One year after

Aloysius · Thu, 29 Mar 2018 15:52:05 +0000

As the idea has come in Pathfinder topic, I open a new thread to make a review of old codes published here that have well passed the “real market” test. So the idea is to consider, one year after, or a few months for code with short timeframes, this non tested period, to see if they are interesting. Unfortunatly we see that most of them fail in the real market, but some succeed, and it would be very useful to list them. As a first contribution, I present the one I have in live trading now, and which is in gain for some time: it seems to come from Francesco (thanks!) but sorry I can not find the initial post. The instrument is EUR/USD with a 1h timeframe. //------------------------------------------------------------------------- // Code principal : ATR EURUSD francesco 1h //------------------------------------------------------------------------- // EUR/USD(mini) - IG MARKETS// TIME FRAME 1H// SPREAD 2.0 PIPS DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE =080000 DEFPARAM FLATAFTER =210000 indicator1 = Average[200](close) indicator2 = Average[50](close) c1 = (indicator2-indicator1)/close c2= abs(c1)<0.012 atr = AverageTrueRange[30] if c2 then m = 2 profits = 70//100//130 losses = 40//40//40 // LONG IF (abs(open-close) > (atr*m) and close > open) THEN buy 1 CONTRACTS AT MARKET SET STOP pLOSS losses SET TARGET pPROFIT profits ENDIF //SHORT IF (abs(open-close) > (atr*m) and close < open) THEN sellshort 1 CONTRACTS AT MARKET SET STOP pLOSS losses SET TARGET pPROFIT profits ENDIF endif One Year After library: (list of all strategies reported in this thread) https://docs.google.com/spreadsheets/d/1sVas9Tz5gA94nwu-dYWgeGKY1cud7HwvqKkeqjP1aIo/edit?usp=sharing

This topic has 80 replies, 18 voices, and was last updated 5 years ago by Nicolas.

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04/08/2018 at 5:27 PM #67557

Gianluca

Ronny wrote:

Also on EURUSD H1. To confirm earlier posts.

can you share the variant?

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04/08/2018 at 7:01 PM #67562

Ronny

Gianluca wrote:

Ronny wrote:

Also on EURUSD H1. To confirm earlier posts.

can you share the variant?

I have this one running:

//-------------------------------------------------------------------------
// Main code : PRC - FBS_EURUSD_60M_V2
//-------------------------------------------------------------------------
//EURUSD(-) - IG MARKET
// TIME FRAME 1H
// PROBACKTEST TICK by TICK - 200.000 bars
// SPREAD 0.6 PIP
// ALE

DEFPARAM CumulateOrders = false
DC=20// period of Donchian Stop
TGL=5//Trailing Stop pip distance
TGS=5
TP=30
//SL
IF LONGONMARKET THEN
DC=20// period of Donchian Stop
TGL=5//Trailing Stop pip distance
TP=30//take profit
//SL=50// stop loss
ELSIF SHORTONMARKET THEN
DC=20// period of Donchian Stop
TGS=5
TP=30
//SL=50
ENDIF
//KASPER CODE OF REINVESTMENT
Reinvest=0
if reinvest then
Capital = 10000
Risk = 1//0.1//in % pr position
StopLoss = 40
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*(Risk/100))
MAXpositionsize=5000
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize))))
else
Positionsize=1
StopLoss = 40
Endif

///BILL WILLIAM FRACTAL INDICATOR MODIFIED
CPL=80//period of superior fractal level
CPS=100//period of inferior fractal level
if close[CPL] >= highest[2*CPL+1](close) then
LH = 1
else
LH=0
endif
if LH=1 then
HIL = close[CPL]
endif
if close[CPS] <= lowest[2*CPS+1](close)  then
LL= -1
else
LL=0
endif
if LL  = -1 then
LOL=close[CPS]
endif
//LONG and SHORT CONDITIONS
RL=0 // range long candles
RS=0 // range short candles

if (time >=100000 and time < 230000) then
A1 = (close CROSSES OVER HIL)
A2 = (close CROSSES UNDER LOL)
FL= (CLOSE-OPEN)>=RL*POINTSIZE
FS= (CLOSE-OPEN)<=-RS*POINTSIZE
IF A1 and not shortonmarket AND FL THEN
BUY positionsize CONTRACT AT MARKET
ENDIF
IF A2  and not longonmarket AND FS  THEN
SELLSHORT positionsize CONTRACT AT MARKET
ENDIF
ENDIF
//TRAILING STOP
if not onmarket then
MAXPRICE = 0
MINPRICE = close
PREZZOUSCITA = 0
ENDIF
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close)
if MAXPRICE-tradeprice(1)>=TGL*pointsize then
PREZZOUSCITA = MAXPRICE-TGL*pointsize
ENDIF
ENDIF
if shortonmarket then
MINPRICE = MIN(MINPRICE,close)
if tradeprice(1)-MINPRICE>=TGS*pointsize then
PREZZOUSCITA = MINPRICE+TGS*pointsize
ENDIF
ENDIF
if onmarket and PREZZOUSCITA>0 then
EXITSHORT AT PREZZOUSCITA STOP
SELL AT PREZZOUSCITA STOP
ENDIF
// DONCHIAN STOP
f=Lowest[DC](low)
e= Highest[DC](high)
if longonmarket  then
laststop = f[1]
endif
if shortonmarket  then
laststop = e[1]
endif
if onmarket then
sell at laststop stop
exitshort at laststop stop
endif
SET STOP PLOSS StopLoss
SET TARGET PPROFIT TP

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//-------------------------------------------------------------------------

// Main code : PRC - FBS_EURUSD_60M_V2

//-------------------------------------------------------------------------

//EURUSD(-) - IG MARKET

// TIME FRAME 1H

// PROBACKTEST TICK by TICK - 200.000 bars

// SPREAD 0.6 PIP

// ALE

DEFPARAM CumulateOrders = false

DC=20// period of Donchian Stop

TGL=5//Trailing Stop pip distance

TGS=5

TP=30

//SL

IF LONGONMARKET THEN

DC=20// period of Donchian Stop

TGL=5//Trailing Stop pip distance

TP=30//take profit

//SL=50// stop loss

ELSIF SHORTONMARKET THEN

DC=20// period of Donchian Stop

TGS=5

TP=30

//SL=50

ENDIF

//KASPER CODE OF REINVESTMENT

Reinvest=0

if reinvest then

Capital = 10000

Risk = 1//0.1//in % pr position

StopLoss = 40

REM Calculate contracts

equity = Capital + StrategyProfit

maxrisk = round(equity*(Risk/100))

MAXpositionsize=5000

MINpositionsize=1

Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize))))

else

Positionsize=1

StopLoss = 40

Endif

///BILL WILLIAM FRACTAL INDICATOR MODIFIED

CPL=80//period of superior fractal level

CPS=100//period of inferior fractal level

if close[CPL] >= highest[2*CPL+1](close) then

LH = 1

else

LH=0

endif

if LH=1 then

HIL = close[CPL]

endif

if close[CPS] <= lowest[2*CPS+1](close) then

LL= -1

else

LL=0

endif

if LL = -1 then

LOL=close[CPS]

endif

//LONG and SHORT CONDITIONS

RL=0 // range long candles

RS=0 // range short candles

if (time >=100000 and time < 230000) then

A1 = (close CROSSES OVER HIL)

A2 = (close CROSSES UNDER LOL)

FL= (CLOSE-OPEN)>=RL*POINTSIZE

FS= (CLOSE-OPEN)<=-RS*POINTSIZE

IF A1 and not shortonmarket AND FL THEN

BUY positionsize CONTRACT AT MARKET

ENDIF

IF A2 and not longonmarket AND FS THEN

SELLSHORT positionsize CONTRACT AT MARKET

ENDIF

//TRAILING STOP

if not onmarket then

MAXPRICE = 0

MINPRICE = close

PREZZOUSCITA = 0

ENDIF

if longonmarket then

MAXPRICE = MAX(MAXPRICE,close)

if MAXPRICE-tradeprice(1)>=TGL*pointsize then

PREZZOUSCITA = MAXPRICE-TGL*pointsize

ENDIF

if shortonmarket then

MINPRICE = MIN(MINPRICE,close)

if tradeprice(1)-MINPRICE>=TGS*pointsize then

PREZZOUSCITA = MINPRICE+TGS*pointsize

ENDIF

if onmarket and PREZZOUSCITA>0 then

EXITSHORT AT PREZZOUSCITA STOP

SELL AT PREZZOUSCITA STOP

ENDIF

// DONCHIAN STOP

f=Lowest[DC](low)

e= Highest[DC](high)

if longonmarket then

laststop = f[1]

endif

if shortonmarket then

laststop = e[1]

endif

if onmarket then

sell at laststop stop

exitshort at laststop stop

endif

SET STOP PLOSS StopLoss

SET TARGET PPROFIT TP

Ronny

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04/11/2018 at 3:36 PM #68032

O-jay8

Hello Guys,
Very good Idea with this thread.
I Found couple of Strategies which are older than 1 year and were profitable in the last 12 month.

Breakout Dax 15 min from ALE

https://www.prorealcode.com/prorealtime-trading-strategies/breakout-dax-15-min-trailing-stop/

Not as good as the original Backtest but still ok IMO

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04/11/2018 at 4:01 PM #68034

O-jay8

Another one:
GBP/USD Reversion 4h from David Somogyl

https://www.prorealcode.com/prorealtime-trading-strategies/gbpusd-reversion-bars/

The out of sample for the last 12 month is very close to the backtest

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GraHal

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04/11/2018 at 4:09 PM #68036

O-jay8

QU trading strategy

https://www.prorealcode.com/prorealtime-trading-strategies/qu-trading-strategy-dax-indices-cfd/

FTSE 1h from ALE

Out of Sample quite close to Backtest here as well

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GraHal

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04/11/2018 at 4:20 PM #68038

O-jay8

Ichimoku KBO Chikou

https://www.prorealcode.com/prorealtime-trading-strategies/ichimoku-kbo-chikou-trading-strategy/

Dax 15 min from Doctrading

Matched Backtest but the winning rate is very low with 28%

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GraHal

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04/13/2018 at 10:32 AM #68254

Eric

https://www.prorealcode.com/prorealtime-trading-strategies/true-range-breakout-eurusd/

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04/27/2018 at 11:01 PM #69320

MaoRai54

Hi guys

it’s a pity that this thread is not enough considered.

imho it should be at topo list of arguments. ’cause everybody should share his own experience.

MaoRai54

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04/28/2018 at 6:20 AM #69323

Vonasi

MaoRai54 wrote:

Hi guys

it’s a pity that this thread is not enough considered.

imho it should be at topo list of arguments. ’cause everybody should share his own experience.

Maybe it is because not many strategies have survived a year of forward testing or if they have then the authors are keeping them to themselves to try to keep the strategies edge for as long as possible?

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04/28/2018 at 9:47 AM #69334

GraHal

How about if I start another Link Library to One Year After Systems and we add brief comments / results (e.g Live gain / loss April 18 – £100) in separate columns alongside any we test out?

If it works the idea might have applicability for other Threads that contain a lot of Systems? The Link Libraries might become Sticky Threads in time if they work?

My mind likes to see stuff in a tidy sortable list, easy to scan down and find etc?

But please I don’t want to be the only one to enter data … there will be no room on my tombstone for Creater & Keeper of Link Library 1, 2, 3, … etc (as Vonasi proposed! 🙂 )

GraHal

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Francesco78

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04/28/2018 at 12:56 PM #69341

Francesco78

I think is a great idea!

Can you put a dropbox link in the style of the pathfinder threads?

So that we can open the link immediatley from the first page?

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06/02/2018 at 9:31 AM #72019

GraHal

Right, I went to bed at 9 last night so feeling more up for it I’ve done the One Year After – Library that I promised. It’s a bit sketchy at the mo, I will improve, but also you feel free to add / amend layout etc.

Also we need performance data in the Library, not sure on best layout yet so coloured text columns are a trial (can be revised).

Any Mod PLEASE would you make the 3 changes below …

For ease of access, add the link below to Post 1 of this Thread

One Year After – Library

2. To save confusion, delete my post on this link https://www.prorealcode.com/topic/one-year-after/#post-66737

3. To save confusion, delete attachment 3 to this Thread.

Many Thanks to Mods
GraHal

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06/04/2018 at 10:31 AM #72189

GraHal wrote:

Right, I went to bed at 9 last night so feeling more up for it I’ve done the One Year After – Library that I promised. It’s a bit sketchy at the mo, I will improve, but also you feel free to add / amend layout etc.

Also we need performance data in the Library, not sure on best layout yet so coloured text columns are a trial (can be revised).

Any Mod PLEASE would you make the 3 changes below …

For ease of access, add the link below to Post 1 of this Thread

One Year After – Library

2. To save confusion, delete my post on this link https://www.prorealcode.com/topic/one-year-after/#post-66737

3. To save confusion, delete attachment 3 to this Thread.

Many Thanks to Mods

GraHal

Ur such a lad Grahal!!! Most underrated member of this forum :)<3

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GraHal

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06/04/2018 at 12:04 PM #72205

Nicolas

I made the modification GraHal, thank you.

I need one hundred GraHal on forums 😉

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Nicolas

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06/10/2018 at 9:02 PM #72800

GraHal

So is anybody running any of the Systems from this Thread in Real Time in Demo or Live?

If Yes, might you be able to enter performance to date in columns F to I on the link below please?

One Year After – Library

If No, was it all a flash in the pan, a good idea that fell over before it got started??

Just asking to keep momentum going as we all seemed so enthusiastic at the beginning?

Thank You
GraHal

PS maybe like me, you started 1 or 2 running in Real Demo and now you can’t remember which ones they are!!! 🙂

To assist with above issue I will add a column – System Name.

GraHal

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