Pathfinder swing TS

• 06/06/2017 at 11:45 AM #37598
  wp01

  @David,

  In post #37265 on this page you said you also had SB (NY Sugar no.1). I haven’t seen it yet i guess. Is it not good enough or ?

  Patrick

  

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  06/06/2017 at 11:49 AM #37599
  dajvop

  @wp01

  Before I posted all algos I went through them again and Sugar wasn’t that good, so I scrubbed it.

  If you want to, see what you can make of it.

  

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  06/06/2017 at 12:22 PM #37605
  wp01

  No not necessary. Thanks.

  

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  06/06/2017 at 1:07 PM #37613
  wp01

  @Traderfred,

  Are you working on the DAX as suggested?

   

  

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  06/06/2017 at 1:51 PM #37628
  wp01

  O-jay8,

  When i import your DFB version i get more or less the same result on the DAX as you have. So that’s fine.

  But when i optimize the DAX on a non-DFB i get attached results. Even if i change your adjustments into mine version i still do not get the same results.

  I have no idea why that is. Maybe you can help out.

  Thanks.

  

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  06/06/2017 at 2:07 PM #37633
  wp01

  I’ve updated the Excel sheet for June 2.

  Only the DFB instruments from O-jay8 are not included yet. I think only Platinum is left according to Reiners sheet.

  For the rest we can try to make some shorts.

  Patrick

  

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  06/06/2017 at 2:10 PM #37635
  O-jay8

  @ Wp01,

  I dont really know why it is different. For instance when I copy your algos and use them for DFB, I get more or less the same results as you posted.

  For your shown Dax results, you used different parameters then I did. Your results are actually even better. I would use yours then.

  Attached your backtest for my side.

  Best regards

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  wp01

  

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  06/06/2017 at 3:27 PM #37648
  dajvop

  @O-jay8

  DAX and OMX are different for me.

  When the spread for Copper and Coffee are changed to 30 the results are quite different, and not for the better. I guess that the spread for DFB is different..?

  

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  06/06/2017 at 3:51 PM #37650
  O-jay8

  @Dajvop.

  Regarding the difference. I still have no clue.

  Regarding the spread, it was my mistake. I didnt adjust the spreads accordingly. Unfortunately you are right, the results are worse of course if the spread is higher.

  Thanks for spotting this.

  

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  06/07/2017 at 8:29 AM #37697
  wp01

  Enclosed Platinum Jun2.

  I got this result by changing the BT to 01-01-2000. If you take the full period back to the 80’s it is still

  reasonable, but not as good as this one. I think a BT of nearly 17 years should be a respectable period.

  This one runs again on the 1 euro contract instead of the future we used earlier.

  Ticker	Name	min.size	long/short	Gain%	WinTrades%	Highest Loss in €	Loss in currency	DD in €	DD in currency	RW
  PL	Platinum (EUR1 contract)	10	long	50,60%	75,00%	130,00		560,00		25,54

   

  Kind regards,

  Patrick

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  dajvop

  

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  06/07/2017 at 8:37 AM #37701
  dajvop

  Patrick, are you sure that PL 1€ works? I got a rejection the other day saying that only closing positions were accepted.

  

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  06/07/2017 at 8:56 AM #37705
  wp01

  David,

  Yes you are right. I couldn’t remember it. It is for closing only.

  Thank you.

  Patrick

  

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  06/07/2017 at 9:00 AM #37708
  wp01

  The Platinum July future expires the 23rd. of this month and next one is not available yet.

  

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  06/07/2017 at 9:03 AM #37710
  dajvop

  It is a sort of gamble with these monthly futures…

  

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  06/07/2017 at 9:18 AM #37714
  wp01

  Yes i had last month or the month before problems with the rollover. I had to have in contact with them to get the right price and settlement.

  They handled it well, but you do not want to be in contact with them with this issues. It should be correct in the first place without any doubts.

  So i’d like to avoid these futures as well.

  I sent them an email and ask them if it is possible to reactivate the Platinum 1 euro contract again. They probably have a reason why they cancelled it.

  Do not understand why. If it is the currency they can also change it in 1 usd.

  And second i asked them if it is possible to activate the next future earlier in the month. Lets say three weeks before expiring the old one.

  Than we would also not have problems. In this case it would be possible to check the october future by now.

  Lets wait where they come up with.

  Patrick

  

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