Mother of Dragons trading strategy…

nonetheless · Tue, 21 Jan 2020 10:47:18 +0000

Well, I had to call it something, right? Attached is the first code I’ve put together that ‘seems to work’. Survives all manner of WF tests: 70-30, 50-50, 30-70 – however you want to chop it. Also does well in Vonasi’s robustness tester, Random 10-10. I tried hitting it with a very big hammer but still performs well. Uses a combination of HullMA and Supertrend on the 2h TF to define the primary trend, then another HullMA + trailing stop on a 5m TF to control entry and exit. The 5m TF doesn’t give us much in the backtest but it does well in clear uptrends and downtrends. Just that choppy bit in March 2019 where it couldn’t cope. I hate to see whole month where a strategy doesn’t come good, but one out of 16 is not too shabby. It runs around the clock so I’ve allowed for a spread of 3.3, calculated for IG as: (6.5 x 2.4 + 6.5 x 1.6 + 2 x 9.8 + 9 x 3.8)/24 All backtesting was done with MM disabled but I ran the final optimization with it turned on just to demonstrate the boost it gives. Starts with position size = 1 and by the end of the run when equity has trebled, it’s placing position size of ~3.4, so more or less in keeping with standard practise. Also reduces position size in bad patches. Credit where credit is due: Vonasi wrote the Money Management part and coded the HullMA for me. The trailing stop I believe is Nicolas’ work – big thanks to both! But the really cool thing about this strategy is that the equity graph draws a perfect profile of Daenerys Targaryen! You might have to squint a bit, but if you can’t see Daenerys then you haven’t optimized correctly. All comments, suggestions, mods etc welcome! // DJI 5m DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 5000 Capital = 10000 MinSize = 1 //The minimum position size allowed for the instrument. MM1stType = 0 //Starting type of moneymanagement. Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased. MM2ndType = 1 //Type of money management to switch to after TradesQtyForSwitch number of trades and ProfitNeededForSwitch profit has occurred TradesQtyForSwitch = 15 //Quantity of trades required before switching to second money management choice. ProfitNeededForSwitch = 2 //% profit needed before allowing a money management type change to MM2ndType. DrawdownNeededToSwitch = 8 //% draw down from max equity needed before money management type is changed back to MM1stType. DrawdownNeededToQuit = 25 //% draw down from max equity needed to stop strategy Once MoneyManagement = MM1stType Equity = Capital + StrategyProfit maxequity = max(equity,maxequity) if equity < maxequity * (1 - (DrawdownNeededToSwitch/100)) then enoughtrades = 0 tradecount = 0 moneymanagement = MM1stType endif if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then quit endif if not EnoughTrades then if abs(countofposition) > abs(countofposition[1]) then tradecount = tradecount + 1 endif if tradecount > TradesQtyForSwitch and maxequity >= Capital * (1 + (ProfitNeededForSwitch/100)) then EnoughTrades = 1 MoneyManagement = MM2ndType endif endif IF MoneyManagement = 1 THEN PositionSize = Max(MinSize, Equity * (MinSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinSize ENDIF PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 // Size of POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize TIMEFRAME(120 minutes) Period= 520 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] indicator1 = SuperTrend[5,21] c3 = (close > indicator1) c4 = (close < indicator1) TIMEFRAME(5 minutes) Periodb= 60 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1] c6 = HULLb < HULLb[1] // Conditions to enter long positions IF c1 AND C3 AND C5 THEN BUY PositionSizeLong CONTRACT AT MARKET SET STOP %LOSS 2.1 SET TARGET %PROFIT 1 ENDIF // Conditions to enter short positions IF c2 AND C4 AND C6 THEN SELLSHORT PositionSizeShort CONTRACT AT MARKET SET STOP %LOSS 1.2 SET TARGET %PROFIT 1 ENDIF //trailing stop function trailingstart = 84 //trailing will start @trailinstart points profit trailingstep = 3 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

This topic has 522 replies, 50 voices, and was last updated 3 years ago by LaurentBZH35.

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03/29/2020 at 11:56 AM #123792

nonetheless

@bona25, it’s just that no one can understand why you always have HTML coding in your posts — ie <span lang=“en”> </span>

Where does that come from? What browser are you using?

Actually it’s disappeared now. the HTML was there a minute ago in your last post… ????

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03/29/2020 at 12:52 PM #123800

GraHal

I suspect bona is using a Translator and he is copying a bit too much our of the translated box or more likely he just needs to right click, paste text only (to avoid pasting html)?

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03/29/2020 at 1:32 PM #123808

nonetheless

Either that or using the Text button (above and to the right of the Reply box) where you can use HTML. When you click on Visual, the code disappears.

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03/29/2020 at 1:34 PM #123809

Vonasi

nonetheless wrote:

Actually it’s disappeared now. the HTML was there a minute ago in your last post… ????

I imagine one of us moderators lost another few moments of our life tidying it up and then probably lost the will to live when it came to asking the person who posted it to take a bit more care…again.

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03/29/2020 at 2:47 PM #123813

robertogozzi

I tidied it up.

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03/31/2020 at 12:59 PM #124066

Dr Manhattan

Anyone running this live, either the DAX or DOW version? I’m running the DAX version but I’m not sure what to expect. There is a few gains but now with these spreads it seems like the occational larger loss makes a greater impact?

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03/31/2020 at 3:28 PM #124096

nonetheless

Dr Manhattan wrote:

I’m not sure what to expect

Ah, the problem is that none of us knows what to expect. If anyone did —well, you can imagine.

Nothing moves in a straight line. You win some, you lose some, and at the end of the month/year/life you hope to have won more than you lost. That’s about it.

Personally I would not advise running the DAX version as it is; it was only ever optimised @ 100k and fell apart in longer back tests. I’m working on a better one.

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03/31/2020 at 3:29 PM #124097

dnystrom

Im running both DOW and DAX live

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03/31/2020 at 5:58 PM #124129

nonetheless

Here’s a couple of updates for the DAX and SP, both greatly improved from v1. Of the 2 I prefer the curve on the DAX v2; the SP makes almost a third of its profit in just the last 3 crazy months, not a good sign.

WF was excellent across all sectors, robustness score not excellent but acceptable — DAX is attached, SP was around 58 average score.

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03/31/2020 at 6:04 PM #124134

Dr Manhattan

Ok, thanks man. I’ll keep you posted about any progress.

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03/31/2020 at 6:09 PM #124135

nonetheless

Something weird is happening, not able to upload the itf files or other images. Keeps throwing me back to page one of the thread. I’ll try again later.

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03/31/2020 at 6:12 PM #124136

nonetheless

One more try

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03/31/2020 at 6:26 PM #124146

fifi743

Hi nonetheless
You’re putting a message in with the attachments?

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03/31/2020 at 6:37 PM #124151

nonetheless

@fifi743 yeah, I think that was the problem. I thought I could just send the attachments. All good now.

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keewee

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03/31/2020 at 7:16 PM #124161

Florian

hi,

I launched 2 days ago the DOW version and the Dax version. I’ll send you the results by tonight! I worked on an optimization of the code on the game in 15 min with a real buy time 1, buy time 2 , buy time 3 , buy time 4, buy time 5, buy time 6 and sell time1,2,3,4,5,6 with stops adapted to the level of the periods.

Because the spread is not the same at night as during the day.

PS : sorry for my English

Florian

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GraHal

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