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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10/25/2020 at 10:13 PM #148441

nonetheless

update for MoD, changed the TS, added Parabolic SAR, refreshed all the numbers. Thanks again to everyone who contributed.

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nonetheless
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10/26/2020 at 8:10 AM #148466

volpiemanuele

Thank you all. I have included my favorite MM model in the latest version. Thank you

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vcharlesc, StingRe, scoot3r83

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10/26/2020 at 11:20 AM #148494

nonetheless

MoD for NDQ

Been trying to make this work on other indices for ages, most of which have failed. This one has done well for the past few months in forward testing so could be worth a try, all suggestions welcome.

Long only – still working on a short version but it doesn’t look so promising.

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10/26/2020 at 3:36 PM #148521

nonetheless

fixed a few problems with the short version, looking better now. Position size is 2.4 for comparison with DJ

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10/26/2020 at 6:48 PM #148564

nonetheless

Sorry kidz but there was a small error in the TS in all the algos I posted to day – these are the proper versions.

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umebon, Munshun, vcharlesc, Exalaxe, eckaw, BobOgden, Trader2323, Paul, April O'Neil

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10/26/2020 at 10:59 PM #148593

josef1604

Hi @nonetheless, the NAS-5m-MoD-v4S.itf version breaks the bill. There is something wrong? Thanks again

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10/26/2020 at 11:38 PM #148595

nonetheless

Did you change the times for Spain?

nonetheless
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10/27/2020 at 1:19 AM #148601

April O’Neil

Hey Nonetheless !

Could you explain how do you procede do adapt this strategy on a new instrument ?

I tried like this by exemple for Nas Long :

-First optimise c1 and c3 and c5 with our defined sl/tp, and add one by one or two by two other conditions c7, c9 atc… with optimisation/wf on 100k units. At the end i add market analyse.

But didn’t obtain same variables as you… Could you explain your procedure ?

Thanks!

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10/27/2020 at 1:58 AM #148603

StingRe

Hi @nontheless,

Thanks again for all your work.

Is there any way to contact you directly?

If possible – would you send me an email to XXXXXX

Many thanks!

EDIT BY MODERATORS: please read forum rules in big yellow box below, one of them is “Do not include personal information such as email addresses or telephone numbers in your posts.”

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10/27/2020 at 2:05 AM #148604

StingRe

Also, it looks like 5.a is broken somewhere – I haven’t looked for the failure yet but it gives this result.

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10/27/2020 at 2:56 AM #148606

Jabezz

Lol XXXX@….

do we need a search party?

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10/27/2020 at 4:30 AM #148608

StingRe

No, we just need the OPs of this forum to turn on Direct Messaging.

Until then, the search for nonetheless continues 🙂

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10/27/2020 at 4:32 AM #148609

Jabezz

lol

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10/27/2020 at 4:52 AM #148610

StingRe

@ volpiemanuele

Your MM version also does not work for me, it just gives a blank result?

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10/27/2020 at 8:13 AM #148619

volpiemanuele

@StingRe My MM go without error..please share the code and I see it.

Also the 5a version go without error…..

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Mother of Dragons trading strategy…

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