My first code and strategy

Elsborgtrading · Thu, 21 Jul 2016 09:28:16 +0000

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 3rd 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 3rd 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 3rd 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 3rd 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

This topic has 18 replies, 2 voices, and was last updated 8 years ago by Elsborgtrading.

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07/27/2016 at 8:04 PM #10939

Dymjohn

Casper

Just a postscript. I believe daily charts are the best ones to use for ichimoku so having all indicators in there right position could be holding back profit given the hourly indicators are inferior to daily I’m going to look at negating the chikou conditions and I would like to test for one bearish or bullish candle which like you is not working , would like to get to the bottom of the problem but not sure how to tackle. I’m also looking at stopping the strategy taking a second trade in the same direction after the first has been stopped out. I thought I had the solution to this by using for example:=

once a=0

then for a buy trade set a condition that a has to be <=0 and after entering trade reset a=1

then for a sell trade set a condition that a has to be >=0 and after entering a sell reset a=-1

this doesn’t seem to work

Dymjohn
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07/27/2016 at 9:19 PM #10940

Elsborgtrading

Hi John. Yes I know it was a lot to post, and some of it I would have liked to edit, but It was to late, so it became a bit of a mess. Also it’s my findings over at least 3 whole days in a few post, so I know what you mean.

Anyway the main thing was that ver9.0 produced profit until Aug.2015 and then it kinda stuck the next year.

Ver.9.5 is making profit this year 2016

from ver.9.0 on 10th March13@:00 I have a buy with loss, SL reached.

see scrndump

Elsborgtrading
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08/16/2016 at 3:22 PM #11762

Dymjohn

Hi Kasper,

Was just doing some development of ichimoku and I reviewed your coding. I think there is an error in the calculation of chikou. The chikou should represent closing price 26 periods in arrears. Thus code should be chikou = close. Subsequently, ChikouBelow = Close < SenkouSpanA[26] and Close < SenkouSpanB[26] or alternatively ChikouAbove = Close > SenkouSpanA[26] and Close > SenkouSpanB[26]. Hope this makes sense?

regards

John

Dymjohn
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08/16/2016 at 7:43 PM #11770

Elsborgtrading

Hi John and thanks for pointing that out. yes I think you are right, but I must agree with you, I don’t think this is profitable on a smaller time frame, thus the zero bar issue. So I forgot this one, but it gave me a lot of experience for the coding part. Anyway the strategy I was trying to copy was this. https://www.youtube.com/watch?v=cyciDlv4xXc&list=PLzzsPhJMOBbkhOWjIDPKx89_R6YKYhNBE&index=23

Cheers Kasper

Elsborgtrading
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