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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06/12/2020 at 2:11 PM #135742

nonetheless

@boonet, thanks for your input. I don’t think that’s the SP 100 you’re working with though, but US Tech 100 (NAS). As Francesco has pointed out, it really doesn’t work on longer back tests.

Attached is my own version for US Tech. It looks good in back test and WF but the robustness score is diabolical so I didn’t bother posting it. The image on the right is 2 months of forward testing in demo. Not a disaster, but not inspiring much confidence either.

At the moment, the only ones I’m running live are DJ v4.7, DAX v2 and CAC v1

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06/12/2020 at 3:11 PM #135756

Francesco

Hey @nonetheless, i was thinking: on what we can work in order to convert this strategy for the forex pairs?

I think that could be very interesting diversifing the assetts.

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06/12/2020 at 3:41 PM #135760

nonetheless

Francesco wrote:

could be very interesting diversifing the assetts

yes, it definitely would. Forex is an area I’ve never looked into much. I have a couple of Corona algos running EUR/USD but frankly they make me nervous every time one opens – not a good sign. Will probably end in tears.

I guess the MoD could be adapted, but it’s such a lot of work and so disappointing if it fails to fly. I’ll give it a try when I get some time.

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06/12/2020 at 8:21 PM #135786

Moda

hello guys,

I made some tests on forex with MoD need more work to get into something strong but looks promising

I’ll send you couple of screenshots

Cheers

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06/14/2020 at 2:42 PM #135904

Dow Jones

In case someone was interested with v4.7.1a, here is v4.7.2a, simplified the filter, smaller draw down, better gain and also better VST result. Take note it is using UTC+8.

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06/15/2020 at 11:14 AM #135989

Jabezz

Damn after several days waiting that was one of the worst timed trades I’ve seen in a while!!

Oh well its a game of percentages.

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06/15/2020 at 12:34 PM #135996

boonet

@Jabezz
Luckily my ProOrder validity had expired and I haven’t noticed.
All for a greater good , I guess 🙂
But agree with you. Its game of percentages. Hang in there.

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06/16/2020 at 11:42 PM #136203

Dow Jones

Jabezz wrote:

Damn after several days waiting that was one of the worst timed trades I’ve seen in a while!!

Yeah, first trade hit quite hurt 🙁

I’ve been running live for 1 month now (from v4.3 to v4.7.2a), got hit 3 times including this, but overall still got profit. Think have to stay a bit but also diversify with other strategies.

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06/17/2020 at 9:50 AM #136228

boonet

Do you think its worth manually intervining and taking control of such trades? Like early exit, altering stoploss and TPs.

But the obvious question here would be – When and how do we know to take such an actions?

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06/17/2020 at 10:00 AM #136229

GraHal

boonet wrote:

When and how do we know to take such an actions?

Whenever you have a minute or 10 practice manual trading on your Demo Platform then gradually you will get to know when.

And / or play this game as often as you can … use ‘Daily Trading’ first as it is easier than swing trading.

https://chartgame.com/

https://education.howthemarketworks.com/chartgame-com/

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06/17/2020 at 2:15 PM #136260

Dow Jones

boonet wrote:

Do you think its worth manually intervining and taking control of such trades?

Honestly, several times it was tempting for me, but I don’t intervene eventually. Intervene could let you secure early profit (or exit loss early), but maybe it could have make more profit if you doesn’t touch it. Nothing is wrong, it is just I choose to entrust it and I also have no time to monitor since I have day job. But if you see a consistent pattern that make you decide to exit early, then can also add into the strategy to improve.

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06/25/2020 at 3:54 PM #137146

AutoStrategist

@nonetheless, @Dow Jones

Hi, I like the look of this strategy so have had it running on a small position size alongside my own to see what its doing. I manually stopped a winning short trade the other day as it was so near the limit I didn’t want to see it all given back as I couldn’t figure out at the time what the trailing stop loss was doing. Having used graphonprice I understand it now and see that its giving the trade time to develop but have made a small mod to my version that you may find of interest. As shorts on the DJI have a habit of reversing sharply on news (or in fact seemingly for no reason at all) it seems sensible to lock in profits if 90% of the limit has been reached, so I added the 3 lines to the code below (starting ‘if tradeprice…’). Adds some profit in backtest over 200k bars although not dramatic, doesn’t work on longs though.

//manage short positions
IF SHORTONMARKET THEN
  //first move (breakeven)
  IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN
    newSL = tradeprice(1)-trailingstep
  ENDIF
  //next moves
  IF newSL>0 AND newSL-close>trailingstep THEN
  newSL = newSL-trailingstep
    if tradeprice(1) - close > ((tradeprice(1) /100) * 2.2) * 0.9 then
      newSL = close + 12
    endif
  ENDIF
ENDIF

//manage short positions

IF SHORTONMARKET THEN

//first move (breakeven)

IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN

newSL = tradeprice(1)-trailingstep

ENDIF

//next moves

IF newSL>0 AND newSL-close>trailingstep THEN

newSL = newSL-trailingstep

if tradeprice(1) - close > ((tradeprice(1) /100) * 2.2) * 0.9 then

newSL = close + 12

endif

ENDIF

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06/25/2020 at 7:07 PM #137168

Paul

nice one. I ran into this with trailing-stops and it’s better to take profit sometimes instead of waiting.

I’ve created a bigline strategy in the past. Thinking of when a trailingstop is activated using parts of that code not to wait but to take profit around a 100 line at the dji instead.

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06/26/2020 at 8:34 AM #137214

Dow Jones

Thank you, @AutoStrategist. Appreciate for your sharing.

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06/27/2020 at 9:43 PM #137322

Dow Jones

Made some improvements to the Dax version. Less loss and better VST result too.

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