STOP pLOSS 15 SET TARGET pPROFIT 2

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  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 171500 timeEnterAfter = time < noEntryAfterTime   // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions pour ouvrir une position acheteuse ignored, ignored, indicator1, indicator2 = CALL "macd zero retard perso" c1 = (indicator1 > indicator2) indicator3 = Average[50](close) c2 = (close > indicator3) indicator4 = RSI[9](close) c3 = (indicator4 < 70) indicator5, ignored = CALL "canal donchian perso" c4 = (close CROSSES OVER indicator5) indicator6 = Average[200](close) c5 = (close > indicator6) indicator7 = ADX[14] c6 = (indicator7 >= 25)   IF (c1 AND c2 AND c3 AND c4 AND c5 AND c6) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions pour ouvrir une position en vente à découvert ignored, ignored, indicator8, indicator9 = CALL "macd zero retard perso" c7 = (indicator8 < indicator9) indicator10 = Average[50](close) c8 = (close < indicator10) indicator11 = RSI[9](close) c9 = (indicator11 > 30) ignored, indicator12 = CALL "canal donchian perso" c10 = (close CROSSES UNDER indicator12) indicator13 = Average[200](close) c11 = (close < indicator13) indicator14 = ADX[14] c12 = (indicator14 >= 25)   IF (c7 AND c8 AND c9 AND c10 AND c11 AND c12) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Stops et objectifs SET STOP pLOSS 15 SET TARGET pPROFIT 2

   

   

   

  

  TheAccountant

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  06/17/2017 at 8:22 AM #38485
  noisette

  Hi,
  Even if it’s not the scalping philosophy, did you try a trailing stop? Or a takeprofit sized with volatility.

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  TheAccountant

  

  noisette

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  06/17/2017 at 10:53 AM #38492
  GraHal

  Hey noisette takeprofit sized with volatility sounds interesting and useful, please could you share code to do that or a link on this site?

  Thank You
  GraHal

  

  GraHal

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  06/17/2017 at 11:35 AM #38497
  TheAccountant

  Hi ! I try with trailing stop based on ATR trailling stop ( great for other strategy) but for this strategy results was not good…

  In fact in manual one of the filter that I use are the supports and resistances (points pivots on PRT) : Do not buy just below a resistance or do not just sell over a support ( support/resistance = im not sur in english 🙂  ) But I do not know how to code this.

  Otherwise, there is a way to make the stoploss dinamic to adapt the size according to the volatility …  I do not know ! 😉

   

  

  TheAccountant

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  06/17/2017 at 12:48 PM #38499
  Eric

  i doubt that you can be profitable with a 2 point tp on dax?

  or maybe you are looking for positive slippage.. (i did get slipped 6 point on a buy stop a day ago)

   

  

  Eric

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  06/17/2017 at 1:30 PM #38503
  noisette

  Hi GraHal,

  I mean a percentage of Average True Range indicator or Donchian Canal (as this indicator is alreaready used in this strategy).

  Regards.

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  GraHal

  

  noisette

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  06/17/2017 at 11:21 PM #38526
  GraHal

  @Eric I also got an 4 point positive slippage the other day, mine was on a sell stop,

  Most get stung on negative slippage so it balances somewhat that we report positive also 🙂

  

  GraHal

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