NAS scalping strategy

nonetheless · Thu, 02 Sep 2021 11:35:18 +0000

Here’s a new algo I’ve had on forward testing for a while (US Tech 100), so far consistent with the BT results. It’s all on moving averages and more or less approximates what I do in manual trading, except where I normally work on a 1min chart, this drops down to 30sec to make up for the 1 candle delay at the entry. FOR: Very nice histogram, as good as it gets. High number of trades in the BT (4 0r 5 per day) Low drawdown Spectacular ‘potential returns’ when MM is active (2nd pic – haha, dream on…🤣) Against: Very short BT, 17 months – assume it’s curve-fit to that period and would need regular reworking Possibly over-optimized (???) Stoploss is > Target profit, meaning that loss of worst trade is also > Gain of best trade – not good but unavoidable. Very low gain per trade, easily eroded with slippage or at times of higher spread. No WF, as I prefer to do out-of-sample testing in demo (closer to real trading conditions) ***Requires lengthy forward testing before going live*** As with most things in life – could be a winner, could crash and burn … who knows? Be sure to adjust the Tradetime for your time zone. // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 10000 //MONEY MANAGEMENT II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 0.5 ENDIF if MM then MinSize = 0.5 // IG minimum position size allowed MaxSize = 2000 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 370 //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier if ProfitAccrued + StrategyProfit >= DD*2 then Multiplier = 2 endif Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF once tradetype = 1 // [1] long/short [2]long [3]short once closeonreversal = 0 DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=133000 and time <200000//UK time elsif not DLS then Tradetime = time >=143000 and time <210000//UK time endif TIMEFRAME(15 minutes) ma = average[a,t](typicalprice) cb1 = ma > ma[1] mb = average[p2,t2](typicalprice) cs1 = mb < mb[1] TIMEFRAME(5 minutes) mc = average[a3,t3](typicalprice) cb2 = (mc > ma) cb3 = mc > mc[1] md = average[a4,t4](typicalprice) cs2 = (md < mb) cs3 = md < md[1] TIMEFRAME(default) me = average[a5,t5](typicalprice) cb4 = me > me[1] and me[1] < me[2] mf = average[a6,t6](typicalprice) cs4 = mf < mf[1] and mf[1] > mf[2] CB = Tradetime and (cb1 or cb2) and cb3 and cb4 CS = Tradetime and (cs1 or cs2) and cs3 and cs4 // Conditions to enter long positions if tradetype=1 or tradetype=2 then IF not longonmarket and CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF ENDIF if tradetype=2 and longonmarket and closeonreversal and CS then sell at market endif // Conditions to enter short positions if tradetype=1 or tradetype=3 then IF not shortonmarket and CS THEN sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS sls SET TARGET %PROFIT tps ENDIF ENDIF if tradetype=3 and shortonmarket and closeonreversal and CB then exitshort at market endif //% Break even (high/low) once breakeven =1 if breakeven then breakevenPC = be // long breakevenPCS = bes // short PointsToKeep = pk startBreakeven = tradeprice(1)*(breakevenPC/100) startBreakevenS = tradeprice(1)*(breakevenPCS/100) //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND high-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-low>=startBreakevenS*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif endif // trailing atr stop once trailingstopATR = 1 if trailingstopATR then //==================== once tsincrements = tsi // set to 0 to ignore tsincrements once tsminatrdist = tsm once tsatrperiod = tsa // ts atr parameter once tsminstop = 4 // ts minimum stop distance tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong = tsl // ts atr distance trailingstopshort = tss // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl else tsnewsl=tsmaxprice-tsminstop endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs else tsnewsl=tsminprice+tsminstop endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif //=================================== RSIexit = 1 // in profit if RSIexit then myrsi=rsi[r](close) if myrsi<rl and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsi>rs and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif endif

This topic has 30 replies, 12 voices, and was last updated 3 years ago by nonetheless.

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09/03/2021 at 11:29 AM #176726

nonetheless

PeterSt wrote:

If there *is* a difference, then something is wrong with the approach in the backtest program vs what would be reality.

What you describe is a traditional walk forward test, which the BT engine can do automatically for you. This is better than nothing, but a BT cannot replicate all real trading conditions. You can see this for yourself: if you have a couple of months of demo data, try running a backtest over the same period and you will usually get a different result. The demo data is more accurate due to many factors that BT cannot account for.

As for Grahal’s theory, I think he’s prob right – walk back is better than walk forward – but in my book, forward testing in demo is the only meaningful oos test.

For what it’s worth, I have had this on demo for almost a month with v good results; personally I like to see at least 3 months before going live.

Think of the attached algo as partly- baked bread, you have to finish cooking it at home (in demo) !

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nonetheless
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09/03/2021 at 12:41 PM #176729
PeterSt
GraHal wrote:

Yes … we miss out on optimising for the market cycles / price action existing today, last week , last month etc.

Thank you, GraHal. Yes, I would agree with that. It will be closer to the reality of today, although still no guarantees for tomorrow.

GraHal wrote:

Far better to leave an unoptimised period at the beginning of backtest (10k bars, 50k bars, whatever)

That is indeed what I do always. I do it this way :

Optimise what you want in the last 200K bars.

When you think you did right (not over-optimise) then draw in the 1M bars from historical data. Do NOT optimize that at all.

When the result over 1M approaches 5 times the result over the 200K bars, go for it. When far less (up to losses) come form it, you know you over-optimised the 200K bars.

The 200K is arbitrary of course, but obviously resembles the amount available outside of historical data.

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09/16/2021 at 10:43 PM #177750

OboeOpt

As Always a very interesting strategy from nonetheless, thanks for sharing!

I started it in demo when it was posted but it has now been stopped 3 times “This system was stopped because one of its orders was rejected more than the allowed number of retries.”
Is it working for everyone else?

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09/17/2021 at 8:30 AM #177776

Ryugin

For me it is working properly without any error since 9th sept2021, in a loosing row though.

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09/17/2021 at 8:53 AM #177783

GraHal

Are you running it in Demo Ryugin ?

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09/20/2021 at 9:09 AM #177939

Ryugin

Yes, it keeps working properly for me in demo account without changing anything of the code.

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09/20/2021 at 9:56 AM #177942

phoentzs

It works … but does it win too? Can you post the latest results please?

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09/21/2021 at 8:02 AM #178021

Ryugin

Sorry, what I posted before is not correct. I’ve running this algo on a mini real account I usually use for live test and the algo have been active since 2nd sept. I am attaching the results obtained (0,5 batch size).

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09/21/2021 at 8:29 AM #178036

robertogozzi

@Ryugin

Do not embed pics and files in your post, as this slows down the loading of pages and the forum overall.

Attaching them is enough.

Thank you 🙂

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11/12/2021 at 2:01 AM #181475

phoentzs

Does anyone have this strategy in demo or live? And what are the results?

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11/12/2021 at 10:12 AM #181497

nonetheless

I have a new version on demo, I’ll post the results at the end of november.

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11/12/2021 at 10:27 AM #181498

murre87

What version?

Some code u can share?

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12/05/2021 at 12:36 PM #182844

murre87

How does ur results look like nonetheless

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12/05/2021 at 1:20 PM #182846

nonetheless

It’s a bust I’m afraid, not something I intend to pursue.

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12/05/2021 at 2:58 PM #182850

phoentzs

I think if you move the timeframes up so that the smallest timeframe is M1 or something. It could look better.

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NAS scalping strategy

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