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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06/03/2020 at 5:49 PM #134453

Francesco

Here’s the fact, you were working on 4.6 by dowjones and not on 4.5 by nonetheless?

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06/03/2020 at 5:59 PM #134455

fifi743

Yes, but you can change the code to 4.5.

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06/03/2020 at 6:01 PM #134456

fifi743

I got the latest version.

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06/03/2020 at 6:09 PM #134457

Souhail Sam

@fifi743 I would like to thank you for your work, the code seems to be very good after your customisations.

I’m proud of your work.

Continuez comme ça (Keep up)

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fifi743

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06/04/2020 at 12:00 AM #134497

nonetheless

Thanks for that @fifi743. Attached is the version I am now working from, includes some other small changes in addition to Fifi’s.

Note that the robustness score has been falling since v4 … but (in my opinion) still acceptable. If you prefer more robust with lower potential profit you may want to roll back a few versions.

@Dowjones, thanks for your mod – I tried it with and without your changes but couldn’t see a clear advantage.

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nonetheless

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06/04/2020 at 7:46 AM #134510

winnie37

is there a possible version on dax and cac with these improvments?

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06/05/2020 at 10:51 PM #134806

betson

hi, all

Am new to this forum. today i tested above strategy on a live demo account on ig index. (am from uk). tested on Dow 5min. the strategy is fantastic, thanks’ to everyone who made this. i had 3 trade, out ot that 2 where very profitable, the losing trade puzzle me. when all indicators, super trend ,rsi, macd all showing sell it took a buy, which shouldn’t be happen in normal condition. i think it opened buy instead of sell. (can anyone check the short criteria please). screen shot attached

when i back tested i couldn’t find any short positions opened. only long. please check .

once again thanks for a brilliant strategy

regards

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06/06/2020 at 1:49 AM #134809

Jabezz

It is a good strategy and the input from everyone, especially the coders, is much appreciated. However trading live for only a few days is no measure of success for any algorithm.

We’ve all seen strategies that trade like ninjas for a short while only to collapse spectacularly in the medium to long term. Curve fitting as always is the bane of all our endeavours. Keep it on incubation for an extended period and then make judgement.

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06/06/2020 at 2:36 PM #134865

Dow Jones

nonetheless wrote:

I tried it with and without your changes but couldn’t see a clear advantage

Yes, indeed not anymore, the other protection was added. Great job done.

Btw, I think there is a small mistake at line 210, myRSI should be myrsiM5?

//===================================
myrsiM5=rsi[14](close)
//
if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then
sell at market
endif
if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket 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 myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then

exitshort at market

endif

On my side, I prefer to use 1.5% SL for the short side. Though the total profit a bit less, but the loss more manageable. But that’s just me…

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nonetheless

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06/06/2020 at 6:32 PM #134893

fifi743

Dow Jones wrote:

nonetheless wrote:

I tried it with and without your changes but couldn’t see a clear advantage

Yes, indeed not anymore, the other protection was added. Great job done.

Btw, I think there is a small mistake at line 210, myRSI should be myrsiM5?

//=================================== myrsiM5=rsi[14](close) // if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif

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

myrsiM5=rsi[14](close)

//

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

sell at market

endif

if myrsiM5>70 and barindex–tradeindex>1 and shortonmarket and close<positionprice then

exitshort at market

endif

On my side, I prefer to use 1.5% SL for the short side. Though the total profit a bit less, but the loss more manageable. But that’s just me…

Yes, you’re right.

fifi743

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06/06/2020 at 10:48 PM #134935

nonetheless

Dow Jones wrote:

Btw, I think there is a small mistake at line 210, myRSI should be myrsiM5?

Thanks for that – well spotted.

nonetheless

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06/06/2020 at 10:59 PM #134936

nonetheless

@betson, odd you should get that result. I’m running it live and got 2 winning trades on friday.

nonetheless

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06/07/2020 at 7:59 AM #134945

Franro

nonetheless wrote:

@betson, odd you should get that result. I’m running it live and got 2 winning trades on friday.

I also got that trade. The position hasnt been closed yet and thats why its not on your backtest yet i guess.. I manually closed it before the weekend tho.

And @nonetheless I got all the same entrys as you and the first trade is the same but i had a other closing time on the 2nd trade. I think it closed about 17.05. Either you have another version of the MO and ur latest version or there is something wierd.

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06/07/2020 at 8:34 AM #134949

Franro

I run both on demo and live. I think the problem was caused because it had an open position on demo and I started the bot at that time on live. And the live version took a position when demo still was open. And thats why I think it somehow messed up. Lets say you run a bot on demo and it takes position 14.00 and close it position 16.00. You start the same bot on live 15.00, and it takes position for example 15.47. Then it will mess up the full day I think, idk if Im wrong.

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06/07/2020 at 9:14 AM #134951

Lifen

Hello everyone,

First of all, many thanks for sharing this great strategy and especially to the talented coders Nonetheless, Fifi, Paul and all others helpful contributors.

I have modified the money management by increasing smoothly the value of the position size. Pls find attached the results for last Nonetheless and Fifi version which are quite similar (200K bar tested)

@Nonetheless : do you have any trade taken on Friday evening at 18.40 (french time) or you only have the 2 trades you mentionned. Because on the backtest of the strategy we should have an open trade still running at this moment.

Have a good Sunday

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