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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05/28/2020 at 8:31 PM #133654

OboeOpt

@nonetheless in post #132840 you refer to the “original” v4.5, I can´t figure out what version that is? Doesn´t seem to exist as itf, can you help me? Gets a bit confusing sometimes when you´re new to PRT and ideas and versions are updated constantly in the forum… But very interesting to follow the progress from those how know what they are doing!

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05/28/2020 at 9:26 PM #133658

Vonasi

Click on ‘View all attachments’ at the top of this forum page and you get a list of all attachments. Look for ITF files in the list. Having said that I checked this topic and could not find any v4.5 listed so perhaps it was never posted as an attachment.

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05/28/2020 at 9:36 PM #133659

GraHal

OboeOpt wrote:

you refer to the “original” v4.5, I can´t figure out what version that is?

It appears that Nonetheless did as below from v 4.2 and there isn’t a V4.5.

v4.2 is in the Attachment List.

I found below below by googling ‘ProRealCode Dragon V4.5‘

nonetheless wrote:

Very minor changes. I only changed the version number for my own purposes. Performance is near identical.

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05/28/2020 at 9:52 PM #133660

nonetheless

@OboeOpt – here you go. Very minor changes from the previous so I didn’t bother posting it. Best of luck.

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OboeOpt

nonetheless

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05/28/2020 at 9:55 PM #133662

nonetheless

@GraHal – you got in just before me! thanks

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GraHal

nonetheless

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06/01/2020 at 5:48 PM #134078

Dow Jones

Hi,

@nonetheless, I added a mechanism to close faster if trend is almost confirming to hit the SL, e.g. if short, but trend supported by MA20. It limits a little bit of the average loss. I attached the .itf if it makes sense.

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06/03/2020 at 2:52 PM #134410

fifi743

Good morning,
You can do much better

fifi743

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06/03/2020 at 4:21 PM #134426

nonetheless

fifi743 wrote:

You can do much better

Salut Fifi, what do you suggest? I’d love to hear it 🤔

nonetheless

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06/03/2020 at 4:31 PM #134433

fifi743

//===============  ajouter fermeture des positions rsi et barindex-tradeindex =====
if afprsi then
myrsi=rsi[15](close)
//34
if myrsi<47 and barindex-tradeindex>3 and longonmarket and close>positionprice then
sell at market
endif
if myrsi>69 and barindex-tradeindex>1 and shortonmarket and close<positionprice then
exitshort at market
endif
endif

// =================== forme de bougie doji ====================
if bougiedoji then
if longonmarket and abs(open-close)<1 and high[1]<high and close>positionprice and high-close>18 then
sell at market
endif
if shortonmarket and abs(open-close)<1 and low[1]<low and close<positionprice then
exitshort at market
endif
endif

//=============== ajouter fermeture des positions rsi et barindex-tradeindex =====

if afprsi then

myrsi=rsi[15](close)

//34

if myrsi<47 and barindex-tradeindex>3 and longonmarket and close>positionprice then

sell at market

endif

if myrsi>69 and barindex-tradeindex>1 and shortonmarket and close<positionprice then

exitshort at market

endif

// =================== forme de bougie doji ====================

if bougiedoji then

if longonmarket and abs(open-close)<1 and high[1]<high and close>positionprice and high-close>18 then

sell at market

endif

if shortonmarket and abs(open-close)<1 and low[1]<low and close<positionprice then

exitshort at market

endif

Hi,
You adapt this code + small adjustment and hop

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Francesco

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06/03/2020 at 5:28 PM #134445

Francesco

What kind of “small adjustments”? This could be implemented also on DOW version?

Can you share the full code?

Francesco

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06/03/2020 at 5:34 PM #134446

fifi743

Hello, Francesco,
Yes, I’ll share,
Yes, it is applicable to any version by adjusting the values.

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Francesco

fifi743

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06/03/2020 at 5:38 PM #134447

fifi743

But you have to understand the code.
I’ve added to line 120 and 130

//conditions buy
dhigh(0)-high<250 
//condition sell
low-dlow(0)<700

//conditions buy

dhigh(0)-high<250

//condition sell

low-dlow(0)<700

fifi743

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06/03/2020 at 5:40 PM #134448

fifi743

And at the end of the algo

//************************************************************************
IF longonmarket and barindex-tradeindex>1800 and close<positionprice then
sell at market
endif
IF shortonmarket and barindex-tradeindex>930 and close>positionprice then
exitshort at market
endif
//=============================================
if longonmarket and abs(open-close)<1 and high[1]>high and close>positionprice and high-close>10then
sell at market
endif
if shortonmarket and abs(open-close)<1 and low[1]>low and close-low>13 and close<positionprice then
exitshort at market
endif
//===================================
myrsiM5=rsi[14](close)
//
if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then
sell at market
endif
if myrsi>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then
exitshort at market
endif

//************************************************************************

IF longonmarket and barindex-tradeindex>1800 and close<positionprice then

sell at market

endif

IF shortonmarket and barindex-tradeindex>930 and close>positionprice then

exitshort at market

endif

//=============================================

if longonmarket and abs(open-close)<1 and high[1]>high and close>positionprice and high-close>10then

sell at market

endif

if shortonmarket and abs(open-close)<1 and low[1]>low and close-low>13 and close<positionprice then

exitshort at market

endif

//===================================

myrsiM5=rsi[14](close)

if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then

sell at market

endif

if myrsi>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then

exitshort at market

endif

and change parameters

fifi743

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06/03/2020 at 5:41 PM #134449

Francesco

I always prefer understanding the code instead of having it served.
I was just thinking on that “small adjustments”.
I’ll go for myself to implement with this last input and let you know 🙂

Francesco

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06/03/2020 at 5:44 PM #134451

fifi743

It’s up to you to test

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