Modular Algo System V1.0 + 30min-Range-BreakOut
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Hallo!
Anbei eine überarbeitete Version meines kürzlich vorgestellten modularen Algorithmus-Systems.Features:
– Market Data Definition DAX / DJI (neu; enthält ua Trailing-Stop-Faktor)
– Hexensabbat-Filter
– Moving-Average-Clustering-Filter
– Xetra-Pivot-Point-Berechnung
– Strategy-Stop-Code + Money-Management
– Monthly/Weekly/Daily-Positionsize-Modifier-Code DAX/DJI (erweitert um DJI)
– Robustness-Test-Code
– Trailing-Stop-Code für Long/Short/Risk-Trades und Target Profit (erweitert um Target Profit)
– S2/R2-BreakOut-Filter
– Moving-Average-Cross-Flag-Funktion (20/50 und 100/200; neu)
– DayTrend-Flag (neu; TrendUp + TrendDown)Zum Einstieg:
– 30min Simple BreakOut Trader (neu; für DAX 1min)Das System ist so konzipiert, daß es möglichst mit unterschiedlichsten Trading-Algorithmen auf unterschiedlichsten Märkten kombiniert und schnell angepasst werden kann.
Die Bilder zeigen die Performance des beigefügten Codes auf DAX 1min 1€ Micro-Contract.Beste Grüße
Stefan123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167168169170171172173174175176177178179180181182183184185186187188189190191192193194195196197198199200201202203204205206207208209210211212213214215216217218219220221222223224225226227228229230231232233234235236237238239240241242243244245246247248249250251252253254255256257258259260261262263264265266267268269270271272273274275276277278279280281282283284285286287288289290291292293294295296297298299300301302303304305306307308309310311312313314315316317318319320321322323324325326327328329330331332333334335336337338339340341342343344345346347348349350351352353354355356357358359360361362363364365366367368369370371372373374375376377378379380381382383384385386387388389390391392393394395396397398399400401402403404405406407408409410411412413414415416417418419420421422423424425426427428429430431432433434435436437438439440441442443444445446447448449450451452453454455456457458459460461462463464465466467468469470471472473474475476477478479480481482483484485486487488489490491492493494495496497498499500501502503504505506507508509510511512513514515516517518519520521522523524//*************************************************************************////Modular Algorithm Library V1.01 ////*************************************************************************////Modules://Market-Data-Definition+Parameter///Monthly/Weekly/Daily-Modifiers, Xetra-HLC-Correction, Strategy-Stop-Code mit Money-Management//Moving-Average-Clustering-Filter, Robustness-Test, Stop-Loss/Trailing-Routines Long/Short/Risk//Long/Short-Support2/Resistance2-Break-Filter, HexenSabbat-Filter, MA-Cross-Flag, Trend-Flag//Trading Code//*************************************************************************////Parameter ////*************************************************************************//DEFPARAM PreLoadBars = 5000DEFPARAM CumulateOrders = FalseDEFPARAM FlatBefore = 080000DEFPARAM FlatAfter = 220000ONCE ClusterSave = 1 // 0=OFF 1=ON MovingAverage-Clustering-FilterONCE startingsize = 1 // starting position sizeONCE ForbiddenLSFlag = 2 // 0=OFF 1=ON 2=Reverse S2/Short-R2/Long-FilterONCE RobustnessTest = 0 // 0=OFF 1=ON Robustness-TestONCE SSC = 1 // 0=OFF 1=ON Strategy-Stop-CodeONCE StartingCapital = 1000 // StartkapitalONCE Modifiers = 1 // 0=OFF 1=ON Modifikatoren auf PositionSizeONCE HexSabFilter = 1 // 0=OFF 1=ON HexenSabbatFilterONCE MarketFlag = 1 //1=DAX 2=DJI Marktauswahl//*************************************************************************////Market Data ////*************************************************************************//Opening = 080000 // Eröffnungszeit DAXClosing = 220000 // Schlusszeit DAXTF = 1 // TimeFrame in Minuten DAXSpreadGeb = 3 // Spread+Gebühren DAXFaktorTS = 1 // Trailing-Stop-MultiplikatorZielProfit = 150 // Target ProfitIF MarketFlag = 1 THENOpening = 080000 // Eröffnungszeit DAXClosing = 220000 // Schlusszeit DAXTF = 1 // TimeFrame in Minuten DAXSpreadGeb = 3 // Spread+Gebühren DAXFaktorTS = 1 // Trailing-Stop-MultiplikatorZielProfit = 150ENDIFIF MarketFlag = 2 THENOpening = 080000 // Eröffnungszeit DJIClosing = 220000 // Schlusszeit DJITF = 1 // TimeFrame in Minuten DJISpreadGeb = 5 // Spread+Gebühren DJIFaktorTS = 2 // Trailing-Stop-MultiplikatorZielProfit = 200ENDIFTradeday = OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT ((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)))//Flat FailsaveIf ONMARKET AND (Time < Opening OR Time > Closing) THENSELL AT MarketEXITSHORT AT MarketENDIF//*************************************************************************////Algorithm Robustness-Test ////*************************************************************************//StartDate = 20000101 // ParameterQty = 5 // ParameterRndom = 3 // Parameteronce j = 0once flag = 1IF RobustnessTest = 1 THENif flag = 1 thenj = j + 1if j > qty thenflag = -1j = j - 1endifendifif flag = -1 thenj = j - 1if j = 0 thenj = j + rndomflag = 1endifendifif opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) thentradeon = 1ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) thentradeon = 0ENDIFELSIF RobustnessTest = 0 THENTradeOn = 1ENDIF//*************************************************************************////Strategy-Stop-Code, Money Management/ReInvest ////*************************************************************************//barsbeforenextcheck = 30 // number of bars between performance checksdrawdownquitting = 1 // drawdown quitting on or off (on=1 off=0)winratequit = 40 // minimum win rate in % allowed before quitting (0 = off)tradesbeforewrquit = 50 // number of trades required before a win rate stop of strategy is allowed to happenincrease = 0 // position size increasing on or off (on=1 off=0)decrease = 0 // position size decreasing on or off (on=1 off=0)capital = StartingCapital // starting capitalstartingsize = 1 // starting position sizeminpossize = 0.2 // minimum position size allowedgaintoinc = 5 // % profit rise needed before an increase in position size is madelosstodec = 5 // % loss needed before a decrease in position size is mademaxdrawdown = 30 // maximum % draw down allowed from highest ever equity before stopping strategymaxcapitaldrop = 25 // maximum % starting capital lost before stopping strategyonce MMpositionsize = 1once psperc = MMpositionsize / capitalIF SSC = 1 THENif strategyprofit <> strategyprofit[1] thenhighestprofit = max(strategyprofit, highestprofit)if count < tradesbeforewrquit OR winrate > winratequit/100 thencount = count + 1if strategyprofit > strategyprofit[1] thenwin = win + 1endifENDIFwinrate = win/countENDIFif count >= tradesbeforewrquit AND winrate < winratequit/100 thenquitendifif barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 thenif (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) thenquitendifendifif count >= tradesbeforewrquit AND highestprofit = 0 thenif (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) thenquitendifENDIFequity = capital + strategyprofitif increase thenif equity/lastequity >= (1+(gaintoinc/100)) thenMMpositionsize = (max(minpossize,equity*psperc))lastequity = equityendifENDIFif decrease thenif equity/lastequity <= (1-(losstodec/100)) thenMMpositionsize = (max(minpossize,equity*psperc))lastequity = equityendifENDIFENDIF//*******************************************************************************************////Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers, (optional) ////*******************************************************************************************////Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des ModifikatorsONCE DaySLFlag = 0ONCE PSizeL = startingsizeONCE PSizeS = startingsizeONCE MonthSizeL = 0ONCE MonthSizeS = 0ONCE WeekSizeL = 0ONCE WeekSizeS = 0ONCE DaySizeL = 0ONCE DaySizeS = 0ONCE Monatsanfang = 0ONCE Monatsende = 0ONCE IntraSizeL = 0ONCE IntraSizeS = 0IF Modifiers = 1 THENIF MarketFlag = 1 THENIF CurrentMonth = 1 OR CurrentMonth = 2 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth = 3 OR CurrentMonth = 4 THENMonthSizeS = 0PMonthSizeL = 0.25ELSIF CurrentMonth = 5 THENMonthSizeS = 0MonthSizeL = 0ELSIF CurrentMonth = 6 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth = 7 THENMonthSizeS = 0MonthSizeL = 0.25ELSIF CurrentMonth = 8 THENMonthSizeS = 0MonthSizeL = 0ELSIF CurrentMonth >= 9 AND CurrentMonth <= 10 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THENMonthSizeS = 0MonthSizeL = 0.5ENDIFELSIF MarketFlag = 2 THENIF CurrentMonth = 1 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth = 3 OR CurrentMonth = 4 OR CurrentMonth = 5 THENMonthSizeS = 0PMonthSizeL = 0.25ELSIF CurrentMonth = 6 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth = 7 OR CurrentMonth = 8 THENMonthSizeS = 0MonthSizeL = 0ELSIF CurrentMonth = 9 THENMonthSizeS = 0.25MonthSizeL = 0ELSIF CurrentMonth = 10 THENMonthSizeS = 0MonthSizeL = 0ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THENMonthSizeS = 0MonthSizeL = 0.5ENDIFENDIF//Datumsliste jährlich anpassen und ggf erweitern!IF Time = Opening THENIf (OpenDay >= 03012019 AND Openday <= 07012019) OR (OpenDay >= 03012020 AND Openday <= 07012020) OR (OpenDay >= 03012021 AND Openday <= 07012021) OR (OpenDay >= 03012022 AND Openday <= 07012022) THENMonatsanfang = 1ELSIF (OpenDay >= 01022019 AND Openday <= 05022019) OR (OpenDay >= 01022020 AND Openday <= 05022020) OR (OpenDay >= 01022021 AND Openday <= 05022021) OR (OpenDay >= 01022022 AND Openday <= 04022022) THENMonatsanfang = 1ELSIF (OpenDay >= 01032019 AND Openday <= 05032019) OR (OpenDay >= 01032020 AND Openday <= 05032020) OR (OpenDay >= 01032021 AND Openday <= 05032021) OR (OpenDay >= 01032022 AND Openday <= 04032022) THENMonatsanfang = 1ELSIF (OpenDay >= 01042019 AND Openday <= 05042019) OR (OpenDay >= 01042020 AND Openday <= 05042020) OR (OpenDay >= 01042021 AND Openday <= 05042021) OR (OpenDay >= 01042022 AND Openday <= 08042022) THENMonatsanfang = 1ELSIF (OpenDay >= 01102019 AND Openday <= 05102019) OR (OpenDay >= 01102020 AND Openday <= 05102020) OR (OpenDay >= 01102021 AND Openday <= 05102021) OR (OpenDay >= 01102022 AND Openday <= 07102022) THENMonatsanfang = 1ELSIF (OpenDay >= 01112019 AND Openday <= 05112019) OR (OpenDay >= 01112020 AND Openday <= 05112020) OR (OpenDay >= 01112021 AND Openday <= 05112021) OR (OpenDay >= 01112022 AND Openday <= 04112022) THENMonatsanfang = 1ELSIF (OpenDay >= 01122019 AND Openday <= 05122019) OR (OpenDay >= 01122020 AND Openday <= 05122020) OR (OpenDay >= 01122021 AND Openday <= 05122021) OR (OpenDay >= 01122022 AND Openday <= 05122022) THENMonatsanfang = 1ENDIFELSIF Time = Closing THENMonatsanfang = 0Monatsende = 0ENDIFIf Monatsanfang = 1 THENWeekSizeL = 0.0ENDIFIf Monatsende = 1 THENWeekSizeL = 0.25ENDIFIF OpenDayofWeek = 1 THENDaySizeL = 0.25DaySizeS = 0ELSIF OpenDayofWeek = 5 ThenDaySizeL = 0DaySizeS = 0.25ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THENDaySizeL = 0DaySizeS = 0ENDIFIF Close < DLow(1) AND DaySLFlag = 1 THENIntraSizeL = 0.25IntraSizeS = 0ELSIF Close > DHigh(1) AND DaySLFlag = 1 THENIntraSizeL = 0IntraSizeS = 0.25ELSIF DaySLFlag = 0 THENIntraSizeL = 0IntraSizeS = 0ENDIFIF Time >= Opening AND Time <= Closing THENIF Close > ResR2 THENIDReversalL = 0.25ELSIF Close > ResR3 THENIDReversalL = 0.5ELSIF Close < SupS2 THENIDReversalS = 0.25ELSIF Close > SupS3 THENIDReversalS = 0.5ELSIF Close < ResR2 AND Close > SupS2 THENIDReversalL = 0IDReversalS = 0ENDIFENDIFIF Time = Closing THENTrendSizeUp = 0TrendSizeDown = 0ENDIFIF Time = Opening THENIF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THENTrendSizeUp = 0.25TrendSizeDown = 0ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THENTrendSizeUp = 0TrendSizeDown = 0.25ELSIF NOT (DHigh(1) > DHigh(2) AND DLow(1) > DLow(2)) AND NOT (DHigh(1) < DHigh(2) AND DLow(1) < DLow(2)) THENTrendSizeUp = 0TrendSizeDown = 0ENDIFENDIF//Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassenPositionSizeLong = (PSizeL+TrendSizeUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL)*MMpositionsizePositionSizeShort = (PSizeS+TrendSizeDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS)*MMpositionsizeELSIF Modifiers = 0 THENPositionSizeLong = PSizeL*MMpositionsizePositionSizeShort = PSizeS*MMpositionsizeENDIF//*************************************************************************////Xetra-Korrektur High Low Close, Pivot, Resistance, Support ////*************************************************************************//if Time = Closing AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday thenDayClose = CloseDayHigh = Highest[(840/TF)](close[1])DayLow = Lowest[(840/TF)](close[1])ENDIFPivot= (DayHigh + DayLow + DayClose) / 3ResR1 = Pivot + (Pivot - DayLow)ResR2 = Pivot + (Dayhigh - Daylow)ResR3 = Dayhigh + (2 * (Pivot - Daylow))SupS1 = Pivot - (Dayhigh - Pivot)SupS2 = Pivot - (Dayhigh - Daylow)SupS3 = Daylow - (2 * (Dayhigh - Pivot))//*************************************************************************////Moving-Average-Clustering-FilterCode (optional) ////*************************************************************************//x = 10*pipsize //10-pip rangema5 = average[5,0](close)ma50 = average[50,0](close)ma100 = average[100,0](close)ma200 = average[200,0](close)MaxMA = max(ma5,max(ma50,max(ma100,ma200)))MinMA = min(ma5,min(ma50,min(ma100,ma200)))IF ClusterSave = 1 THENIF (MaxMA - MinMA) <= x THENTradeon = 0ELSIF (MaxMA - MinMA) > x THENIF RobustnessTest = 0 THENTradeon = 1ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THENTradeon = 0ENDIFENDIFENDIF//*************************************************************************////R2-Long/S2-Short Filter (optional) ////*************************************************************************//IF ForbiddenLSFlag = 1 THENForbiddenLong = Close < SupS2ForbiddenShort = Close > ResR2ELSIF ForbiddenLSFlag = 2 THENForbiddenLong = Close > ResR2ForbiddenShort = Close < SupS2ELSIF ForbiddenLSFlag = 0 THENForbiddenLong = 0ForbiddenShort = 0ENDIF//*************************************************************************////HexenSabbat-Filter ////*************************************************************************////Datumsliste ggf jährlich anpassenIF HexSabFilter = 1 THENIF Date = (15032019 OR 21062019 OR 20092019 OR 20122019 OR 20032020 OR 19062020 OR 18092020 OR 18122020 OR 19032021 OR 18062021 OR 17092021 OR 17122021 OR 18032022 OR 17062022 OR 16092022 OR 16122022) THENTradeon = 0ELSIF RobustnessTest = 0 AND Opening AND Tradeday THENTradeON = 1ENDIFENDIF//*************************************************************************////MA20/MA50- MA100/200- Cross-Flag ////*************************************************************************//MA20 = Average[20](close)MA50 = Average[50](close)MA100 = Average[100](close)MA200 = Average[200](close)MA20over = (MA20 crosses over MA50)MA20under = (MA20 crosses under MA50)MA100over = (MA100 > MA200)MA100under = (MA100 < MA200)//*************************************************************************////Daytrend-Flag ////*************************************************************************//IF Time = Opening THENIF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THENTrendFlag = 1ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THENTrendFlag = -1ELSIF NOT (DHigh(1) > DHigh(2) AND DLow(1) > DLow(2)) AND NOT (DHigh(1) < DHigh(2) AND DLow(1) < DLow(2)) THENTrendFlag = 0ENDIFENDIFTrendUp = (TrendFlag = 1)TrendDown = (TrendFlag = -1)//*************************************************************************////trailing stop function Risk, Long, Short ////*************************************************************************////wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen// TrailingFlag = 0 Spezial (Code im Modul)// TrailingFlag = 1 Normal// TrailingFlag = 2 RisktrailingstartL = 25*FaktorTS //LONG trailing will start @trailinstart points profit, TrailingFlag = 0trailingstartS = 25*FaktorTS //SHORT trailing will start @trailinstart points profit, TrailingFlag = 0trailingL = 20*FaktorTS //trailing to move the "stoploss"trailingS= 20*FaktorTS //trailing to move the "stoploss"trailingR= 15*FaktorTS //trailing start+to move the "stoploss" for risky positions, TrailingFlag = 2SaveDistanceL = 10 //Minimum Stop-Abstand 10 lt IGSaveDistanceS = 10 //Minimum Stop-Abstand 10 lt IGSaveDistanceR = 10 //Minimum Stop-Abstand 10 lt IGMinimumPlus = SpreadGeb //Anzahl Pips zum Breakeven inkl. Spread+GebührenSET TARGET pProfit ZielProfit //Target Profit//reset the stoploss valueIF NOT ONMARKET THENTrailingFlag = 0NewSL = 0ENDIF//************************////manage long positions ////***********************//IF LOngONMarket AND TrailingFlag = 1 THENnewSL = tradeprice(1)-(trailingstartL*pipsize)SET STOP pLOSS TrailingstartLENDIF//breakevenIF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceL)*pipsize) AND TrailingFlag = 1 THENTrailingFlag = 3newSL = tradeprice(1)+(MinimumPlus*pipsize)SET STOP pTrailing TrailingLENDIFIF (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 3 THENnewSL = close-(trailingL*pipsize)ENDIFIF LongOnMarket AND TrailingFlag = 2 THENnewSL = tradeprice(1)-(trailingR*pipsize)SET STOP pLOSS trailingR//breakevenIF (close-tradeprice(1)) >= ((MinimumPlus+SaveDistanceR)*pipsize) THENnewSL = tradeprice(1)+(MinimumPlus*pipsize)TrailingFlag = 4SET STOP pTrailing TrailingRENDIFIF (close-newSL) >= (trailingR*pipsize) AND TrailingFlag = 4 THENnewSL = close-(trailingR*pipsize)ENDIFENDIF//************************////manage Short positions ////************************//IF ShortONMarket AND TrailingFlag = 1 THENnewSL = tradeprice(1)+(trailingstartS*pipsize)SET STOP pLOSS TrailingstartSENDIF//breakevenIF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceS)*pipsize) AND TrailingFlag = 1 THENTrailingFlag = 3newSL = tradeprice(1)-(MinimumPlus*pipsize)ENDIFIF (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 3 THENnewSL = close+(trailingS*pipsize)SET STOP pTrailing TrailingSENDIFIF ShortOnMarket AND TrailingFlag = 2 THENSET STOP pLOSS trailingRnewSL = tradeprice(1)+(trailingR*pipsize)ENDIF//breakevenIF (tradeprice(1)-close) >= ((MinimumPlus+SaveDistanceR)*pipsize) THENnewSL = tradeprice(1)-(MinimumPlus*pipsize)SET STOP pTrailing TrailingRTrailingFlag = 4ENDIFIF (newSL-close) >= (trailingR*pipsize) AND TrailingFlag = 4 THENnewSL = close+(trailingR*pipsize)ENDIF//stop order to exit the positionsIF LONGOnMarket AND newSL > 0 AND Close <= newSL THENSELL AT MARKETELSIF ShortOnMarket AND newSL > 0 AND Close >= newSL THENEXITSHORT AT MARKETENDIF//*************************************************************************////Simple BreakOut und Trendfolge M/W/D: o/o/o ////*************************************************************************//AmplitudeMin = 20hi = Highest[30](close[1])lo = Lowest[30](close[1])IF Time >= 080000 AND Time <= 220000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin THEN//upIF NOT ONMARKET AND NOT ForbiddenLong AND Close > hi THENIF RSI > 75 AND MACD > 2 AND Close > Average[10](close) AND Close > Close[1] AND Close[1] > Close[2] AND AroonUp > 70 AND MA20over AND TrendUp AND Close > Supertrend THENTrailingFlag = 1BUY PositionsizeLong CONTRACTS AT MARKETENDIFENDIF//downIF NOT ONMARKET AND NOT ForbiddenShort AND Close < lo THENIF RSI < 35 AND MACD < -2 AND Close < Average[10](close) AND Close < Close[1] AND Close[1] < Close[2] AND AroonDown > 70 AND MA20under AND TrendDown AND Close < Supertrend THENTrailingFlag = 1SellShort PositionsizeShort CONTRACTS AT MARKETENDIFENDIFENDIF1 user thanked author for this post.
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