My first code and strategy

• 07/21/2016 at 10:28 AM #10751
  Elsborgtrading

  Hi guys 🙂

  I’d like to share my first code with you, and perhaps get your point of view on my ideas. I also like to discuss the problems that I encountered. Both coding problems and back testing problems- and perhaps strategy problems- feel free to comment 🙂

  First the idea is based on Ichimoku without the tenkansen/kinjunsen cross- which in my testing it wasn’t successful. Initially I started back testing it on a DAX 4hour chart. The back testing was insane and too good to be true. And then it usually is (approx. 132.000.000 % gain over 4 years) so the idea is that the code needs to generate approximate 50/50 lose-win, and more than a 2.5 gain/loose ration. I think that is more realistic in many ways. however the lates ver. of the code does not apply to this, and is still to good to be true when back testing it. so something must be wrong.

  The strategy I’d like to make is Ichimoku based, and these are the condition for a trade:

  Long trades: Tenkensan, Kinjusan and Chikou need to be above the cloud, and I need 3 bullish candles in an up-trend and opening on a 3^rd that is above the median price of prior candle, and also above the cloud before making a long trade. Trade should be placed on the opening of the 3^rd candle if it meets the condition

  Short trade: same as Long, but of cause inverted: Tenkensan, Kinjusan and Chikou needs to be below the cloud and I need 3 bearish candles in a downtrend and opening on a 3^rd that is below the median price of prior candle, and also below the cloud before making a short trade. Trade should be placed on the opening of the 3^rd candle if it meets the condition

  I also tried to implement a strategy for low, medium and high volatile periods- playing with different stop/loss scenarios – the idea is still in the making but derived from the problems that maybe are with back testing (?)  And also I wanted to scalp the price action in low volatile sideways trend. I don’t think it would work with the same SL/TP strategy as when you are in a strong up/down trend.

  So my questions are:

  Back testing:

  To get the basics strait I think the problem with back testing is PRT only test on the whole candle- not the pips size action with the candle timeframe so in theory low SL is never stopped out and produce very good result, but in real trade they are meet almost every time. I don’t know if I’m right but it seems like it, as the 4H DAX test never stopped out with as small as an 8 point SL. Perhaps someone knows more about this?

  Coding problems:

  It’s my first code, so please bear that in mind as it’s properly not “beautiful” code, and I’m certain that someone could produce a more correct code (feel free :-)) anyway- the overall strategy works- trades are made above and below the cloud when the tenkansen/kijunsen and Chikou are above/below but the 2-3 candle test I don’t see is working as intended- and I can’t see why?

  When back testing I can see an entry in the chart as an arrow, but not a cross when exiting, I see a square? When looking at some of all the strategy code here I see a cross when exiting?. Also sometimes the Positions window shows no bars, but it seems like the trade was made, both as an entry and an action on the equity curve. I will show a screen dump at this.

  Anyway I know this was a long post and many questions, but I hope you can see the time to answer some of it 🙂

  Cheers and happy summer days

  Kasper Elsborg

  //------------------------------------------------------------------------- // Main code : Elsborgtrading 5magics DAX5min //------------------------------------------------------------------------- REM Elsborgtrading Ichimoku defparam cumulateorders=false defparam preloadbars=200 defparam preloadbars=2000 defparam flatbefore=090000 defparam flatafter=220000 //ONCE Crosslow=0 //ONCE Crosshigh=0 ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 ONCE TreBarsAbove=0 ONCE TreBarsBelow=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0 //REM Money Management Capital = 1000 Risk = 0.01 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //If PositionSize>100 then //PositionSize=100 //endif Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26] // buy //TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close //REM does not test for 3 bullish candle //TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close and open[3]<close[3] and open[2]<close[2] and open<close //REM test for 3 bullish candle //TreBarsAbove = close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and Close[2]<Close and open[2]<close[2] and open<close // REM test for only 2 bullish candles above TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and open[1] > SenkouSpanA and open[1] > SenkouSpanB and close[3]<Close[2] and medianprice[2]<open[1] and open[3]<close[3] and open[2]<close[2] and open[1]>medianprice[2] // REM test med open candle3 //Crosshigh = Tenkansen crosses over Kijunsen: NOT USED TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijusenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26] IF TreBarsAbove and TenkansenAbove and KijusenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET ENDIF // Sell //TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and close[3]>Close[2] and Close[2]>Close //REM does not test for 3 bearish candle //TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[3]>Close[2] and Close[2]>Close[1] and open[3]>close[3] and open[2]>close[2] and open[1]>close[1] // REM test for 3 berish candle //TreBarsBelow = close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and Close[2]>Close and open[2]>close[2] and open>close // REM test for only 2 berish candles below TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and open[1] < SenkouSpanA and open[1] < SenkouSpanB and close[3]>Close[2] and medianprice[2]>open[1] and open[3]>close[3] and open[2]>close[2] and open[1]<medianprice[2] // REM test med open candle3 //Crosslow = Tenkansen crosses under Kijunsen: NOT USED TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26] IF TreBarsBelow and TenkansenBelow and KijunsenBelow and ChikouBelow THEN SELLSHORT PositionSize CONTRACTS AT MARKET ENDIF // stop and profit //Sl=ABS(highest[3](high)-lowest[3](Low))/2 candlesperiods=15 NoMumentum1 = 30 NoMumentum2 = 40 If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum1 THEN TP=2 SL=15 ELSIF ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum2 THEN TP=4 SL=3 else TP=5 SL=2 Endif set stop ploss SL set target pprofit TP //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua GRAPH SL COLOURED(0,255,0) AS "SL" //Lime

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  //------------------------------------------------------------------------- // Main code : Elsborgtrading 5magics DAX5min //------------------------------------------------------------------------- REM Elsborgtrading Ichimoku   defparam cumulateorders=false defparam preloadbars=200 defparam preloadbars=2000 defparam flatbefore=090000 defparam flatafter=220000 //ONCE Crosslow=0 //ONCE Crosshigh=0   ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 ONCE TreBarsAbove=0 ONCE TreBarsBelow=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0       //REM Money Management Capital = 1000 Risk = 0.01 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   //If PositionSize>100 then //PositionSize=100 //endif     Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2     SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26] // buy //TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close //REM does not test for 3 bullish candle   //TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close and open[3]<close[3] and open[2]<close[2] and open<close //REM test for 3 bullish candle   //TreBarsAbove = close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and Close[2]<Close and open[2]<close[2] and open<close // REM test for only 2 bullish candles above   TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and open[1] > SenkouSpanA and open[1] > SenkouSpanB and close[3]<Close[2] and medianprice[2]<open[1] and open[3]<close[3] and open[2]<close[2] and open[1]>medianprice[2] // REM test med open candle3 //Crosshigh = Tenkansen crosses over Kijunsen: NOT USED   TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijusenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26] IF TreBarsAbove and TenkansenAbove and KijusenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET ENDIF     // Sell //TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and close[3]>Close[2] and Close[2]>Close //REM does not test for 3 bearish candle   //TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[3]>Close[2] and Close[2]>Close[1] and open[3]>close[3] and open[2]>close[2] and open[1]>close[1] // REM test for 3 berish candle   //TreBarsBelow = close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and Close[2]>Close and open[2]>close[2] and open>close // REM test for only 2 berish candles below TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and open[1] < SenkouSpanA and open[1] < SenkouSpanB and close[3]>Close[2] and medianprice[2]>open[1] and open[3]>close[3] and open[2]>close[2] and open[1]<medianprice[2] // REM test med open candle3 //Crosslow = Tenkansen crosses under Kijunsen: NOT USED TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26] IF TreBarsBelow and TenkansenBelow and KijunsenBelow and ChikouBelow THEN SELLSHORT PositionSize CONTRACTS AT MARKET ENDIF // stop and profit //Sl=ABS(highest[3](high)-lowest[3](Low))/2 candlesperiods=15 NoMumentum1 = 30 NoMumentum2 = 40   If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum1 THEN TP=2 SL=15 ELSIF ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum2 THEN TP=4 SL=3 else TP=5 SL=2 Endif   set stop ploss SL set target pprofit TP //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS  "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua GRAPH SL COLOURED(0,255,0) AS "SL" //Lime

   

   

  

  Elsborgtrading

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  07/22/2016 at 3:53 PM #10798
  Dymjohn

  Hi Elsborg,

  Read through your note, afraid I’m only a beginner, but in my limited experience the tester produces better profits with small stop losses. This is totally at odds with real trading and I agree with your interpretation. This looks a brilliant effort for a “newbie” I hope someone else can supply you with the expertise you require but sadly isn’t me.

  Regards

  Dymjohn

  

  Dymjohn

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  07/23/2016 at 8:33 AM #10811
  Elsborgtrading

  Hi Dymjohn, and thanks for taking your time to read my post and comment:-)

  Yes I am a newbie, so something that seems like a problem could be straight ahead for some one else. I also thing it’s summer vacation time and people has someting better to do that sit here and read forums.

  I did some more investigation, actually made some small indicators as well for debugging purpose, and it works quite well. I also fixed the 3 bars issue- so that was one down 🙂 here is the code and screendump of the backtesting.

  //------------------------------------------------------------------------- // Main code : 5magic3 newtest4 //------------------------------------------------------------------------- defparam cumulateorders=false defparam preloadbars=2000 defparam flatbefore=090000 defparam flatafter=220000 //ONCE Crosslow=0 //ONCE Crosshigh=0 ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 //ONCE TreBarsAbove=0 //ONCE TreBarsBelow=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0 ONCE Bullish0=0 ONCE Bullish1=0 //ONCE Bullish2=0 ONCE Bearish0= 0 ONCE Bearish1= 0 //ONCE Bearish2= 0 NoMomentum1=35 candlesperiods=15 //REM Money Management Capital = 1000 Risk = 0.01 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //If PositionSize>100 then //PositionSize=100 //endif //REM ICHIMOKU Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26] // REM BUY Bullish0 = close > SenkouSpanA and close > SenkouSpanB and open < close Bullish1 = close [1]> SenkouSpanA and close[1] > SenkouSpanB and open[1] < close[1] //Bullish2 = close[2] > SenkouSpanA and close[2] > SenkouSpanB and open[2] < close[2] TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijusenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26] If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN condition=0 Else condition=1 endif IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijusenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET ENDIF // REM SELL Bearish0= close < SenkouSpanA and close < SenkouSpanB and close > open Bearish1=close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[1] > open[1] //Bearish2= close[2] < SenkouSpanA and close[2] < SenkouSpanB and close[2] > open[2] TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26] IF condition and TenkansenBelow and KijunsenBelow and ChikouBelow and Bearish0 and Bearish1 THEN SELLSHORT PositionSize CONTRACTS AT MARKET ENDIF // REM stop and profit //Sl=ABS(highest[3](high)-lowest[3](Low))/2 candlesperiods=15 TP=8 SL=6 set stop ploss SL set target pprofit TP //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black //GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua //GRAPH SL COLOURED(0,255,0) AS "SL" //Lime //GRAPH TreBarsAbove COLOURED(0,255,255) AS "TreBarsAbove" //Aqua //GRAPH TreBarsBelow COLOURED(255,0,0) AS "TreBarsBelow" //red //GRAPH condition COLOURED(255,0,0) AS "condition" //red

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  //------------------------------------------------------------------------- // Main code : 5magic3 newtest4 //-------------------------------------------------------------------------       defparam cumulateorders=false defparam preloadbars=2000 defparam flatbefore=090000 defparam flatafter=220000 //ONCE Crosslow=0 //ONCE Crosshigh=0   ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 //ONCE TreBarsAbove=0 //ONCE TreBarsBelow=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0 ONCE Bullish0=0 ONCE Bullish1=0 //ONCE Bullish2=0 ONCE Bearish0= 0 ONCE Bearish1= 0 //ONCE Bearish2= 0   NoMomentum1=35 candlesperiods=15   //REM Money Management Capital = 1000 Risk = 0.01 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   //If PositionSize>100 then //PositionSize=100 //endif   //REM ICHIMOKU   Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26]   // REM BUY Bullish0 = close > SenkouSpanA and close > SenkouSpanB and open < close Bullish1 = close [1]> SenkouSpanA and close[1] > SenkouSpanB and open[1] < close[1] //Bullish2 = close[2] > SenkouSpanA and close[2] > SenkouSpanB and open[2] < close[2] TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijusenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26]   If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN condition=0 Else condition=1 endif   IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijusenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET ENDIF     // REM SELL Bearish0= close < SenkouSpanA and close < SenkouSpanB and close > open Bearish1=close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[1] > open[1] //Bearish2= close[2] < SenkouSpanA and close[2] < SenkouSpanB and close[2] > open[2] TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26]   IF condition and TenkansenBelow and KijunsenBelow and ChikouBelow and Bearish0 and Bearish1 THEN SELLSHORT PositionSize CONTRACTS AT MARKET ENDIF // REM stop and profit //Sl=ABS(highest[3](high)-lowest[3](Low))/2 candlesperiods=15   TP=8 SL=6     set stop ploss SL set target pprofit TP //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS  "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black //GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua //GRAPH SL COLOURED(0,255,0) AS "SL" //Lime //GRAPH TreBarsAbove COLOURED(0,255,255) AS "TreBarsAbove" //Aqua //GRAPH TreBarsBelow COLOURED(255,0,0) AS "TreBarsBelow" //red //GRAPH condition COLOURED(255,0,0) AS "condition" //red

   

  

  Elsborgtrading

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  07/23/2016 at 8:35 AM #10814
  Elsborgtrading

  I also changed the strategy a bit to not include low volatile periods. I think it is simply to risky as IG require minimum a 6 point SL

   

  

  Elsborgtrading

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  07/23/2016 at 8:46 AM #10817
  Elsborgtrading

  I sit here and also looking at the chart- I think there could defeatedly be some improvement for the strategy as well. My initially thoughts is to exit the marked when tenkansen line croses price from below on Long and from above on Short. Think I will work on that 🙂

  

  Elsborgtrading

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  07/23/2016 at 8:48 AM #10820
  Elsborgtrading

  strange, the attachment keeps reattach it self, when nothing is selected in the window?

  

  Elsborgtrading

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  07/23/2016 at 9:05 AM #10821
  Elsborgtrading

  Also there is still something with the bar test on short marked.

  I thinkt it need to be change to

  Bearish0= close < SenkouSpanA and close < SenkouSpanB and close < open
  Bearish1=close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[1] < open[1]

  anyway enough for today, I will return when I have something more solid 🙂

  Cheers

  Kasper

  

  Elsborgtrading

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  07/24/2016 at 1:53 PM #10841
  Elsborgtrading

  Hi Again, in my quest for gold I found one answer myself:-D. It’s the one where I ask for the Icons in the trading window. well here it is- self explainable

  

  Elsborgtrading

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  07/24/2016 at 3:32 PM #10848
  Dymjohn

  Hi Kasper

  I just tested on one hour DAX and seems to provide good profits also thanks for finding the explanation for the symbols. Are you going to trade this in live mode yet?

  Regards

  John

  

  Dymjohn

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  07/25/2016 at 5:33 PM #10870
  Dymjohn

  Hi Kasper

  Have tried in live mode and produces only losses because of unrealistic stops with much of the action on the entry bar. I tried using a more realistic stop on the DAX but in test this just takes any profit away. In the end I used your strategy with MFE (max favourable excursion) stop detailed in this web site as well as making entry 2 points above or below the signal bar. This produces only a very modest profit on test and with normal slippage is no better than break even. I must say, everything I’ve tested so far is unprofitable suggests ichimoku does not provide an edge like most other indicators and oscillators.

  Regards

  John

  

  Dymjohn

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  07/25/2016 at 6:28 PM #10871
  Elsborgtrading

  Hi John, I guess you are right. The backtest issue with SL has a significant drawback in live- I haven’t been able to produce something useful with this code other than experience. So it’s not entirely waisted, we just need a good strategy 🙂

  So yet again thanks for your help John, much appreciated

  Cheers

  Kasper

  

  Elsborgtrading

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  07/27/2016 at 8:04 AM #10907
  Elsborgtrading

  Hi John, I ventured deeper in the DAX and the code/strategy I wrote. Not that it is entirely perfect ,but at least it shows profit. However I notes some very interesting things on the Market. I will try and explain them here.

  First I feel comfortable that I somehow are not cheated by the backtesting issue as I almost don’t have 0 bars profit.

  What I found was:

  A SL=109 on a hourly basis is almost never meet.

  DAX market changed after  Aug 2015

  I think this is an important information, as it seems like after Aug 2015 the trading hours for a profit is 07:00-12:00 and before it was 07:00-23:00.

  Anyway I’d like to show that the code was actually able to make money. There are 2 ver. 9.0 and 9.5 they are both with a risk of 0.03 so it’s a bit high.

   

  my notes to the ver. 9.0 is:

  • All sell/buy kontrakts seems to be working now. I have added an exit strategy with Kijunsen crosses Tenkansen.
  • The strategy has changed to use only 2 Bullish/Bearish candles as testconditions. 1 or 3 will strangely not work.
  • Working hours has changed to 7:00-23:00
  • KijunsenBelow now is spelled correct
  • I have changed the time frame to DAX 1 Hour,
  •  and
  • SL =109. 109 is tested to be the most profitable.
  • By setting SL well above I am comfortable in the problem with low SL and backtesting. Also this seems to be my real trading problem, by running small SL that will in high volatile marketd be stopped out before you know it.
  • And something with the

  //Volitale testIf ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN

  condition=0

  Else

  condition=1

  endif

  my notes to the ver. 9.5 is:

  • If it not in the code will not generate Any Money??? That’s is very strange and just a coincident derived from an idea
  • Also Risk has encreased but limmited to 100 contract

  ***** new in 9.5

  Accumolate orders =TRUE and also extra accomulation are made in trends

  when Equity=600000 then quit

  It looks like that most profit this year is within this timeframe.

  But I still don’t like that within the last year it does not make any money overall- so I change the timeframe that for 2016 is profitable

  defparam flatbefore=070000

  defparam flatafter=120000

  (But of cause the NoTradingAfter=17 will never be an issue)

  *************

  I also tried to play with traling stops, but with no luck or profit!!

  //------------------------------------------------------------------------- // Main code : 5magic3 newtest9.0 //------------------------------------------------------------------------- defparam cumulateorders=false defparam preloadbars=2000 defparam flatbefore=070000 defparam flatafter=230000 ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0 ONCE Bullish0=0 ONCE Bullish1=0 ONCE Bearish0= 0 ONCE Bearish1= 0 NoMomentum1=75 candlesperiods=2 //REM Money Management Capital = 1000 Risk = 0.03 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) If PositionSize>100 then PositionSize=100 endif //REM ICHIMOKU DEFINITI Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26] //************************************** //************** REM LONG*************** //************************************** // BULLISH/BEARISH CANDLE TEST AND CONDITION Bullish0 = close > SenkouSpanA and close > SenkouSpanB and open < close Bullish1 = close [1]> SenkouSpanA and close[1] > SenkouSpanB and open[1] < close[1] Bearish0 = close < SenkouSpanA and close < SenkouSpanB and open > close Bearish1 = close[1] < SenkouSpanA and close[1] < SenkouSpanB and open[1] > close[1] //ICHIMOKU TEST AND LONG CONDITION TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijunsenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26] //VOLITALE TEST AND CONDITION If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN condition=0 Else condition=1 endif //ENTER/EXIT LONG MARKET TEST IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijunsenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET if low crosses under kijunsen then sell AT MARKET endif ENDIF //************************************** //************** REM SHORT************** //************************************** //ICHIMOKU TEST AND SHORT CONDITION TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26] //ENTER/EXIT SHORT MARKET TEST IF condition and Bearish0 and Bearish1 and TenkansenBelow and KijunsenBelow and ChikouBelow THEN SELLSHORT PositionSize CONTRACTS AT MARKET if high crosses over kijunsen then EXITSHORT AT MARKET endif ENDIF // REM stop and profit SL=109 set stop ploss SL //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black //GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua //GRAPH SL COLOURED(0,255,0) AS "SL" //Lime //GRAPH xxx COLOURED(0,255,255) AS "TreBarsAbove" //Aqua //GRAPH xxx COLOURED(255,0,0) AS "TreBarsBelow" //red //GRAPH condition COLOURED(255,0,0) AS "condition" //red

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116

  //------------------------------------------------------------------------- // Main code : 5magic3 newtest9.0 //-------------------------------------------------------------------------   defparam cumulateorders=false defparam preloadbars=2000 defparam flatbefore=070000 defparam flatafter=230000     ONCE Tenkansen=0 ONCE Kijunsen=0 ONCE SenkouSpanA=0 ONCE SenkouSpanB=0 ONCE TenkansenBelow=0 ONCE KijunsenBelow=0 ONCE ChikouBelow=0 ONCE Bullish0=0 ONCE Bullish1=0 ONCE Bearish0= 0 ONCE Bearish1= 0   NoMomentum1=75 candlesperiods=2   //REM Money Management Capital = 1000 Risk = 0.03 StopLoss = 10 // Could be our variable X // Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   If PositionSize>100 then PositionSize=100 endif   //REM ICHIMOKU DEFINITI   Tenkansen = (highest[9](high)+lowest[9](low))/2 Kijunsen = (highest[26](high)+lowest[26](low))/2 SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2 SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 Chikou = close[26]     //************************************** //************** REM LONG*************** //**************************************   // BULLISH/BEARISH CANDLE TEST AND CONDITION   Bullish0 = close > SenkouSpanA and close > SenkouSpanB and open < close Bullish1 = close [1]> SenkouSpanA and close[1] > SenkouSpanB and open[1] < close[1] Bearish0 = close < SenkouSpanA and close < SenkouSpanB and open > close Bearish1 = close[1] < SenkouSpanA and close[1] < SenkouSpanB and open[1] > close[1]   //ICHIMOKU TEST AND LONG CONDITION   TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB KijunsenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26]   //VOLITALE TEST AND CONDITION   If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN condition=0 Else condition=1 endif   //ENTER/EXIT LONG MARKET TEST     IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijunsenAbove and ChikouAbove THEN BUY PositionSize CONTRACTS AT MARKET if low crosses under kijunsen then sell AT MARKET endif ENDIF     //************************************** //************** REM SHORT************** //**************************************   //ICHIMOKU TEST AND SHORT CONDITION   TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26]   //ENTER/EXIT SHORT MARKET TEST     IF condition and Bearish0 and Bearish1 and TenkansenBelow and KijunsenBelow and ChikouBelow THEN SELLSHORT PositionSize CONTRACTS AT MARKET if high crosses over kijunsen then EXITSHORT AT MARKET endif ENDIF // REM stop and profit   SL=109 set stop ploss SL   //Debugging //GRAPH SenkouSpanB COLOURED(0,0,255) AS  "Take Profit" //Blue //GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red //GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black //GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua //GRAPH SL COLOURED(0,255,0) AS "SL" //Lime //GRAPH xxx COLOURED(0,255,255) AS "TreBarsAbove" //Aqua //GRAPH xxx COLOURED(255,0,0) AS "TreBarsBelow" //red //GRAPH condition COLOURED(255,0,0) AS "condition" //red

  ****************

  //————————————————————————-

  // Main code : 5magic3 newtest9.5

  //————————————————————————-

   

  defparam cumulateorders=TRUE

  defparam preloadbars=2000

  defparam flatbefore=070000

  defparam flatafter=120000

   

   

  ONCE Tenkansen=0

  ONCE Kijunsen=0

  ONCE SenkouSpanA=0

  ONCE SenkouSpanB=0

  ONCE TenkansenBelow=0

  ONCE KijunsenBelow=0

  ONCE ChikouBelow=0

  ONCE Bullish0=0

  ONCE Bullish1=0

  ONCE Bearish0= 0

  ONCE Bearish1= 0

   

   

   

  //Trading Variables

   

  NoMomentum1=75

  candlesperiods=2

  NoTradingAfter=17

   

  //REM Money Management

  Capital = 1000

  Risk = 0.03

  StopLoss = 10 // Could be our variable X

  // Calculate contracts

  equity = Capital + StrategyProfit

  maxrisk = round(equity*Risk)

  PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)

   

  If PositionSize>100 then

  PositionSize=100

  endif

   

  //REM ICHIMOKU DEFINITION

   

  Tenkansen = (highest[9](high)+lowest[9](low))/2

  Kijunsen = (highest[26](high)+lowest[26](low))/2

  SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2

  SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2

  Chikou = close[26]

   

   

  //**************************************

  //************** REM LONG***************

  //**************************************

   

  // BULLISH/BEARISH CANDLE TEST AND CONDITION

   

  Bullish0 = close > SenkouSpanA and close > SenkouSpanB and open < close

  Bullish1 = close [1]> SenkouSpanA and close[1] > SenkouSpanB and open[1] < close[1]

  Bearish0 = close < SenkouSpanA and close < SenkouSpanB and open > close

  Bearish1 = close[1] < SenkouSpanA and close[1] < SenkouSpanB and open[1] > close[1]

   

  //ICHIMOKU TEST AND LONG CONDITION

   

  TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB

  KijunsenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB

  ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26]

   

  //VOLITALE TEST AND CONDITION

   

  If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN

  condition=0

  Else

  condition=1

  endif

   

  //ENTER/EXIT LONG MARKET TEST

   

   

  IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijunsenAbove and ChikouAbove THEN

  //IF condition and Bullish0 and Bullish1 and TenkansenAbove and KijunsenAbove THEN

  BUY PositionSize CONTRACTS AT MARKET

  if low crosses under kijunsen then

  sell AT MARKET

  ENDIF

  ENDIF

   

  //Adding extra position if in good trend

   

  IF CurrentHour < NoTradingAfter and BARINDEX-TRADEINDEX(1)>1 AND Close-TRADEPRICE(1)>10 AND LongOnMarket then// AND condition and Bullish0 and Bullish1 and TenkansenAbove and KijunsenAbove then// and ChikouAbove THEN

  Buy PositionSize CONTRACTS AT MARKET

   

  if low crosses under kijunsen then

  sell AT MARKET

  ENDIF

  ENDIF

   

  //**************************************

  //************** REM SHORT**************

  //**************************************

   

  //ICHIMOKU TEST AND SHORT CONDITION

   

  TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB

  KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB

  ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26]

   

  //ENTER/EXIT SHORT MARKET TEST

   

   

  IF condition and Bearish0 and Bearish1 and TenkansenBelow and KijunsenBelow and ChikouBelow THEN

  SELLSHORT PositionSize CONTRACTS AT MARKET

  if high crosses over kijunsen then

  EXITSHORT AT MARKET

  endif

  ENDIF

   

  //Adding extra position if in good trend

   

  IF CurrentHour < NoTradingAfter and BARINDEX-TRADEINDEX(1)>1 AND TRADEPRICE(1)-Close>20 AND ShortOnMarket then // AND condition and Bearish0 and Bearish1 and TenkansenBelow and KijunsenBelow and ChikouBelow THEN

  SELLSHORT PositionSize CONTRACTS AT MARKET

  if low crosses under kijunsen then

  sell AT MARKET

  ENDIF

  ENDIF

  // REM stop and profit

   

  StopLoss=109

  set stop ploss StopLoss

   

  IF equity>50000 THEN

  QUIT

  ENDIF

  //Debugging

  //GRAPH SenkouSpanB COLOURED(0,0,255) AS  “Take Profit” //Blue

  //GRAPH SenkouSpanA COLOURED(255,0,0) AS “Stop Loss” //Red

  //GRAPH Chikou COLOURED(0,0,0) AS “chikou” //Black

  //GRAPH TP COLOURED(0,255,255) AS “TP” //Aqua

  //GRAPH SL COLOURED(0,255,0) AS “SL” //Lime

  //GRAPH xxx COLOURED(0,255,255) AS “TreBarsAbove” //Aqua

  //GRAPH xxx COLOURED(255,0,0) AS “TreBarsBelow” //red

  //GRAPH condition COLOURED(255,0,0) AS “condition” //red

  //GRAPH Indicator COLOURED(255,0,0) AS “Longentry” //red

  //GRAPH LongEntry COLOURED(255,0,0) AS “Longentry” //red

  //Graph ind COLOURED(255,0,0) AS “condition” //red

  

  Elsborgtrading

  Participant

  Topics: 37

  Replies: 359

  Been thanked: 154 times
  07/27/2016 at 8:17 AM #10911
  Elsborgtrading

   

  The ver.9.0 is pre Aug 2015 and ver9.5 is profitable in 2016.

  Even if the codes shows profit it also shows high losses, so in real live trading I would be careful using it- But perhaps some bright ideas and comments from others will lead to a more stable equity curve.

  

  Elsborgtrading

  Participant

  Topics: 37

  Replies: 359

  Been thanked: 154 times
  07/27/2016 at 8:41 AM #10915
  Elsborgtrading

  Correction to my note in previous post in the section “my notes to the ver. 9.0 is:”

  it should say:

  And something with the

  //Volitale test

  If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMomentum1 THEN

  condition=0

  Else

  condition=1

  endif

  If it not in the code will not generate Any Money??? That’s is very strange and just a coincident derived from an idea

  

  Elsborgtrading

  Participant

  Topics: 37

  Replies: 359

  Been thanked: 154 times
  07/27/2016 at 7:50 PM #10937
  Dymjohn

  Hi Kasper

  Quite a lot to digest in your note. Only, so far, looked at version 9. I’ve incorporated your changes into my MFE version but cannot use the 109 stop if trailing as this will never produce a profit. I’d be interested in knowing what your version does on 10th March 2016 which on hourly, for me, produces a buy at 13:00,correctly, at 9990.7(2 points above inside bar high). In my version I’ve incorporated a condition to not close the trade on the same bar as the entry bar being mindful of the stop loss problem. I believe this gives a better indication of real trading e.g.

  Rule1 = (BarIndex-TradeIndex)>=1

  Anyway, the tester closes on the next bar for a loss 90 points.

  Still some development to do I think but I can post the version if you wish, although, I’m getting overload of versions now!

  

  Dymjohn

  Participant

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