Indexbond-Contrarian-orders

• 03/25/2017 at 11:14 AM #29800
  reb

  Hi

  To continue the discussion about this strat by DEIO posted in the library, I have opened this topic

  Here is the screeenshot of my backtest

   

  big results but big DD too

   

  

  reb

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  03/25/2017 at 12:31 PM #29808
  DEIO

  Sorry Reb,

  I can’ti see the screenshot….

  Thx

  

  DEIO

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  03/25/2017 at 1:37 PM #29811
  reb

  here is

  

  reb

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  04/17/2017 at 8:08 AM #32266
  DEIO

  HI all,

  I rewied a bit the strategy in order to be more conservative (and there was a bug too…..)

  Could anyone test on 200 k  bars  (12 H)  ???

  here the code:

   

  //DAX OR DAX MINI //12 h DEFPARAM cumulateorders = true TIMEWORK = 010000 TIMESTOP = 230000 period=3 stdev=STD[period](close) TPC = STDEV / CLOSE *100 FIRSTacc = 0.5 * TPC tp = 2 * TPC NEXTacc = 20 * TPC //IF YOU WANT TO LIMIT THE NUMBER OF CONTRACT SET THE FOLLOWING PARAM TO A LOWER AMOUNT CONTRACTLIM = 2000 if (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) then SWBUY=1 else SWBUY=0 ENDIF P1 = ((CLOSE -CLOSE[1]) / CLOSE * 100) < -FIRSTacc IF TIME > TIMEWORK AND TIME < TIMESTOP THEN if not onmarket then sizebuy = 1 IF SWBUY=1 AND P1 THEN BUY sizebuy SHARES AT MARKET endif endif if LONGONMARKET then LASTperf = (close - TRADEPRICE)/TRADEPRICE * 100 GLOBperf = (close - POSITIONPRICE)/POSITIONPRICE * 100 if GLOBperf > tp then SELl AT MARKET ELSE IF COUNTOFPOSITION >= CONTRACTLIM THEN SELL AT MARKET ENDIF if LASTperf < -NEXTacc and SWBUY=1 then BUY sizebuy SHARES AT MARKET ENDIF ENDIF ENDIF ENDIF

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  //DAX OR DAX MINI //12 h DEFPARAM cumulateorders = true TIMEWORK = 010000 TIMESTOP = 230000 period=3 stdev=STD[period](close) TPC = STDEV / CLOSE *100   FIRSTacc = 0.5 * TPC tp = 2 * TPC NEXTacc = 20 * TPC   //IF YOU WANT TO LIMIT THE NUMBER OF CONTRACT SET THE FOLLOWING PARAM TO A LOWER AMOUNT CONTRACTLIM = 2000   if (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) then SWBUY=1 else SWBUY=0 ENDIF P1 = ((CLOSE -CLOSE[1]) / CLOSE * 100) < -FIRSTacc   IF TIME > TIMEWORK AND TIME < TIMESTOP THEN if not onmarket then sizebuy = 1 IF SWBUY=1 AND P1 THEN BUY sizebuy SHARES AT MARKET endif endif   if LONGONMARKET then LASTperf = (close - TRADEPRICE)/TRADEPRICE * 100 GLOBperf = (close - POSITIONPRICE)/POSITIONPRICE * 100 if GLOBperf > tp then SELl AT MARKET ELSE IF COUNTOFPOSITION >= CONTRACTLIM THEN SELL AT MARKET ENDIF if LASTperf < -NEXTacc and SWBUY=1 then BUY sizebuy SHARES AT MARKET ENDIF ENDIF ENDIF ENDIF

   

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  Bard

  

  DEIO

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  04/17/2017 at 5:29 PM #32328
  reb

  Hi DEIO

  

  reb

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  04/17/2017 at 8:46 PM #32363
  Oskar Bergvall

  Hi DEIO.

  I can’t find any problems preback-testing at all. It LOOKS like it buys on downtrend but I can’t see if losing any money anyway, so I don’t exactly understand how it works. Thanks, going to test it on many indexes/bonds on my demo-account!

  

  Oskar Bergvall

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  06/21/2017 at 12:24 AM #38695
  Bard

  Hi Deio, Sorry for the long delay due to family matters, I’ve only just been getting back into research in the last few weeks.

  I thought about this strategy a lot. I tested it on many variations adding different indicators and altering parameters or hours traded and then tested it on other indexes. At times, you can get the profit up or the drawdown down in tests by adding the Ehler’s Universal Supersmoother Oscillator as a trend filter – but it still hasn’t totally stopped the system buying into steep declines and accumulating positions, although the Damiani Indicator can sometimes help on backtests with parameters:

  //—settings
  Viscosity=7 //Default=7 //try 5
  Sedimentation=50 //Default 50 //try 60
  Thresholdlevel=1.1 //Default 1.1
  lagsupressor=1 //boolean value (default=true)
  MAtype=2 //MA type variable (2=Weighted average) //Default 2
  //—end of settings

  (Nicolas kindly posted both the codes on this forum).

  I don’t have reference to that particular exact Nikkei strategy mentioned in your original post but I changed the code slightly to something like this:

  Index/Bond Strategy Slow Accumulation using St Dev.rtfd

  //----------------------------------------------------------------------------------------------- //Deio //TF a 12 h //dax min 1 Eur. //----------------------------------------------------------------------------------------------- //TAKE PROFIT NEAR ZERO IN ORDER TO NOT ACCUMULATE TOO MUCH //----------------------------------------------------------------------------------------------- //IF NOT ON MARKET TRY TO ENTER AGAIN AS SOON A CORRECTION APPEARS, TRYING TO FOLLOW //THE POTENTIAL CURRENT UPTREND //----------------------------------------------------------------------------------------------- //IF I BOUGHT THE PREVIOUS BAR DON'T BUY THE FOLLOWING BAR IN ORDER TO NOT ACCUMULATE TOO MUCH //----------------------------------------------------------------------------------------------- //MAIN PARAMETER IN ORDER TO CHANGE THE RISK LEVELS ARE: //acc----> % of decrease of (price)of the instrument compared to the last buy price (THE LOWER IT //IS THE MORE RISK AND CASH RETURN WILL OCCUR) //----------------------------------------------------------------------------------------------- //tp-----> % beyond which the entire position is closed (THE HIGHER IT IS AND MORE // RISK AND CASH RETURN WILL APPEAR) - below zero is safer ! //----------------------------------------------------------------------------------------------- //MONEY MANAGMENT "ANTIMARTINGALA" STYLE - I SUPPOSE CLEARER RESULTS ON A LONGER PERIOD OF BACKTEST //----------------------------------------------------------------------------------------------- DEFPARAM cumulateorders = true TIMEWORK = 080000 TIMESTOP = 180000 acc = 2 //orig 5 if justone = 0 then capital = 10000 * pointvalue justone = 1 endif perccap = 0.5 //0rig 0.5 margin = 0.5 * close * pointvalue / 100 period=5 // Conditions to enter long positions // Univ Osc Bandedge =25 indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 > -0.9) // Conditions to enter long positions indicator1, indicator2 = CALL "Damiani Volameter"(close) c2 = (indicator1 > indicator2) //When Damiani is green stdev=STD[period](close) //LOOK FOR A LOCAL VOLATILITY DECREASE //I WANT TO BUY AGAIN ONLY WHEN BEAR MARKET SHOWS A LOCAL PAUSE if C1 AND C2 AND (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) then SWBUY=1 else SWBUY=0 ENDIF //default Close > Close. Use < IF TIME > TIMEWORK AND TIME < TIMESTOP THEN if not onmarket then sizebuy = ROUND((capital *perccap /100)/ margin) tp = 0.25 //orig 0.25 IF CLOSE > CLOSE[100] THEN BUY sizebuy SHARES AT MARKET endif endif if LONGONMARKET then perf = (close - POSITIONPRICE)/POSITIONPRICE * 100 if perf > tp then SELL AT MARKET perfc = (close - POSITIONPRICE) * POINTVALUE * COUNTOFPOSITION capital = capital + PERFC ELSE IF LASTBARBUY = 0 THEN if (((CLOSE-TRADEPRICE)/TRADEPRICE)*100) < -acc AND SWBUY=1 then sizebuy = ROUND((capital *perccap /100)/ margin) BUY sizebuy SHARES AT MARKET LASTBARBUY = 1 ENDIF ELSE LASTBARBUY = 0 ENDIF ENDIF ENDIF ENDIF

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  //----------------------------------------------------------------------------------------------- //Deio //TF a 12 h //dax min 1 Eur. //----------------------------------------------------------------------------------------------- //TAKE PROFIT NEAR ZERO IN ORDER TO NOT ACCUMULATE TOO MUCH //----------------------------------------------------------------------------------------------- //IF NOT ON MARKET TRY TO ENTER AGAIN AS SOON A CORRECTION APPEARS, TRYING TO FOLLOW //THE POTENTIAL CURRENT UPTREND //----------------------------------------------------------------------------------------------- //IF I BOUGHT THE PREVIOUS BAR DON'T BUY THE FOLLOWING BAR IN ORDER TO NOT ACCUMULATE TOO MUCH //----------------------------------------------------------------------------------------------- //MAIN PARAMETER IN ORDER TO CHANGE THE RISK LEVELS ARE: //acc----> % of decrease of (price)of the instrument compared to the last buy price (THE LOWER IT //IS THE MORE RISK AND CASH RETURN WILL OCCUR) //----------------------------------------------------------------------------------------------- //tp-----> % beyond which the entire position is closed (THE HIGHER IT IS AND MORE // RISK AND CASH RETURN WILL APPEAR) - below zero is safer ! //----------------------------------------------------------------------------------------------- //MONEY MANAGMENT "ANTIMARTINGALA" STYLE - I SUPPOSE CLEARER RESULTS ON A LONGER PERIOD OF BACKTEST //-----------------------------------------------------------------------------------------------   DEFPARAM cumulateorders = true   TIMEWORK = 080000 TIMESTOP = 180000 acc = 2 //orig 5   if justone = 0 then capital = 10000 * pointvalue justone = 1 endif   perccap = 0.5 //0rig 0.5 margin = 0.5 * close * pointvalue / 100 period=5     // Conditions to enter long positions // Univ Osc Bandedge =25 indicator1, ignored = CALL "Ehler's Univ Osc SuperSmoother" c1 = (indicator1 > -0.9)   // Conditions to enter long positions indicator1, indicator2 = CALL "Damiani Volameter"(close) c2 = (indicator1 > indicator2) //When Damiani is green     stdev=STD[period](close) //LOOK FOR A LOCAL VOLATILITY DECREASE //I WANT TO BUY AGAIN ONLY WHEN BEAR MARKET SHOWS A LOCAL PAUSE if C1 AND C2 AND (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) then SWBUY=1 else SWBUY=0 ENDIF   //default Close > Close. Use <   IF TIME > TIMEWORK AND TIME < TIMESTOP THEN if not onmarket then sizebuy = ROUND((capital *perccap /100)/ margin) tp = 0.25 //orig 0.25 IF CLOSE > CLOSE[100] THEN BUY sizebuy SHARES AT MARKET endif endif   if LONGONMARKET then perf = (close - POSITIONPRICE)/POSITIONPRICE * 100 if perf > tp then SELL AT MARKET perfc = (close - POSITIONPRICE) * POINTVALUE * COUNTOFPOSITION capital = capital + PERFC ELSE IF LASTBARBUY = 0 THEN if (((CLOSE-TRADEPRICE)/TRADEPRICE)*100) < -acc AND SWBUY=1 then sizebuy = ROUND((capital *perccap /100)/ margin) BUY sizebuy SHARES AT MARKET LASTBARBUY = 1 ENDIF ELSE LASTBARBUY = 0 ENDIF ENDIF ENDIF ENDIF

  Note: I tried to add a graph of the std deviation but I am not sure it is correctly coded:

  Graph showing std deviation requirement

  SWBUY = (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) Graph SWBUY=1

  1 2	SWBUY = (stdev[0]+stdev[1]+stdev[2]+stdev[3]+stdev[4]) < (stdev[1]+stdev[2]+stdev[3]+stdev[4]+stdev[5]) Graph SWBUY=1

  Creating code that stops the strategy from buying more positions if the equity curve is falling:

  It occurred to me today that one way to stop it buying and accumulating positions in steep market declines maybe to add code that stops it doing that based on the equity curve. I have read threads on this forum that suggest that may not work, so what is needed is a “Black Swan”  warning based on either a sharp momentum (proceeds price) move or very sharp increases in volatility.

  Close>Close[1]
  Changed to Close<Close[100]. I’ve included an Excel screen of the Period close optimisation to show that there is a stable range b/n 60 bars and 150.

  Testing on the Nikkei 30 mins charts there is only marginal improvement in drawdown and not a particularly stable relationship between profit and the period of the chart 1, 2 hrs chosen – i.e. longer timeframes fail.

  Btw what was the bug you mentioned that you found in v.1.0?

  I tested this new strategy V.2.0 above today, on the S&P 500 and Dax, but I’m not sure (due to limited testing) if it is performing better than V.1.0 that you posted 3 months ago. I haven’t quite figured it all out yet.

  Nice work Deio,

  Cheers
  Bard

  

  Bard

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  06/21/2017 at 5:52 AM #38703
  reb

  Hi Bard

  In order to chek on 200k bars, could you provide me your indicators : Ehler and Damiani, pls ?

  I have searched on forum but no sure to find the good one

  Thks

  Reb

   

   

  

  reb

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  06/23/2017 at 9:08 PM #38928
  Bard

  Sure Reb, here’s the links for you:
  https://www.prorealcode.com/prorealtime-indicators/universal-oscillator-john-ehlers/
  https://www.prorealcode.com/prorealtime-indicators/damiani-volameter/

  It’s worth reading up on how the indicators function and there’s also a lot of John Ehler’s research papers on his cycle theory on the net too. Here’s his website:
  http://www.mesasoftware.com/

  Cheers
  Bard

  

  Bard

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