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.

Viewing 15 posts - 331 through 345 (of 523 total)

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07/01/2020 at 10:26 PM #138030

s83

My DAX v2 have not taken any trade for several weeks, is it same for all?

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07/03/2020 at 12:31 PM #138273

Jabezz

Yes it traded quite a few times in June on 8th, 15th, 17th, 21st, 26th and 29th for example

You should be thankful you didn’t trade because it’s been performing pretty bad. The Dow version has performed very poorly in June also.

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Alfred

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07/03/2020 at 12:34 PM #138275

s83

But after losses wins comes 🙏

But i must figure out whats wrong with with mind setup..

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07/03/2020 at 1:04 PM #138278

Dow Jones

Jabezz wrote:

The Dow version has performed very poorly in June also

Emm. If you start from 1 June, it is a winning month, no? Mine is v4.7.2a. But July not having a good start, perhaps need to relook to find new improvement.

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josef1604

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07/06/2020 at 4:03 AM #138506

Jabezz

Dow Jones wrote:

Jabezz wrote:

The Dow version has performed very poorly in June also

Emm. If you start from 1 June, it is a winning month, no? Mine is v4.7.2a. But July not having a good start, perhaps need to relook to find new improvement.

Apologies yes I stand corrected there. For v4.7.2a it is a winning month in June. I’ve been running v.4.7

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07/25/2020 at 1:41 PM #140081

Artemois

Since the results from my backtest showed most of the losses was generated from the short side I blocked the shorting so here is a version “V4.6 LO” with long only positions.

I see good potential in this algo so I hope the development will contiue.

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saturnin

Artemois
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07/26/2020 at 12:49 PM #140125

AutoStrategist

@Artemois

I managed to improve the quality of the short trades a little by applying a volatility filter:

HV = HistoricVolatility[250](close) c99 = HV > 0.09

1
2

HV = HistoricVolatility[250](close)
c99 = HV > 0.09

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07/26/2020 at 2:00 PM #140132

Artemois

@AutoStrategist
Interesting, was the improvement good enough to keep on using the short trades in You opinion?
Since the index mostly move upwards I prefer to get stuck in a long pos rather than a short.

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07/26/2020 at 3:00 PM #140136

AutoStrategist

@Artemois

Attached you can see the modified version on the right, a small improvement in return and quality metrics. I will keep on with long and short for now to see how it goes. I understand why you would go for long only though, I ended up doing that on another of my DJI strategies. I think the Fed is seen by US investors as a backstop to any downside so the sell offs tend to be short lived making short trades somewhat problematic.

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07/26/2020 at 3:59 PM #140143

Artemois

@ AutoStrategist
With 1 contract and 4pt spread I recieve the result as below. I don’t manage to fit the exact same days as Your backtest so the comparison is not completely accurate.

It has indeed been a beautiful sight when the dow runns several hundred points while having some long contracts. I’m not convinced of the FED strategy but it’s a discussion for another forum 😉

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07/27/2020 at 9:05 AM #140169

snucke

Why no stoploss Artemois?

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07/27/2020 at 9:48 AM #140176

Artemois

@snucke

There is a stopploss so I’m not sure what You are missing?
There are many ways of thinking regarding SL and one of them is that in volatile market they not only protect but also destroy when triggering a sale when the price is at a low wich tends to destroy a successfull strategy.
Money protection so we can trade another day is another thing

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07/28/2020 at 11:41 AM #140290

deletedaccount051022

Hi,

A big thank you to nonetheless for this incredible strategy. I’m currently running the DAX 5m Dragon v2.2a on a real account, a sand box where I test strategies in the real world with real money before migrating to my main account if they perform as expected. I am trying to understand the break-even aspect of the stop loss for this strategy.

The strategy went short this morning, 28th July, with an initial stop loss of -£1,035 and a target profit of +£1,035. Once the trade moved into profit the SL snapped to below entry price – all good. Looking at the code it’s not clear to me exactly where this is managed (apologies, I am not a coding expert). I ask because I’d like to test different settings as I believe that it may be possible to improve the win ratio slightly by having a slightly tighter trailing stop loss.

I’ve read the following link, as well as a few others, and found it helpful. Thank you to everyone who contributed to it.

https://www.prorealcode.com/topic/trailing-stop-and-breakeven-codes/#post-93285

Any guidance is greatly appreciated. Strategy traded 6 times over the last 2 weeks, all of which were winning trades.

Thanks,

S

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07/29/2020 at 9:46 AM #140364

snucke

@Artemois

weird, i didnt see it before when i searched in the code but now i found it.

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07/30/2020 at 8:58 AM #140438

deletedaccount051022

Hi,

Quick update on this. I found the %Loss on rows 115 and 123 as well as the corresponding trailingPercent on row 145 and trailingstart on row 148. I’m currently tweaking these to try and improve the Gain/Loss ratio.

Had another great trade this morning on the DAX, thank you once again to nonetheless for sharing this strategy. I manually moved the Sop Loss down as it was still quite near the entry price. It went on to hit it’s target price. More testing needed on my side to refine the trailing stop loss step.

After further back testing over 100k 5min tick data I was also able to increase the profitability from 471% to 561% simply by changing DEFPARAM CumulateOrders to = True.

Does anyone know of any reason why one shouldn’t trade with this enabled?

Many thanks,

S

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Mother of Dragons trading strategy…

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