MACD-Strategy M1 SP500

phoentzs · Sat, 11 Mar 2023 15:27:45 +0000

Hello folks, here is my very simple strategy on SP500 (spread 0.4). Long has been consistently working well for months, so I disabled short. I found the settings around September 2022, so I can say that the strategy has been working in the raw version for at least the last year. The main trend is none other than the MA20 from the TF M15. The MACD entries work in reverse, so the bot enters each mini-pullback and tries to make a profit. The tandem filter works as a trend filter, although it should be used with caution. Can easily be over-optimized. The strategy is also only positive with a MA20 filter and a very low drawdown. The TP/SL ratio is 1:1.1 and I’ve kept it that way since last year. The only thing I tweak from time to time is really the tandem filter. @PeterSt Can you try it on PRT-IB how the curve looks there? I would appreciate opinions and suggestions for improvement (perhaps a better filter?). Sorry, I can’t see the “Insert code” option. //SP500 Spread 0.4 DEFPARAM CUMULATEORDERS = false defparam preloadbars = 10000 //Risk Management PositionSize = 5 //Hauptfilter M15 10…50 Timeframe(15minute, updateonclose) //Trend M15L1 = close > Average[20,0](close) and Average[20,0](close) > Average[20,0](close)[1] M15S1 = close < Average[20,0](close) and Average[20,0](close) < Average[20,0](close)[1] //Tandem M15L2 = Average[30,1](close) > Average[55,1](close) M15S2 = Average[20,1](close) < Average[50,1](close) Timeframe(default) //Trigger MACDLinie = MACDline[12,26,9](close) > 0 MACDCross = MACD[12,26,9](close) crosses over 0 MACDLinieshort = MACDline[12,26,9](close) < 0 MACDCrossshort = MACD[12,26,9](close) crosses under 0 TrendL = M15L1 and M15L2 TrendS = M15S1 and M15S2 long = MACDLinie and MACDCrossshort and TrendL short = MACDLinieshort and MACDCross and TrendS // trading window ONCE BuyTime = 153000 ONCE SellTime = 210000 // position management IF Time >= BuyTime AND Time <= SellTime THEN If long Then //not onmarket and buy PositionSize CONTRACTS AT MARKET SET STOP pLOSS hl SET TARGET pPROFIT hl*p ENDIF //If short Then //not onmarket and //sellshort PositionSize CONTRACTS AT MARKET //SET STOP pLOSS hs //SET TARGET pPROFIT hs*p2 // //ENDIF endif if time >= 220000 then sell at market exitshort at market endif if time >= 215900 and dayofweek=5 then sell at market exitshort at market endif

This topic has 18 replies, 5 voices, and was last updated 1 year ago by phoentzs.

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03/12/2023 at 6:56 AM #211404

phoentzs

No, misunderstanding. I like to refer to fixed sizes in a TF where I can grasp it visually. A MA20 or MA50 in the TF M15 or M30 or H1 is quite meaningful. A tandem filter, i.e. a filter made up of 2 MAs, is more dangerous. You can easily over-optimize it and it is also more difficult to assess. Especially with this strategy, only TP/SL and the tandem would be optimized at first. Actually prefer to leave it out.

So I would prefer not to use the tandem, but it’s not that easy.

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JohnScher

phoentzs
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03/13/2023 at 10:15 PM #211514

JohnScher

this is the 500k backtest from the downloaded itf-file timeframe 15m

greets

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03/13/2023 at 10:24 PM #211517

JohnScher

this is the 1 mio backtest from the downloaded itf-file timeframe 1m

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03/13/2023 at 10:37 PM #211521

phoentzs

To be honest, I only expect a strategy to last for weeks in such a small time frame. With luck months. It must be regularly re-optimized.

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MACD-Strategy M1 SP500

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