New strategy template

• 05/17/2021 at 1:44 PM #169896
  nonetheless

  Hi palettofix, thanks for that – your suggestion makes perfect sense. In fact I recently tried making that same change, but it gave me an unexpected result in tests so I left it with the full calculation each time – even though it looks like it should be unnecessary.

  

  nonetheless

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  01/19/2022 at 9:20 AM #185900
  Khaled

  nonetheless wrote:

  nonetheless

  Good morning Nonetheless, Thank you very much for this valuable contribution. I’m wondering is line 139 shouldn’t read “>=” rather than “<=”

  Thanks

  

  Khaled

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  01/19/2022 at 12:39 PM #185909
  nonetheless

  yes, you’re right, that looks like a typo – sorry!

  This is the version of that snippet I now use – sets a max number of bars whether the position is winning or losing.

  //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF (longonmarket and barindex-tradeindex(1)>= b1 and positionperf>0) or (longonmarket and barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF (shortonmarket and barindex-tradeindex(1)>= b3 and positionperf>0) or (shortonmarket and barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif

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  //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF (longonmarket and barindex-tradeindex(1)>= b1 and positionperf>0) or (longonmarket and barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF (shortonmarket and barindex-tradeindex(1)>= b3 and positionperf>0) or (shortonmarket and barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif

   

   

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  nonetheless

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  01/19/2022 at 1:04 PM #185913
  Khaled

  I’ve no doubt it was a typo. Thanks for the update. Cheers!

  

  Khaled

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  01/19/2022 at 1:21 PM #185916
  nonetheless

  Actually that was already corrected in the later versions – v5 for example.

  but looking at that template, the main thing I would change is the Money Management. This is the one I’m now using, although there are many others in the Snippet library.

  //MONEY MANAGEMENT DAX 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 = 1050 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = dd //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier 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

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  //MONEY MANAGEMENT DAX 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 = 1050 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = dd  //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier 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

   

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  nonetheless

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  01/19/2022 at 1:23 PM #185918
  Khaled

  Please keep sharing your treasure. I learnt a lot from you. THANK YOU!

  

  Khaled

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  01/21/2022 at 1:09 PM #186179
  Khaled

  Hi nonetheless,

  I’m running tests on this simple strategy to better get grasp on how your BE/TrailingStop work. The code is below. It’s tested on DJ on 1 min chart (10k). The issue I’ve is after multiple runs of optimization, there are a few trades where the actual performance is way below the MFE, a few other reach a decent positive MFE and then end up negative.

  I wonder if you can give me some advice on how to reduce the difference between MFE and actual performance and how to avoid finishing red after making 30pts positive. Do you use in your live systems a sort of staged parameters for each level of profit for example (eg. if positionperf >30 and <100 then tsl = x1 and tss=y1 // if positionperf >100 and <200 then tsl = x2 and tss=y2, etc.)?

  Thanks

  //------------------------------------------------------------------------- // Code principal : MonSystème(136) //------------------------------------------------------------------------- DEFPARAM CUMULATEORDERS = FALSE DEFPARAM PRELOADBARS = 2000 ONCE SL = 0.6 ONCE TPL = 0.6 ONCE TPS = 1.4 ONCE acceleratorlong = 0.3 ONCE acceleratorshort = 0.24 ONCE besensitivity = 1.0 ONCE besg = 0.01 ONCE besl = 0.01 ONCE ts2sensitivity = 3.0 ONCE tsl = 0.13 ONCE tss = 0.06 TIMEFRAME(60 minutes) TrendUpH1 = close>open and close>close[1] TrendDnH1 = close<open and close<close[1] TIMEFRAME(5 minutes, UPDATEONCLOSE) ca=0 cv=0 TrendUpM15 = close>open and close>close[1] TrendDnM15 = close<open and close<close[1] p = 12 q = 26 r = 9 z1=DEMA[p](close) z2 =dema[q](close) e= z1 - z2 z3=DEMA[r](e) f=z3 g=e-f ca1 = e < 0 and g>0 cv1 = e > 0 and g<0 ca = TrendUpM15 and TrendUpH1 and ca1 cv = TrendDnM15 and TrendDnH1 and cv1 TIMEFRAME(DEFAULT) nLots = 1 IF NOT LongOnMarket AND ca THEN BUY nLots CONTRACTS AT MARKET ENDIF IF NOT ShortOnMarket AND cv THEN SELLSHORT nLots CONTRACTS AT MARKET ENDIF If LongOnMarket AND (cv) THEN SELL AT MARKET SELLSHORT nLots CONTRACTS AT MARKET ENDIF IF ShortOnMarket AND (ca) THEN EXITSHORT AT MARKET BUY nLots CONTRACTS AT MARKET ENDIF /////////////////////////// //////Breakeven 2//////// /////////////////////////// if POSITIONPERF>=(100)*pipsize then enableBreakEven =1 // break even stop incl. cumulative positions if enableBreakEven then //==================== //once besg = be //% break even stop gain //once besl = bes //% break even stop level (+ or -) //besensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif endif mypositionpricebe = positionprice if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif endif /////////////////////////// //////Trailing Stop//////// /////////////////////////// trailingstopPC = 1 //endif // Percentage trailing stop function incl. cumulative positions if trailingstopPC then trailingpercentlong = tsl // % trailingpercentshort = tss // % //once acceleratorlong = tsl/10 //a1 // always > 0 (typically TSL/10) //once acceleratorshort= tss/10 //a2 // always > 0 (typically TSS/10) //ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif mypositionprice = positionprice endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif if longonmarket then SET TARGET %PROFIT TPL elsif shortonmarket then SET TARGET %PROFIT TPS endif SET STOP %LOSS SL

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  //------------------------------------------------------------------------- // Code principal : MonSystème(136) //------------------------------------------------------------------------- DEFPARAM CUMULATEORDERS = FALSE DEFPARAM PRELOADBARS = 2000   ONCE SL = 0.6 ONCE TPL = 0.6 ONCE TPS = 1.4 ONCE acceleratorlong = 0.3 ONCE acceleratorshort = 0.24 ONCE besensitivity = 1.0 ONCE besg = 0.01 ONCE besl = 0.01 ONCE ts2sensitivity = 3.0 ONCE tsl = 0.13 ONCE tss = 0.06 TIMEFRAME(60 minutes)   TrendUpH1 = close>open and close>close[1] TrendDnH1 = close<open and close<close[1]     TIMEFRAME(5 minutes, UPDATEONCLOSE) ca=0 cv=0   TrendUpM15 = close>open and close>close[1] TrendDnM15 = close<open and close<close[1]   p = 12 q = 26 r = 9   z1=DEMA[p](close) z2 =dema[q](close) e= z1 - z2 z3=DEMA[r](e) f=z3 g=e-f   ca1 = e < 0 and g>0 cv1 = e > 0 and g<0   ca = TrendUpM15  and TrendUpH1 and ca1 cv = TrendDnM15  and TrendDnH1 and cv1     TIMEFRAME(DEFAULT)   nLots = 1   IF NOT LongOnMarket AND ca THEN BUY nLots CONTRACTS AT MARKET ENDIF   IF NOT ShortOnMarket AND cv THEN SELLSHORT nLots CONTRACTS AT MARKET ENDIF   If LongOnMarket AND (cv) THEN SELL AT MARKET SELLSHORT nLots CONTRACTS AT MARKET ENDIF   IF ShortOnMarket AND (ca) THEN EXITSHORT AT MARKET BUY nLots CONTRACTS AT MARKET ENDIF   /////////////////////////// //////Breakeven 2//////// /////////////////////////// if POSITIONPERF>=(100)*pipsize then enableBreakEven =1   // break even stop incl. cumulative positions if enableBreakEven then //==================== //once besg = be //% break even stop gain //once besl = bes //% break even stop level (+ or -) //besensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif endif mypositionpricebe = positionprice   if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif endif /////////////////////////// //////Trailing Stop//////// ///////////////////////////   trailingstopPC = 1 //endif // Percentage trailing stop function incl. cumulative positions if trailingstopPC then trailingpercentlong  = tsl // % trailingpercentshort = tss // % //once acceleratorlong = tsl/10 //a1 // always > 0 (typically TSL/10) //once acceleratorshort= tss/10 //a2 // always > 0 (typically TSS/10) //ts2sensitivity  = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif mypositionprice = positionprice endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif   if longonmarket then SET TARGET %PROFIT TPL elsif shortonmarket then SET TARGET %PROFIT TPS endif   SET STOP %LOSS SL

   

  

  Khaled

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  01/21/2022 at 1:52 PM #186187
  nonetheless

  Hi Khaled, without looking at the actual strategy, the first thing i notice is that using breakeven with that trail is an odd choice as the % trail already has a breakeven

  (compare lines 108-115 with lines 195 – 200)

  I only use the breakeven code in conjunction with the ATR trail, which does not have that component.

  But even in that case, using besg = 0.01 would be impossible on the DJ as that would be only 3.5 points. The IG minimum is 10.

  Lastly, ts2sensitivity = 3 is also an odd choice as that means that the low of the candle has to be above the breakeven level (when long). This is the hardest combination to achieve, esp with your settings means a v long wait for the trail to start. I normally use 2, (high/low)

   

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  nonetheless

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  01/21/2022 at 2:02 PM #186188
  nonetheless

  nonetheless wrote:

  esp with your settings means a v long wait for the trail to start

  actually when i wrote that, I had mistaken your tpl/tps values for tsl/tss  … but I would still recommend using ts2sensitivity = 2 (without the breakeven)

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  nonetheless

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  01/21/2022 at 2:10 PM #186189
  Khaled

  Thanks for your quick feedback.

  I actually sensitivity = 3 was the result of the backtest. I kept the % trailing system only and removed all the rest. I’ll test.

  Again Thank you!

  

  Khaled

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  01/21/2022 at 2:17 PM #186190
  nonetheless

  Khaled wrote:

  sensitivity = 3 was the result of the backtest

  you mean you optimized it, with values 1 – 4 ?

  

  nonetheless

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  01/21/2022 at 2:20 PM #186191
  Khaled

  Exactly. I simulated values for tsl with ts2sensitivity (1 to 4), then tss with ts2sensitivity (1 to 4), and best result came out with ts2sensitivity = 3.

  

  Khaled

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  01/27/2022 at 2:13 PM #186731
  micquan

  @nonetheless , I am learning and developing a few strategies and robertogozzi, Nicolas, GraHal have been helping me over the last few weeks. Very keen to get my strategy working on PRT and I hope to go through your template and adopt the code where relevant, test them and feedback. I appreciate that you are sharing this template to help new members.

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  nonetheless

  

  micquan

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  01/28/2022 at 5:12 PM #186862
  micquan

  @Khaled, can you share your latest code as I am not getting the same result as your screen shots.

  

  micquan

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  01/28/2022 at 6:53 PM #186874
  Khaled

  @micquan, As I mentioned in my previous post, it was a test to check and understand how the Trailing Stop shared by nonetheless works. I didn’t update this particular “simple” strategy, as I’ll not use it. If you don’t get the same results, may be you didn’t use same TF or not same dates (start/end) or may be you picked the Dow 1pound, while I used Dow 1 euro. The idea behind my post was to understand why there is a big gap between actual performance and MFE and nonetheless explained that I was using two times breakeven system together with inappropriate choice of ts2sensitivity option.

  Happy to discuss further and/or to help testing an idea.

  

  Khaled

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