Modular Algo System V2.0 inkl. DAX Intraday 1m System

Stefan Sticker · Tue, 13 Dec 2022 19:40:57 +0000

Anbei mein zwischenzeitlich stark erweiterter modularer Algorithmus-Code inkl. eines “Starter-Paketes zum Experimentieren. Viel Spaß! Kommentare sind natürlich willkommen! //*************************************************************************// //Modular Algorithm Library V2.0 // //*************************************************************************// //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 //Trading Code //*************************************************************************// //Parameter // //*************************************************************************// DEFPARAM PreLoadBars = 10000 DEFPARAM CumulateOrders = false ONCE TradeON = 0 ONCE Tradeday = 0 ONCE IndexFaktoring = 0 // 1=ON 0=OFF Faktoring des Indexkurses ONCE ClusterSave = 2 // 0=OFF 1=small 2=large 3=all MovingAverage-Clustering-Filter ONCE startingsize = 0.25 // starting position size ONCE maxsize = 2 // maximal positionsize ONCE ForbiddenLSFlag = 0 // 0=OFF 1=ON 2=Reverse 3=Strict 4=StrictReverse S1/S2/Short-R1/R2/Long-Filter ONCE RobustnessTest = 0 // 0=OFF 1=ON Robustness-Test ONCE SSC = 0 // 0=OFF 1=ON 2=Alternative Strategy-Stop-Code ONCE Reinvest = 1 // 0=OFF 1=ON Gewinne reinvestieren ONCE ReinvestValue = 0.5 //Reinvestitionsanteil ONCE StartingCapital = 20000 // Startkapital ONCE Modifiers = 1 // 0=OFF 1=ON Modifikatoren auf PositionSize ONCE DaySLFlag = 1 // 0=OFF 1=ON Intraday Short/Long-Reversal-Flag (Modifier) ONCE MarketFlag = 1 // 1=DAX 2=DJI Marktauswahl ONCE HexSabFilter = 1 // 0=OFF 1=ON HexenSabbatFilter ONCE Overnight = 1 // 0=NO 1=YES Overnight Holding allowed //*************************************************************************// //Market Data // //*************************************************************************// ONCE Opening = 080000 // Eröffnungszeit DAX ONCE Closing = 220000 // Schlusszeit DAX ONCE TF = 1 // TimeFrame in Minuten DAX ONCE SpreadGeb = 4 // Spread+Gebühren DAX ONCE Indexfaktor = 13000 ONCE Faktor1 = Close / Indexfaktor ONCE FaktorTS = 1 // Trailing-Stop-Multiplikator IF MarketFlag = 1 THEN Opening = 080000 // Eröffnungszeit DAX Closing = 220000 // Schlusszeit DAX TF = 1 // TimeFrame in Minuten DAX SpreadGeb = 4 // Spread+Gebühren DAX ONCE FaktorTS = 1 // Trailing-Stop-Multiplikator IF IndexFaktoring = 1 THEN Indexfaktor = 14000 ELSIF Indexfaktoring = 0 THEN Indexfaktor = Close ENDIF Faktor1 = Close / Indexfaktor ENDIF IF MarketFlag = 2 THEN Opening = 080000 // Eröffnungszeit DJI Closing = 220000 // Schlusszeit DJI TF = 1 // TimeFrame in Minuten DJI SpreadGeb = 4 // Spread+Gebühren DJI IF IndexFaktoring = 1 THEN Indexfaktor = 30000 ELSIF Indexfaktoring = 0 THEN Indexfaktor = Close ENDIF Faktor1 = Close / Indexfaktor ONCE FaktorTS = 2.5 // Trailing-Stop-Multiplikator ENDIF IF OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT (Month = 10 AND Day = 3) AND NOT (Month = 5 AND Day = 1) AND NOT (Month = 12 AND Day = 24) AND NOT (MONTH = 12 AND Day = 25) AND NOT (MONTH = 12 AND Day = 26) AND NOT (MONTH = 12 AND Day = 30) AND NOT (MONTH = 12 AND Day = 26) THEN Tradeday = 1 ELSE Tradeday = 0 ENDIF //Flat Failsave If ONMARKET AND Overnight = 0 AND (Time < Opening OR Time > Closing) THEN SELL AT Market EXITSHORT AT Market ENDIF //*************************************************************************// //Algorithm Robustness-Test // //*************************************************************************// StartDate = 20000101 // Parameter Qty = 5 // Parameter Rndom = 3 // Parameter once j = 0 once flag = 1 IF RobustnessTest = 1 THEN if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif if flag = -1 then j = j - 1 if j = 0 then j = j + rndom flag = 1 endif endif if opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 0 endif ENDIF //*************************************************************************// //Strategy-Stop-Code, Money Management/ReInvest // //*************************************************************************// barsbeforenextcheck = 30 // number of bars between performance checks drawdownquitting = 1 // drawdown quitting on or off (on=1 off=0) winratequit = 50 // 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 happen increase = 1 // position size increasing on or off (on=1 off=0) decrease = 1 // position size decreasing on or off (on=1 off=0) capital = StartingCapital // starting capital minpossize = 1 // minimum position size allowed gaintoinc = 5 // % profit rise needed before an increase in position size is made losstodec = 5 // % loss needed before a decrease in position size is made maxdrawdown = 50 // maximum % draw down allowed from highest ever equity before stopping strategy maxcapitaldrop = 50 // maximum % starting capital lost before stopping strategy ONCE highestprofit = 0 ONCE count = 0 ONCE win = 0 ONCE winrate = 0 ONCE MMpositionsize = 1 ONCE psperc = (MMpositionsize*startingsize) / (capital/100) ONCE equity = StartingCapital ONCE Profit1 = 0 IF SSC = 1 THEN if strategyprofit < strategyprofit[1] then Profit1 = highestprofit - (strategyprofit[1] - strategyprofit) highestprofit = highestprofit - Profit1 Profit1 = 0 ELSIF strategyprofit > strategyprofit[1] then Profit1 = (strategyprofit - strategyprofit[1])*0.7 highestprofit = highestprofit + Profit1 Profit1 = 0 if count < tradesbeforewrquit OR winrate > winratequit/100 then count = count + 1 if strategyprofit > strategyprofit[1] then win = win + 1 endif ENDIF winrate = win/count ENDIF if count >= tradesbeforewrquit AND winrate < winratequit/100 then quit endif if barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 then if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then quit endif endif if count >= tradesbeforewrquit AND highestprofit = 0 then if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then quit endif ENDIF IF SSC = 2 THEN MMpositionsize = max(((equity)/startingcapital),minpossize) ENDIF ENDIF //*******************************************************************************************// //Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers (optional) // //*******************************************************************************************// //Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des Modifikators ONCE PSizeL = startingsize ONCE PSizeS = startingsize ONCE MonthSizeL = 0 ONCE MonthSizeS = 0 ONCE WeekSizeL = 0 ONCE WeekSizeS = 0 ONCE DaySizeL = 0 ONCE DaySizeS = 0 ONCE Monatsanfang = 0 ONCE Monatsende = 0 ONCE IntraSizeL = 0 ONCE IntraSizeS = 0 ONCE GapCloseup = 0 ONCE GapClosedown = 0 ONCE VBaisse = 0 ONCE VHausse = 0 ONCE SentimentSizeL = 0 ONCE SentimentSizeS = 0 ONCE MidMonthSizeL = 0 IF Modifiers = 1 THEN IF MarketFlag = 1 THEN IF XetraClose > XetraCloseOld THEN VHausse = VHausse +1 VBaisse = 0 ELSIF XetraClose < XetraCloseOld THEN VHausse = 0 VBaisse = VBaisse +1 ENDIF IF VHausse > 5 THEN SentimentSizeS = 0.5 ELSIF VBaisse > 5 THEN SentimentSizeL = 0.5 ENDIF IF Day > 8 AND Day < 12 THEN MidMonthSizeL = 0.5 ELSE MidMonthSizeL = 0 ENDIF IF CurrentMonth = 1 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 2 AND CurrentMonth >= 3 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth = 4 THEN MonthSizeS = 0 PMonthSizeL = 0.5 ELSIF CurrentMonth = 5 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth = 6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF IF Time = Opening THEN If Day >= 01 AND Day <= 08 THEN Monatsanfang = 1 ELSIF Day >= 25 AND Day <= 31 THEN Monatsende = 1 ENDIF ENDIF IF Monatsanfang = 1 THEN IF CurrentMonth >= 1 AND CurrentMonth <= 7 THEN WeekSizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN WeeksizeL = 0 WeekSizeS = 0.25 ELSIF CurrentMonth = 10 THEN WeeksizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THEN WeekSizeL = 0.25 WeekSizeS = 0 ENDIF ENDIF IF Monatsende = 1 THEN IF CurrentMonth = 1 THEN WeekSizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth = 2 THEN WeekSizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 3 AND CurrentMonth <= 6 THEN WeeksizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth = 7 THEN WeekSizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN WeekSizeL = 0 WeekSizeS = 0.5 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN WeeksizeL = 0.5 WeekSizeS = 0 ENDIF ENDIF IF OpenDayofWeek = 1 THEN DaySizeL = 0.25 DaySizeS = 0 ELSIF OpenDayofWeek = 5 Then DaySizeL = 0 DaySizeS = 0.25 ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THEN DaySizeL = 0 DaySizeS = 0 ENDIF IF Close < DLow(1) AND DaySLFlag = 1 THEN IntraSizeL = 0.25 IntraSizeS = 0 ELSIF Close > DHigh(1) AND DaySLFlag = 1 THEN IntraSizeL = 0 IntraSizeS = 0.25 ELSIF DaySLFlag = 0 THEN IntraSizeL = 0 IntraSizeS = 0 ENDIF IF Time >= Opening AND Time <= Closing THEN IF Close > ResR2 THEN IDReversalL = 0.25 ELSIF Close > ResR3 THEN IDReversalL = 0.5 ELSIF Close < SupS2 AND Close > SupS3 THEN IDReversalS = 0.25 ELSIF Close < SupS3 THEN IDReversalS = 0.5 ELSIF Close < ResR2 AND Close > SupS2 THEN IDReversalL = 0 IDReversalS = 0 ENDIF ENDIF IF Time = Closing THEN TrendUp = 0 TrendDown = 0 ENDIF IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendUp = 0.25 TrendDown = 0 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendUp = 0 TrendDown = 0.25 ENDIF ENDIF IF Time = Opening AND XetraCloseOld > XetraClose AND Close < XetraClose-10 THEN GapCloseup = 0.5 GapClosedown = 0 ELSIF Time = Opening AND XetraCloseOld < XetraClose AND Close > XetraClose+10 THEN GapCloseup = 0 GapClosedown = 0.5 ENDIF ELSIF MarketFlag = 2 THEN IF CurrentMonth = 1 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 3 OR CurrentMonth = 4 OR CurrentMonth = 5 THEN MonthSizeS = 0 PMonthSizeL = 0.25 ELSIF CurrentMonth = 6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 OR CurrentMonth = 8 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth = 9 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF ENDIF ENDIF //Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassen IF Reinvest = 1 THEN PositionSizeLong = (PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize) PositionSizeShort = (PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize) ELSIF Reinvest = 0 THEN PositionSizeLong = Min(maxsize,(PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL))*MMpositionsize) PositionSizeShort = Min(maxsize,(PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS))*MMpositionsize) ELSIF Modifiers = 0 THEN PositionSizeLong = Min(maxsize,(PSizeL*MMpositionsize)) PositionSizeShort = Min(maxsize,(PSizeS*MMpositionsize)) ENDIF //*************************************************************************// //Xetra-Korrektur High Low Close, Pivot, Resistance, Support , Flags // //*************************************************************************// ONCE DayClose = 14536 // last numbers before start of algorithm ONCE DayHigh = 14586 ONCE DayLow = 14389 ONCE XetraClose = 14523 ONCE XetraCloseOld = 14423 ONCE ReachedXetra = 1 ONCE ReachedDayClose = 1 ONCE Reachedboth = 1 ONCE ClosetryCount = 0 IF Time = 060000 THEN ReachedXetra = 0 ReachedDayClose = 0 Reachedboth = 0 ClosetryCount = 0 ENDIF IF Time >= 070000 AND Time <= 113000 THEN IF Close >= XetraClose-15 AND Close <= XetraClose+12 THEN ReachedXetra = 1 ENDIF IF Close >= DayClose-10 AND Close <= DayClose+12 THEN ReachedDayClose = 1 ENDIF IF (ReachedXetra = 1) AND (ReachedDayClose = 1) THEN Reachedboth = 1 ENDIF ENDIF Overboth = (Close-5 > XetraClose AND XetraClose > DayClose) OR (Close-5 > DayClose AND DayClose > XetraClose) Underboth = (Close+5 < XetraClose AND XetraClose < DayClose) OR (Close+5 < DayClose AND DayClose < XetraClose) AmplitudeMin = 10 hi = Highest[15](close[1]) lo = Lowest[15](close[1]) IF Time = 174400 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN IF (Close < XetraClose AND (Highest[585] < XetraClose-5)) OR ((Close > XetraClose) AND Lowest[585] > XetraClose+5) THEN XetraCloseOld = XetraClose ENDIF ENDIF IF TIME = 174500 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN XetraClose = Close[0] ENDIF IF Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then DayClose = Close[0] DayHigh = Highest[(840/TF)](close[0]) DayLow = Lowest[(840/TF)](close[0]) ENDIF if Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then Pivot = (DayHigh + DayLow + DayClose) / 3 ResR1 = 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)) ENDIF //*************************************************************************// //Moving-Average-Clustering-FilterCode (optional) // //*************************************************************************// xx = 15*pipsize //20-pip range xy = 15*pipsize //20-pip range ma4500 = Average[4500,0](close) ma2500 = Average[2500,0](close) ma1000 = average[1000,0](close) ma50 = average[50,0](close) ma100 = average[100,0](close) ma200 = average[200,0](close) MaxMA = max(ma1000,max(ma2500,max(ma100,ma200))) MinMA = min(ma1000,min(ma2500,min(ma100,ma200))) IF ClusterSave = 1 OR ClusterSave = 3 THEN IF (MaxMA - MinMA) <= xx THEN Tradeon = 0 ELSIF (MaxMA - MinMA) > xx THEN IF RobustnessTest = 0 THEN Tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THEN Tradeon = 0 ENDIF ENDIF ENDIF IF ClusterSave >= 2 THEN IF (max(ma4500,ma2500)-min(ma4500,ma2500) < xy) OR (max(ma4500,ma1000)-min(ma4500,ma1000) < xy) OR (max(ma2500,ma1000)-min(ma2500,ma1000) < xy) THEN Tradeon = 0 ENDIF ENDIF //*************************************************************************// //R2-Long/S2-Short Filter (optional) // //*************************************************************************// ONCE ForbiddenLong = 0 ONCE ForbiddenShort = 0 IF ForbiddenLSFlag = 1 THEN ForbiddenLong = Close < SupS2 ForbiddenShort = Close > ResR2 ELSIF ForbiddenLSFlag = 2 THEN ForbiddenLong = Close > ResR2 ForbiddenShort = Close < SupS2 ELSIF ForbiddenLSFlag = 3 THEN ForbiddenLong = Close < SupS1 ForbiddenShort = Close > ResR1 ELSIF ForbiddenLSFlag = 4 THEN ForbiddenLong = Close > ResR1 ForbiddenShort = Close < SupS1 ELSIF ForbiddenLSFlag = 0 THEN ForbiddenLong = 0 ForbiddenShort = 0 ENDIF //*************************************************************************// //MA20/MA50- MA30/50- MA100/200- Cross-Flag // //*************************************************************************// MA20 = Average[20](close) MA30 = Average[30](close) MA50 = Average[50](close) MA100 = Average[100](close) MA200 = Average[200](close) MA20over = (MA20 crosses over MA50) MA20under = (MA20 crosses under MA50) MA30over = (MA30 crosses over MA50) MA30under = (MA30 crosses under MA50) MA100over = (MA100 > MA200) MA100under = (MA100 < MA200) //*************************************************************************// //HexenSabbat-Filter // //*************************************************************************// IF HexSabFilter = 1 THEN IF (CurrentMonth = 3 OR CurrentMonth = 6 OR CurrentMonth = 9 OR CurrentMonth = 12) AND OpenDayofWeek = 5 AND Day >= 15 AND Day <= 21 THEN TradeDay = 0 ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN TradeOn = 1 ELSE TradeON = 0 ENDIF ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN TradeON = 1 ELSE TradeON = 0 ENDIF //*************************************************************************// //Daytrend-Flag // //*************************************************************************// ONCE TrendFlag = 0 IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendFlag = 1 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendFlag = -1 ELSIF NOT (DHigh(1) > DHigh(2) AND DLow(1) > DLow(2)) AND NOT (DHigh(1) < DHigh(2) AND DLow(1) < DLow(2)) THEN TrendFlag = 0 ENDIF ENDIF TrendUp = (TrendFlag = 1) TrendDown = (TrendFlag = -1) //*************************************************************************// //trailing stop function Risk, Long, Short // //*************************************************************************// //wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen // TrailingFlag = 0 Special (Code im Modul) // TrailingFlag = 1 Normal // TrailingFlag = 2 Risk trailingstartL = 35*FaktorTS*Faktor1 //LONG trailing will start @trailinstart points profit, TrailingFlag = 0 trailingstartS = 35*FaktorTS*Faktor1 //SHORT trailing will start @trailinstart points profit, TrailingFlag = 0 trailingL = 13*FaktorTS*Faktor1 //trailing to move the "stoploss" trailingS= 13*FaktorTS*Faktor1 //trailing to move the "stoploss" trailingR= 11*FaktorTS*Faktor1 //trailing start+to move the "stoploss" for risky positions, TrailingFlag = 2 SaveDistanceL = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG SaveDistanceS = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG SaveDistanceR = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG MinimumPlus = SpreadGeb //Anzahl Pips zum Breakeven inkl. Spread+Gebühren ONCE TrailingFlag = 0 ONCE newSL = 0 //reset the stoploss value IF NOT ONMARKET THEN TrailingFlag = 0 newSL = 0 ENDIF //************************// //manage long positions // //***********************// IF LOngONMarket AND TrailingFlag = 1 THEN newSL = tradeprice-(trailingstartL*pipsize) ENDIF //breakeven IF LOngONMarket AND (close-tradeprice) >= ((SaveDistanceL+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN newSL = Close-((SaveDistanceL)*pipsize) TrailingFlag = 3 ENDIF IF LOngONMarket AND (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 3 THEN newSL = close-(trailingL*pipsize) ENDIF IF LongOnMarket AND TrailingFlag = 2 THEN newSL = Close-(trailingR*pipsize) ENDIF //breakeven IF LongOnMarket AND (close-tradeprice) >= ((MinimumPlus+SaveDistanceL)) THEN newSL = Close-(SaveDistanceL) TrailingFlag = 4 ENDIF IF LongOnMarket AND (close-newSL) > (trailingL) AND TrailingFlag = 4 THEN newSL = newSL+(close-trailingL) ENDIF //************************// //manage Short positions // //************************// IF ShortONMarket AND TrailingFlag = 1 THEN newSL = tradeprice+(trailingstartS*pipsize) ENDIF //breakeven IF ShortOnMarket AND (tradeprice-close) >= ((SaveDistanceS+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN TrailingFlag = 3 newSL = Close+((SaveDistanceS)*pipsize) ENDIF IF ShortOnMarket AND (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 3 THEN newSL = close+(trailingS*pipsize) ENDIF IF ShortOnMarket AND TrailingFlag = 2 THEN newSL = Close+(trailingR*pipsize) ENDIF //breakeven IF ShortOnMarket AND (tradeprice-close) >= ((MinimumPlus+SaveDistanceS)) THEN newSL = Close-(SaveDistanceS) TrailingFlag = 4 ENDIF IF ShortOnMarket AND (newSL-close) => (trailingS) AND TrailingFlag = 4 THEN newSL = close+((trailingS)) ENDIF //**********************************// //stop order to exit the positions // //*********************************// IF LONGONMARKET AND Close <= Lowest[1440] AND newSL > 0 THEN SELL AT MARKET TrailingFlag = 0 ELSIF ShortOnMarket AND Close >= Highest[1440] AND NewSL > 0 THEN EXITSHORT AT MARKET TrailingFlag = 0 ENDIF IF LongonMarket AND newSL > 0 AND close < newSL THEN SELL AT MARKET ELSIF ShortOnMarket AND newSL > 0 AND close > newSL THEN EXITSHORT AT MARKET ENDIF IF LONGOnMarket AND newSL > 0 AND ((Close < newSL) OR (Average[20] crosses under Average[30] AND Average[30] < Average[50] AND Close < Average[2000] AND Close < Average[100] AND Average[100] < Average[200]) AND Close < Close[1] AND Close < tradeprice-100) THEN SELL AT MARKET TrailingFlag = 0 ELSIF ShortOnMarket AND newSL > 0 AND ((Close => newSL) OR (Average[20] > Average[30] AND Average[30] > Average[50] AND Close > Average[2000] AND Close > Average[100] AND Average[100] > Average[200]) AND Close > Close[1] AND Close > tradeprice+100 ) THEN EXITSHORT AT MARKET TrailingFlag = 0 ENDIF IF Time = 220000 THEN IF LongOnMarket THEN newSL = newSL +2 ELSIF ShortOnMarket THEN newSL = newSL -2 ENDIF ENDIF //stop order to exit the positions if price went high/low enough IF LongonMarket AND (Close - TradePrice) > 250 THEN SELL AT MARKET newSL = 0 TrailingFlag = 0 ELSIF ShortonMarket AND (TradePrice - Close) > 250 THEN EXITSHORT AT MARKET newSL = 0 TrailingFlag = 0 ENDIF //stop order to exit the positions if marketClose and price went high/low enough IF LongonMarket AND (Time >= 220000 OR Time <= 070000) AND (Close - TradePrice) > MinimumPlus THEN SELL AT MARKET TrailingFlag = 0 newSL = 0 ELSIF ShortonMarket AND (Time >= 220000 OR Time <= 070000) AND (TradePrice - Close) > MinimumPlus THEN EXITSHORT AT MARKET TrailingFlag = 0 newSL = 0 ENDIF //*************************************************************************// //Dayly-Gap-Strategy // //*************************************************************************// IF ClosetryCount < 10 THEN IF ((TIME = 065900)) AND TradeON AND TradeDay AND NOT OnMarket THEN IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND NOT Trenddown AND Close = Highest[30] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME = 075900)) AND NOT Reachedboth AND TradeON AND TradeDay AND NOT OnMarket THEN IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND MACD > -1 AND NOT Trenddown AND Close = Highest[30] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME >= 085400) AND (TIME <= 085500)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 10 AND RSI < 75 AND MACD < 2 AND Close < Average[200] AND Close < Average[10] AND NOT Trendup AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND NOT OnMarket AND Close < Pivot+8 AND Close > Pivot-55 AND Aroonup > 10 AND RSI > 20 AND MACD > -1 AND Close > Average[200] AND CLose > Average[1000] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME >= 092500) AND (TIME <= 093500)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 20 AND RSI < 70 AND MACD < 1 AND Close < Average[200] AND Average[50] < Average[100] AND Average[100] < Average[200] AND Close < Average[10000] AND Overboth AND Close = Lowest[90] THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pTrailing 100*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND NOT Onmarket AND Close < Pivot+8 AND Close > Pivot-100 AND Aroonup > 20 AND RSI > 25 AND MACD > 0 AND Close > Average[200] AND Average[50] > Average[200] AND Average[100] > Average[200] AND Close < XetraClose AND Underboth AND Close = Highest[90] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pTrailing 100*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF (TIME >= 080000 AND TIME <= 113000) AND Tradeon AND Tradeday THEN IF NOT ForbiddenShort AND Not Onmarket AND Overboth AND Reachedboth = 0 AND (Close > Average[4500]) AND (Close > Average[100]) AND (Close > Average[1000]) AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND Close < Close[1] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN SET TARGET pProfit (Close - DayClose)-5 ELSE SET TARGET pProfit (Close-min(min(DayClose,XetraClose),Pivot))-5 ENDIF SET STOP pTrailing 220*Faktor1 ELSIF NOT ForbiddenShort AND Not Onmarket AND Reachedboth = 0 AND (Close > Average[100]) AND (Close < Average[1000]) AND (Average[2500] < Average[1000]-15) AND (Average[4500] < Average[2500]) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND NOT Trendup AND Close < Close[1] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN SET TARGET pProfit (Close - DayClose)-5 ELSE SET TARGET pProfit (Close-max(max(DayClose,XetraClose),Pivot))-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close < Average[4500]) AND Close < Average[100]) AND ((Average[2500] < Average[1000]) OR (Average[4500] < Average[2500]) OR (Average[4500] < Average[1000])) AND Aroonup > 15 AND RSI > 20 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(max(DayClose,XetraClose),Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLOng AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close > Average[4500]) AND Close > Average[100]) AND ((Average[2500] > Average[1000]) AND (Average[4500] < Average[2500]) AND (Average[4500] < Average[1000])) AND Aroonup > 5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Close > Average[100] AND Average[200] > Average[1000] AND Aroonup > 5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) AND (Average[4500] > Average[2500]) AND (Average[1000] > Average[200]) AND Average[200] > Average[100]) AND Close > Average[100] AND Aroonup > 5 AND RSI > 20 AND MACD > -2 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 200*Faktor1 ENDIF ENDIF ENDIF //*************************************************************************// //Tagesschluss Rallye und Down M/W/D: o/o/o // //*************************************************************************// //up IF Time >= 164500 AND Time <= 173000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN IF Close > (Pivot) THEN IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 5 AND MA20over AND Close < Highest[840] THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ELSIF Close < Pivot AND RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 0 AND MA20over AND Average[50] > Average[100] THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF Time >= 175000 AND Time <= 210000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN IF Close < (Pivot) THEN IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND Average[100] > Average[200] AND Average[200] < Average[1000] AND Average[1000] < Average[2500] AND Average[2500] < Average[4500] AND AroonUp > 0 AND MA20over THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF //down IF (Time >= 164500 AND Time <= 173000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close < (Pivot) THEN IF RSI < 85 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF IF Opendayofweek = 5 AND (Time >= 175000 AND Time <= 184500) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > Pivot AND RSI < 25 AND MACD < -2 AND Close < Average[20] AND Close < Average[50] AND AroonDown > 5 AND Close < Average[100] THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF (Time >= 180000 AND Time <= 190000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > Pivot AND NOT ReachedXetra AND RSI < 75 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under AND Average[100] < Average[200] THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF Time >= 180000 AND Time <= 200000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > (Pivot) THEN IF RSI < 75 AND MACD < 2 AND Close < Average[100] AND Average[100] < Average[200] AND Average[100] > Average[1000]+25 AND Average[1000] > Average[2500] AND AroonDown > 0 AND MA20under THEN Sellshort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF IF Time >= 190000 AND Time <= 215900 AND TradeDay AND TRADEON THEN IF Close > ResR1 AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF RSI < 75 AND MACD < 2 AND Close < Average[10] AND Average[10] < Average[30] AND Average[100] < Average[200] AND Average[200] > Average[1000] AND MA30under AND AroonDown > 0 THEN Sellshort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ELSIF Close < SupS1 AND NOT ONMARKET AND NOT ForbiddenLong AND Close >= hi THEN IF RSI > 25 AND MACD > -2 AND Close > Average[10] AND Average[10] < Average[30] AND MA30over AND Average[100] > Average[200] AND Average[200] < Average[1000] AND AroonUp > 0 THEN Buy PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF // JahresendRallye IF Time >= 143000 AND Time <= 171500 AND Close > Average[10000] AND Tradeday AND TradeON AND NOT ForbiddenLong AND NOT Trenddown AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND Close < ResR3 AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN BUY PositionSizeLong CONTRACTS AT MARKET SET STOP pTrailing 100*Faktor1 ENDIF // Nachmittagsanstieg IF Time >= 143000 AND Time <= 200000 AND NOT Reachedboth AND Tradeday AND TradeON AND NOT ForbiddenLong AND Trendup AND CurrentMonth < 10 AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN BUY PositionSizeLong CONTRACTS AT MARKET SET STOP pTrailing 100*Faktor1 ENDIF

This topic has 35 replies, 12 voices, and was last updated 1 month ago by VinzentVega.

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12/30/2022 at 7:25 AM #206481

plbourse

Hallo Chrisnobi

Ich bin noch nicht so weit. Kannst du die kompletten Ergebnisse deines Backtexts mal mitteilen (Code mit Einstellungen, detailliertes Report mit allen Positionen und Trades, dies auf dem 200k Basis, am Besten in einem Excel File). Ich habe keinen echten Zugang zu ProRealtime bis Anfang Januar (bin unterwegs im Auto). Danke. Falls ich weiterkomme aund einige OPtimierungen finde, wurde ich dann das Geliche machen.

Beste Grüsse aus der Burgund, heute Abend in der Vendee neben Bretagne, nächste Woche wieder in Portugal

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12/30/2022 at 10:34 AM #206493

Chrisinobi

Hallo Blbourse
Leider bin ich auch unterwegs und kann erst nächstes Jahr, wenn ich wieder im Büro bin, ihren wünschen nachkommen. Ich wünsche Ihnen einen schönen Jahreswechsel.

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01/20/2023 at 12:09 PM #207754

plbourse

Hallo Grahal

entschuldige den Deutsch (ist nicht meine MutterSprache) und leider komme ich nicht weiter mit der Änderung des Codes in den Zeilen 676 bis 679

Anbei schicke ich dir als Textdatei den Code den ich einfach vom 1. Message dieser Liste von Mitteilungen Kopiert habe. Kannst du es entsprechend korrigieren oder nur mir den komplette Code mit Korrektur zuruckschicken.

Ich bedanke mich im voraus und werde, falls positiv, meine Versuchsergenbnisse hier weiterverteilen.

Beste Grusse von einem Franzosen in Portugal

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01/21/2023 at 1:16 PM #207820

GraHal

plbourse schrieb:

kopiert von der 1. Nachricht in dieser Liste von Nachrichten

Kopieren Sie den Code aus der zweiten Nachricht in diesem Thema (der Code in der zweiten Nachricht zeigt blauen Text usw.).

Es scheint, dass der Code in der 2. Nachricht von dem korrigiert wurde, was ich in einem früheren Beitrag als falsch bezeichnet habe.

Ich habe gerade den Code aus der 2. Nachricht kopiert und er läuft im Backtest und zeigt keine Struktur- oder Syntaxfehler.

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plbourse

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03/31/2024 at 6:32 PM #230801

brian gilbert

“Eine kleine aktuelle Code-Ergänzung im Handelscode:
IF ((TIME >= 092000) AND (TIME <= 100000)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Aroondown > 10 AND RSI < 70 AND MACD < 0 AND Close < Average[100] AND Close < Average[50] AND Average[50] < Average[100] AND Average[100] < Average[200] AND Close < Average[10000] AND Close = Lowest[90] THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF
IF Not Forbiddenlong AND NOT Onmarket AND Aroonup > 10 AND RSI > 25 AND MACD > 0 AND Close > Average[100] AND Close > Average[50] AND Average[50] > Average[200] AND Average[100] > Average[200] AND Close > Average[10000] AND Close = Highest[90] THEN
Buy PositionSizeLong Contracts AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF
ENDIF

Die Ergebnisse im Backtest bei 200.000 Ticks im 1m DAX sind dem angehängten Bild zu entnehmen.”

Im Hinblick auf den oben genannten Code, ich habe versucht, ihn auf meiner Plattform zum Laufen zu bringen, aber natürlich fordert er mich auf, die Variablen zu definieren, nämlich: Faktor1, Forbiddenlong, Forbiddenshort, Tradeday und TradeON… Welche Werte würden Sie empfehlen einzugeben?

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10/16/2024 at 9:41 AM #239041

VinzentVega

Die Ergebnisse sind ernüchternd. Diese Algos mit den extrem vielen Parametern funktionieren nur während des Backtestzeitraums. Danach schmieren sie in der Regel ab. Trotz einer Gewinnquote von fast 80%, steht am Ende ein Minus da.

VinzentVega
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