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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01/21/2021 at 10:46 PM #158870

GraHal

There are just too many conditions over too many timeframes to all be satisfied at the same time … hence no trades.

In periods of high volatility maybe we get trades, but we would get old waiting? 🙂

Anyway attached .itf gives trades today and Monday this week, but only Forward Testing on Demo will show if it is any good. Timeframe 10 seconds, spread = 4.

GraHal
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01/23/2021 at 11:43 AM #158990

Munshun

Thanks, makes sense. Will play around with it and see where we get 🙂

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GraHal

Munshun
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01/28/2021 at 9:58 PM #159738

Arno G

Unable to launch in automatic trading and I can’t find wat’s wrong … If anyone can help.

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01/28/2021 at 10:21 PM #159743

GraHal

Delete the line space at Line 2 and Line 4 and then try to launch.

Not tested so let us know if it works?

GraHal
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01/30/2021 at 4:45 PM #159929

Arno G

It works, thanks GraHal !!

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GraHal

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02/04/2021 at 2:13 PM #160345

Tanou

As someone launched it in real?

Tanou
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02/13/2021 at 10:45 AM #161271

Arno G

I do. Just take 2 position s since 1th of feb.

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04/02/2021 at 4:34 PM #166056

klink79

Hello friends of prorealcode,

I like to start this code with my IG account. What time zone do I need for the version 6.0?

Hopefully you could give me some help.

Are there more code or strategies what you recommended?

Thanks for your help.

The klink

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04/03/2021 at 9:45 AM #166086

nonetheless

On the DJ it runs around the clock so your time zone doesn’t matter.

Personally I am not running any of these any more after seeing the 1m bar backtest. It might continue to make money but bear in mind that a walk back is just as valid as OOS performance as a walk forward. Whatever made it perform poorly in 2016 could be just as bad in 2021. (I mean, you have seen Game of Thrones, right? You know how it ends?) 😁

Best of luck!

nonetheless
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04/13/2021 at 8:49 AM #166908

LaurentBZH35

Hello guys,

I worked on the DJ 5 min MOD v5.1 in Long only. I optimize most part of paramters and reduce quantity of timeframe.

I also tested the code with and without trailing stop, breakeven and exit at win/loss cut. I observed that the trades were cut very often too soon. The best comprise i found was conserve only the exit at loss.

You can find in 50k the results of basis MOD 5.1 and the version i worked. I also join the worked version in 200k

Not so bad in my opinion.

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r0d0lphe

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04/13/2021 at 8:55 AM #166912

LaurentBZH35

I share you the itf file.

Enjoy

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Roger, Midlanddave, GraHal

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04/13/2021 at 10:20 AM #166922

snucke

LaurentBZH35

when you optimize something please tell the way you have done it,

how much IS data have you been optimizing on?

its not hard to get something to look good in the backtest.

79 trades over 3 year on 5 min TF is a very small sample of trades over that timeperiod in my opinon, hard to clarify an edge with small number of trades

snucke
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04/14/2021 at 8:56 AM #167016

LaurentBZH35

snucke wrote:

LaurentBZH35

when you optimize something please tell the way you have done it,

how much IS data have you been optimizing on?

its not hard to get something to look good in the backtest.

79 trades over 3 year on 5 min TF is a very small sample of trades over that timeperiod in my opinon, hard to clarify an edge with small number of trades

Hello snucke,

I work in long only and with 50k data. I check how it works in 200k and result are very similar as you can see in pictures.

I change some timeframe : the 2h become 1 hour. I delete the time frame 30min and 10min. I conserve the 15 and 5 min. So i use only 1h, 15min and 5min. All the original parameters are optimize.

In the original code, there are many way to cut the position : exit in profit, exit in loss, trailing stop, breakeven, NewSL, …. I test one by one what happens (except the NewSL), and i observe that the position are cut very fast and give a % win trading very interesting but win less money. Most importantly, all this panel don’t stop the big loss. There is only the exit at loss how limit the big loss so i only conserve it in the new program i suggest.

The other big difference is the time in the market : 25% time with some hours by trade in the original code against 41% time and 4 days by trade in the new version. That’s with there is not so much trade in the new code. The trades stay more time in market to get the 2.6% take profite.

I also test the new code in 1M barre. I join you the result. It’s quite good except 2015. But in my opinion, market evolve so not sure it’s so much important result have to be perfect 10 years ago.

Hope it gives you more informations.

Enjoy

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GraHal

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Mother of Dragons trading strategy…

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