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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01/03/2021 at 1:52 PM #156081

nonetheless

I’ve never used spreadbetting but I dont think there’s any difference for autotrading. Others may be able to confirm this.

It runs on the DJI for which there are different position size and currency options: $10 $2 or €1. The results I have posted are for 1 contract = €1

If you’re trading in $ then the min / max positionsize will be different

If you have a UK IG account, the MM should look like this:

//Money Management DJ
MM = 1 // = 0 for optimization
if MM = 0 then
positionsize=.4
ENDIF
if MM = 1 then
ONCE startpositionsize = .4
ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.05)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 55 // IG first tier margin limit
ONCE maxpositionsize = 550 //  IG tier 2 margin limit
ONCE minpositionsize = .2 // enter minimum position allowed
IF StrategyProfit <> StrategyProfit[1] THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF

//Money Management DJ

MM = 1 // = 0 for optimization

if MM = 0 then

positionsize=.4

ENDIF

if MM = 1 then

ONCE startpositionsize = .4

ONCE factor = f // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc

ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage

ONCE margin2 = (close*.05)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage

ONCE tier1 = 55 // IG first tier margin limit

ONCE maxpositionsize = 550 // IG tier 2 margin limit

ONCE minpositionsize = .2 // enter minimum position allowed

IF StrategyProfit <> StrategyProfit[1] THEN

positionsize = startpositionsize + Strategyprofit/(factor*margin)

ENDIF

IF StrategyProfit <> StrategyProfit[1] THEN

IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then

positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin

ENDIF

IF StrategyProfit <> StrategyProfit[1] THEN

if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN

positionsize = minpositionsize //keeps positionsize from going below allowed minimum

ENDIF

IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then

positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit

ENDIF

The tiers are actually redundant in this case as the tier 1 and tier 2 margin requirements are the same (in some countries they differ).

I have used .4 as a default starting position as it is roughly equivalent to €1 on the DAX or NAS, but you can put anything you like for startpositionsize =

Factor is what controls how quickly/slowly the positionsize increases/decreases with strategyprofit.

f = 10 means that if you have a €100 win/loss, the margin of the next trade will increase/decrease by €10

f = 20 means the margin of the next trade would increase/decrease by €5

I would not recommend going below f = 8

Hope this helps!

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Monobrow

nonetheless

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01/03/2021 at 1:59 PM #156083

Monobrow

nonetheless wrote:

I have used .4 as a default starting position as it is roughly equivalent to €1 on the DAX or NAS

It helps, thank you.

Last thing I cannot grasp though is how .4 correlates to £1? Lets say I want to run this at a starting level of £2 per contract

I assume I put in .8? But i have no idea why 😬

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01/03/2021 at 2:02 PM #156084

nonetheless

.4 is 40 euro cents. £2 per point would be around €2.2

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Monobrow

nonetheless

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01/03/2021 at 2:34 PM #156087

Monobrow

Ah ha! I think the penny has dropped…. you just mean that because of the size of the DOW (30k) you are just using a smaller starting size for margin requirements? Thats the correlation – your “normal” size on the DAX is just twice as big because its half the size, more or less.

I get it now, thanks!

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01/03/2021 at 2:49 PM #156091

nonetheless

Monobrow wrote:

because of the size of the DOW (30k) you are just using a smaller starting size for margin requirements?

yes, exactly.

nonetheless

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01/08/2021 at 9:51 PM #156998

Munshun

DJ 5m MoD 5.1 has not taken a trade for me since January 4th. Since then we have seen a huge run-up after democrats Georgia win and Biden confirmation. Is it the same for everyone?

Munshun

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01/09/2021 at 8:53 AM #157045

Vonasi

Munshun wrote:

Since then we have seen a huge run-up after democrats Georgia win and Biden confirmation. Is it the same for everyone?

Yes Biden won and the democrats took Georgia in my world too. 🙂

(sorry couldn’t resist!)

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01/09/2021 at 12:07 PM #157069

VinzentVega

Munshun wrote:

DJ 5m MoD 5.1 has not taken a trade for me since January 4th. Since then we have seen a huge run-up after democrats Georgia win and Biden confirmation. Is it the same for everyone?

You´re right. But the winnigrate in the last quarter 2020 annyway was negativ. To many full SL and many little winning trades. And no winnig series bigger than 7 winning trades in a row. Maybe the time of the dragon is over.

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01/09/2021 at 12:55 PM #157074

GraHal

VinzentVega wrote:

Maybe the time of the dragon is over

Probably just needs re-optimising?

Price action has changed in the last 2 months or so?

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01/09/2021 at 1:13 PM #157078

Nobody

GraHal wrote:

Probably just needs re-optimising?

Thats what happens with curve fitting

Sometimes ( probably always ) its just pays to see where its going wrong price action wise , but even figuring out the logic of this is more than im going to try and do . Data mining is great in hindsite but the OOS /walk forward is always going to be a struggle . You learn more from where it doesnt work but just reoptomizing you learn nothing . Just my opinion .

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Monochrome

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01/09/2021 at 1:31 PM #157084

Monochrome

I agree. It took me a long time to realise that blindly optimising, even with walk forward was always failing. Manually looking at where trades are going wrong and how to best overcome without overfitting was the best way.

Now with v11 , 2d and 3d charts really help in giving the best Ranges and makes optimisation more useful.

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01/09/2021 at 5:07 PM #157116

Vonasi

Brisvegas – Please be more careful when quoting as you keep typing your own comments within the quote which makes it very confusing to read and requires moderators to spend time tidying it all up.

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01/21/2021 at 8:43 PM #158862

Munshun

@nonetheless: DJ 5m MoD 5.1 has not taken a trade for three weeks. Before that it was quite active.

I have been trying to figure out why this is the case by going through the code, to try to learn more about how algos in general works. But I don’t understand. Could you explain why you think it has not taken any trades even though the market has had quite big swings during this time?

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01/21/2021 at 9:00 PM #158863

GraHal

Munshun wrote:

has not taken a trade for three weeks

Has it not taken any trades on backtest also?

Post the .itf on here and I’ll backtest it see if I can offer anything?

There hasn’t been much movement on the DJI over the last 3 weeks that is probably why no trades?

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01/21/2021 at 9:33 PM #158865

Munshun

Nope, no trades in backtest either. Many thanks for any help, very appreciated! My version attached.

Munshun

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