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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10/29/2020 at 7:07 AM #148851

Ryugin

Thank you very much @nonetheless!

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10/29/2020 at 10:10 PM #148939

nonetheless

Revised NAS long

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10/30/2020 at 4:45 AM #148954

StingRe

volpiemanuele wrote:

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

Hello @volpiemanuele,

I have been testing your MM strategy and I really like it.
Can you explain a little more about what each variable does?

prof    = 0
ddpp    = 212// max dd per point
ddm     = 2   // multiples of max drawdowns to factor into positionsize
capital = 5000 //starting bank
dpct    = 5   //% margin for deposit
deposit = (open/100)*dpct //margin per point
pri     = 1   // percent to reinvest as a decimal

prof = 0

ddpp = 212// max dd per point

ddm = 2 // multiples of max drawdowns to factor into positionsize

capital = 5000 //starting bank

dpct = 5 //% margin for deposit

deposit = (open/100)*dpct //margin per point

pri = 1 // percent to reinvest as a decimal

Also I was wondering how you arrived at the “212” number for Max DD per point.

It would be great to know a little more about how it’s calculating the increments.

Thanks so much in advance.

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10/30/2020 at 8:19 AM #148972

volpiemanuele

@StingRe Below I explain the code:

ddpp = 212// max dd per point I RUN THE BACK TEST WITH MIN SIZE OF INSTRUMENT AND I INSERT THE DD SHOWN BY BACK TEST

ddm = 2 // multiples of max drawdowns to factor into positionsize IN THIS SECTION YOU MUST CONTROL THE RISK; I SUPPOSE THAT THE FUTURE DD IS DOUBLE OF THE CURRENT BACK. YOU MAST INSERT OTHER FACTOR. IF YOU INSERT 1 MEANS THAT YOU SUPPOSE THE SAME DD FOR THE FUTURE

capital = 350 //starting bank

dpct = 5 //% margin for deposit

deposit = (open/100)*dpct //margin per point

pri = 1 // percent to reinvest as a decimal IN THIS SECTION YOU MAST INSERT THE % OF THE PROFIT THAT YOU WANT TO REINVEST.. FOR EXAMPLE 1 ALL PROFIT REINVESTED AND 0.5 IF YOU WANT TO REINVEST 50% OF PROFIT (ADMITTED VALUE 0.1 TO 1)

positionsize = (capital +((strategyprofit + prof)*pri))/((ddm*ddpp)+deposit) THIS FORMULA CALCULATE THE SIZE. YOU CAN REBUILD THIS FORMULA IN EXCEL WITH OTHER VARIABLES IN ORDER TO UNDERSTAND HOW THE LOTS VARY ACCORDING TO THE VARIATION OF THE OTHER VARIBLES

if positionsize < 0.25 then CHECK THE MINIMUN LOT (0.2 FOR EXAMPLE FOR DJ) OR YOU MUST DECIDE THE SIZE BEYOND WHICH THE MM START (IN THIS CASE THE MM START AFTER 0.25)

positionsize = 0.2

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10/30/2020 at 2:34 PM #149011

nonetheless

and the NAS short. They all got a small bump in performance with the new TS but the main thing is that it should work. Let me know if there’s any further problems.

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10/30/2020 at 4:02 PM #149019

Paul

I created a basic version to start optimisation from.

It’s like this.

if check=1 then
condbuy=c1
condsell=c2
elsif check=2 then
condbuy=c1 and c3
condsell=c2 and c4
elsif check=3 then
condbuy=c1 and c3 and c5
condsell=c2 and c4 and c6
elsif check=4 then
condbuy=c1 and c3 and c5 and c7
condsell= c2 and c4 and c6 and c8
elsif check=5 then
condbuy=c1 and c3 and c5 and c7 and c9
condsell=c2 and c4 and c6 and c8 and c10
elsif check=6 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11
condsell=c2 and c4 and c6 and c8 and c10 and c12
elsif check=7 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13
condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14
elsif check=8 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15
condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16
elsif check=9 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19
condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20
elsif check=10 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19 and c21
condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20 and c22
elsif check=11 then
condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19 and c21 and c23
condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20 and c22 and c24
endif

if check=1 then

condbuy=c1

condsell=c2

elsif check=2 then

condbuy=c1 and c3

condsell=c2 and c4

elsif check=3 then

condbuy=c1 and c3 and c5

condsell=c2 and c4 and c6

elsif check=4 then

condbuy=c1 and c3 and c5 and c7

condsell= c2 and c4 and c6 and c8

elsif check=5 then

condbuy=c1 and c3 and c5 and c7 and c9

condsell=c2 and c4 and c6 and c8 and c10

elsif check=6 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11

condsell=c2 and c4 and c6 and c8 and c10 and c12

elsif check=7 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13

condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14

elsif check=8 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15

condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16

elsif check=9 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19

condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20

elsif check=10 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19 and c21

condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20 and c22

elsif check=11 then

condbuy=c1 and c3 and c5 and c7 and c9 and c11 and c13 and c15 and c19 and c21 and c23

condsell=c2 and c4 and c6 and c8 and c10 and c12 and c14 and c16 and c20 and c22 and c24

endif

Because if what’s not checked, in part the indicators are not activated and optimisation goes quick. And build it up. Maybe the order is not right or it will fail all together. Just a try.

Paul

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10/30/2020 at 4:27 PM #149022

BobOgden

Hey,

I’m running DJ 5m MOD v5.1 live with a startposition of 0.2 instead of 1. It went short today (October 30th) at 3:30 (European Time) and exited at 6:55 with a 49.94pts gain.

However, it doesn’t show on the backtest with the same algorithm as on live.

I have to say though that I changed the time indications in Nonetheless’s original code to fit European Time (as opposed to UK time) by adding one hour on lines 231 and 241.

Has it also happened to you or is it only me?

BobOgden

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10/30/2020 at 4:35 PM #149023

volpiemanuele

@BobOgden No trade today. I have change the time in the same lane. (I insert Italian time…1530 – 22.00….1540)

volpiemanuele

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10/30/2020 at 4:49 PM #149024

BobOgden

Thx volpiemanuele

I’m so confused…

Does anybody know if there’s any way to retrieve the code from a live system so I can compare it to the actual code?

BobOgden

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10/30/2020 at 4:58 PM #149026

robertogozzi

Yes, in autotrading you can click the version number of the strategy you want to retrieve, then use Copy & Paste.

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10/30/2020 at 5:20 PM #149032

nonetheless

Paul wrote:

I created a basic version to start optimisation from.

@Paul, this looks really interesting but you have to explain it to me like I’m 4 years old – what do I do with it?

nonetheless

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10/30/2020 at 5:38 PM #149038

BobOgden

Thanks roberto.

So I’ve compared both algorithms and they’re exactly the same. Still no idea as to why it went short.

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10/30/2020 at 7:05 PM #149049

Paul

@nonetheless Where to start optimising on this strategy? I thought why not add layer on layer and see what happens. It’s important to have many trades in the beginning, not necessary with the highest payout. Uses same sl & pt & ts and no other exit criteria.

Paul

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10/30/2020 at 7:25 PM #149052

nonetheless

So I enter a range for each variable and it automatically optimizes them one at a time?

nonetheless

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10/30/2020 at 8:44 PM #149056

Paul

Not sure if I read that right, but I think not.

Since check3 uses a change in curve to go to true condition, I would say go up from there.

In other words, you make a choice for the check number and you can optimise the last condition or up to every condition the check number covers.

All conditions related to a higher check number are ignored.

So you take check3, optimise parameters for c1/2 c3/4 c5/6

Having found them, put them in, and go to check 4

then take parameters for c7/8 to optimise and/or you can take some parameters from above and optimise together. Found the best mix, go to check5 and now the focus is c9/c10 and it’s parameter.

The early results with a low check number will be bad and you need lots of trades which will be filtered out on a higher check number

Well that’s the rough idea and I hope it’s coded right, but it will be very tough to find something similar to your result if starting from scratch!

edit; I don’t think it was needed to reset conditions to 1.

Paul

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