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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03/23/2020 at 2:44 PM #123007

nonetheless

@EricN78 thanks for that. These are only tested at 100k so even with WF the possibility of a curve fit is high on a 5m TF. I would advise lots of forward testing and re-optimize as necessary.

nonetheless
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03/23/2020 at 11:12 PM #123061

GraHal

nonetheless wrote:

the possibility of a curve fit is high

Fran55 wrote:

Im gain 7600 pips in Dow Jones in one month.

Seems the curve fit worked!

I know we’ve had big falls, but Fran must have been riding the wave in both directions!? 🙂

I need to get my surf board out!! 🙂

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nonetheless

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03/24/2020 at 3:00 AM #123088

StingRe

This is amazing, super impressive results. I wonder if you’d be open to talking through it with me. I’m newish to this stuff and don’t want to be forward testing something I don’t fully understand. Im not sure what the etiquette is but I don’t see a DM option.

Thanks so much!

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03/24/2020 at 10:21 AM #123102

nonetheless

@StingRe the strategy uses multiple time frames to establish the primary trend at the 2hr level, further confirmed at the 15m level. Then the 5m TF is used to catch a turnaround in the price movement (where a dip starts going back up, or a bounce resumes falling).

That’s the basic idea. Although they all show a high %win there are also inherent problems. Confirming the trend uses a lot of indicators, a lot of indicators means a lot of variables, lots of variables increases the likelihood of a curve-fit and these are only tested @ 100k, ie about 18 months of historical data. Not very much.

Attached is the latest version of the most successful one for the DOW. It’s been checked @ 200k and still makes money out of sample but with a much flatter curve. The version for the DAX turned out to be a bust @ 200k so approach that one with caution. BTW, when we say forward testing we mean in demo mode with virtual money, so no real risk.

Hope this helps, best of luck!

nonetheless
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03/24/2020 at 11:49 AM #123122

Fran55

The dax versión is bad.

The bearish and bullish versions to Dow os really good.

I programmed a money management system for this versions.

And, yes, this versions gain 8000 pips +- un this selloff.

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03/24/2020 at 11:52 AM #123124

Fran55

Thanks for your job, friend.

Its really good.

Fran55
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03/24/2020 at 11:57 AM #123125

nonetheless

@Fran55 let’s see your changes then — upload the itf

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GraHal

nonetheless
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03/24/2020 at 12:08 PM #123126

ArnoldB

Hello everyone,

I’m doing tests with 200k periods and when MM is activated, no trade is made.
I don’t understand where the problem is coming from.
Any ideas ?

Thanks

ArnoldB
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03/24/2020 at 12:26 PM #123127

nonetheless

No problem at 100k. Do you mean there are no trades at all, or it goes bust and stops?

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03/24/2020 at 12:38 PM #123129

ArnoldB

No trades at all with “Wall Street cash 2$”.

But it works with “Wall Street cash 1€”. Here a test with 200k periods.

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03/24/2020 at 1:16 PM #123135

nonetheless

Thanks Arnold, that’s consistent with previous versions at 200k — very flat curve out of sample up until the optimization period. Not a good sign, but total profit goes from €1m to €1.8m so more or less correct for double the time. Small drop in %win.

If you’re going to use MM be sure to check what leverage you get and adjust the decimal at line 13 and 14

Probably no trades on Dow $2 because of different minimum position size.

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03/25/2020 at 4:41 AM #123213

StingRe

Thanks so much for the explanation @nonetheless super helpful.

What’s interesting is that when I try to forward test in the demo account I can get it to load but it won’t take any trades.

I wonder what I am doing wrong?

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03/25/2020 at 8:32 AM #123214

nonetheless

You have to be patient. There are 7 entry conditions so it’s like waiting for the planets to align. You can’t get 97% wins by taking loads of trades.

nonetheless
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03/26/2020 at 1:20 AM #123346

StingRe

Hey @nonetheless

I hear you but in back testing it takes ~4 a day.

I’ve now not seen a single trade on any of the 3 strategies in 48 hours.

Does that correlate with what you are seeing?

I’m concerned I have a setup issue but I cant figure out what it would be.

Thanks so much.

StingRe
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03/26/2020 at 1:22 AM #123347

StingRe

Could it have something to do with the currency setup?

“No trades at all with “Wall Street cash 2$”.

But it works with “Wall Street cash 1€”. Here a test with 200k periods.

“

I’m testing it on a AUD $1 mini.

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Mother of Dragons trading strategy…

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