Pathfinder Trading System

• 09/22/2016 at 8:00 PM #13565
  Reiner

  Hi guys,

  this topic is for all discussions related to the Pathfinder trading system strategies. The system based on four components that work perfectly together.

  • signalline – instrument trend line based on two smoothed averages (Wilder and Time Series)
  • breakout levels – previous daily, weekly and monthly high/lows in combination with fast and slow averages as filters because not every breakout is profitable
  • saisonal behavior – position size will be boost with a multiplier for each month depending on the historical seasonal behavior
  • smart money and position management – grid orders, maximal position size monitoring, superordinate stop loss/take profit, trailing stop and maximum holding periods are used mechanisms

   

  The Pathfinder breakout logic works well for many instruments with 24 hour quotes such as DAX, DOW, FTSE, Hang Seng, NIKKEI in 4 hours timeframe. All versions are optimized for an 10k Euro account.

  Pathfinder strategies offer a statistical advantage but are of course not a holy grail and there is no guarantee to make money with it. The systems are optimized for historical data and historical gains are not a guarantee to be successful in the future. I strictly recommend to adjust the position sizes to your personal account size and try first in demo mode. The results in life trading will differ from the backtest results. I also recommend to start in life trading with a small account size. Anyone can use the programs for free and at their own risk.

  Pathfinder is my private and fully transparent algorithmic trading project exclusively implemented for ProRealTime 10.3. The status is experimental and I don’t trade all the systems presented here. I would also like to thank all members who have helped to improve the system with their contributions.

  Please find below the last released Pathfinder trading system versions for suitable instruments.

  Dropbox Link: https://www.dropbox.com/sh/xyymvk6gscxbfbe/AABaOs9_ZExILA18HxKW9kdqa

  Best, Reiner

  04.02.2018 Updated dropbox with new algos V7-FEB-2018 with automatic scaling for ASX, DAX, DOW, FTSE, GOLD, HS, NIKKEI, SAF and STXE (#post-61450)
  08.01.2017 Checkout the results from 2017 (#post-56978)  || introducing new PF algo category DAX-1H-V8 (#post-57005)  || new algos in dropbox DAX-V7-2018 (#post-57521), DOW-V7-2018 (#post-57524) and HS-V7-2018 (#post-57528)
  02.08.2017 Updated dropbox with new algos FTSE-V7 and Nikkei-V7 (#post-42223), ASX-V7 (#post-42249) and STXE-V7 (#post-42332)
  31.07.2017 Updated dropbox with new algos DAX-V7-2, DOW-V7-2 and HS-V7-2 (#post-41811)
  18.07.2017 Release V7 containing error fixes, improvements and new features for DAX-V7 (#post-40798) and DOW-V7 (#post-40880)

   

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  Reiner

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  09/22/2016 at 8:31 PM #13568
  Cosmic1

  Hi Reiner, Great work on the code. Can I ask what variables you have been optimising in your backtests? I’d like to run this live but I wanted to run some IN/OUT testing first.

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  Cosmic1

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  09/23/2016 at 9:58 AM #13605
  Reiner

  Hi Cosmic1, here are the optimized variables that are important for your test. Also check these variables if you want to adjust Pathfinder to other instruments.

  ONCE periodThirdMA = 3 // this variable define the "heartbeat" of every instrument and have to be adjusted, possible values are 3, 4, 5, 6, 7 // filter parameter ONCE periodLongMA = 250 // the settings of the filter periods are also important for the profit factor, 200, 250, 300 are good values ONCE periodShortMA = 50 // 10,  40 or 50 are good settings // money and position management parameter - these parameters are important for the risk and performance ONCE stoppLoss = 5 // in %   the system would works without a stopp loss, it's more in the sense of a disaster exit ONCE takeProfitLong = 2 // in % ONCE takeProfitShort = 1.75 // in % ONCE maxCandlesLongWithProfit = 18 // take long profit latest after 18 candles - 15 with a higher take profit is my new favorite in the next version ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 12 candles - 13 is a good value for every instrument ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles - 30 or 40 are good values ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles - 25 is my favorite for all instruments

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  ONCE periodThirdMA = 3 // this variable define the "heartbeat" of every instrument and have to be adjusted, possible values are 3, 4, 5, 6, 7   // filter parameter ONCE periodLongMA = 250 // the settings of the filter periods are also important for the profit factor, 200, 250, 300 are good values ONCE periodShortMA = 50 // 10,  40 or 50 are good settings   // money and position management parameter - these parameters are important for the risk and performance ONCE stoppLoss = 5 // in %   the system would works without a stopp loss, it's more in the sense of a disaster exit ONCE takeProfitLong = 2 // in % ONCE takeProfitShort = 1.75 // in %   ONCE maxCandlesLongWithProfit = 18 // take long profit latest after 18 candles - 15 with a higher take profit is my new favorite in the next version ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 12 candles - 13 is a good value for every instrument ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles - 30 or 40 are good values ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles - 25 is my favorite for all instruments

   

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  Reiner

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  09/23/2016 at 12:49 PM #13618
  miguel33

  Reiner

  it may be useful to avoid returning the same day (or candle) to me makes no sense out of the trade and return immediately after. it would be appropriate to wait a day. what do you think ?

  

  miguel33

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  09/23/2016 at 2:29 PM #13628
  Reiner

  Miguel, I saw it, Pathfinder re-entered in the DAX on the same day – from today’s perspective that’s probably not a good trade. I will try to test it.

  

  Reiner

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  09/23/2016 at 2:53 PM #13634
  Cosmic1

  Thanks Reiner, I presumed that was the case. That is a lot of variables so will have to cut it up in to chunks and run many tests. Will try it over the weekend and let you know what I find.

  

  Cosmic1

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  09/23/2016 at 7:26 PM #13641
  Reiner

  I have created a new version. Pathfinder V4 is now more applicable to other indices such as DOW or FTSE. Here are the changes:

  • reorganize the code a little bit to make things clearer
  • introduce maximal position size for long and short trades to avoid an excessive risk
  • separation of the stop loss for long and short trades
  • introduce monthly saisonal pattern management
  • adjust signal and filter logic for other indices such as FTSE or DOW
  • modify some trading parameter

  changes in detail for the DAX:

  • new: maxPositionSizeLong
  • new: maxPositionSizeShort
  • new: stoppLossShort
  • change: periodLongMA = 300 // 250
  • change: stopLossLong = 5 // 5.5
  • change: takeProfitLong = 2.75 // 2
  • change: maxCandlesWithProfit = 15 // 18
  • rename: c1, c2, c3 in f1, f2, f3
  • remove: c4 filter
  • remove: monthlyLow for short trades

  Here is the code for the DAX (backtest result is attached):

  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 4 // Instrument: DAX mini 4H, 8-22 CET, 2 points spread, account size 10.000 Euro // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 // define intraday trading window ONCE startTime = 80000 ONCE endTime = 220000 // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3 // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 50 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10 ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in % ONCE maxCandlesLongWithProfit = 15 // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 2 ONCE February = 2 ONCE March = 2 ONCE April = 3 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = -1 ONCE September = -2 ONCE October = 1 ONCE November = 3 ONCE December = 3 // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1) // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA) // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF // short entry IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 4 // Instrument: DAX mini 4H, 8-22 CET, 2 points spread, account size 10.000 Euro   // ProOrder code parameter DEFPARAM CUMULATEORDERS = true  // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000   // define intraday trading window ONCE startTime = 80000 ONCE endTime = 220000   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3   // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 50   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10   ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in %   ONCE maxCandlesLongWithProfit = 15  // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 30  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25  // limit short loss latest after 25 candles   // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 2 ONCE February = 2 ONCE March = 2 ONCE April = 3 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = -1 ONCE September = -2 ONCE October = 1 ONCE November = 3 ONCE December = 3   // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1)   // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF   // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF   // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA)   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF   // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow   // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow   // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN  // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF   // short entry IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF   // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit   IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

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  Reiner

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  09/23/2016 at 7:51 PM #13644
  Cosmic1

  Will take some time to look at this over the weekend but looks very impressive. I finished running some IN/OUT opp just now on V3 Jan 2009 – March 2014 and results were very similar on the forward test, infact slightly better so this gives very good confidence.  🙂

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  Cosmic1

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  09/23/2016 at 8:05 PM #13645
  Reiner

  The consideration of seasonal patterns have improved my trading results significantly. Especially for commodities they are very helpful. On the webpage http://www.equityclock.com you will find excellent information about this topic. I have created a first Pathfinder version for crude oil based on the historic backtest results of saisonal patterns  http://charts.equityclock.com/crude-oil-futures-cl-seasonal-chart. Unfortunately IG PRT has only a very limited data history and maybe someone with longer history is able to check the reliability of the results.

  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 1 // Instrument: CL mini 4H, 7-23 CET, 3 points spread, account size 10.000 Euro // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 // define intraday trading window ONCE startTime = 70000 ONCE endTime = 230000 // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 4 // define filter parameter ONCE periodLongMA = 100 ONCE periodShortMA = 10 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 15 ONCE stopLossLong = 10 // in % ONCE stopLossShort = 5 // in % ONCE takeProfitLong = 8 // in % ONCE takeProfitShort = 10 // in % ONCE maxCandlesLongWithProfit = 20 // take long profit latest after 20 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40 // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles // define saisonal position multiplier >0 - long / <0 - short / 0 no trade (www.equityclock.com) ONCE January = 5 ONCE February = -5 ONCE March = 5 ONCE April = 5 ONCE May = 5 ONCE June = 5 ONCE July = 5 ONCE August = 5 ONCE September = 5 ONCE October = -5 ONCE November = -5 ONCE December = 3 // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1) // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) weeklyLow = Lowest[BarIndex - lastWeekBarIndex](dailyLow) lastWeekBarIndex = BarIndex ENDIF // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA) // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER weeklyHigh s3 = signalline CROSSES UNDER weeklyLow s4 = signalline CROSSES UNDER dailyHigh s5 = signalline CROSSES UNDER dailyLow // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF // short entry IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f2) OR (s4 AND f1) OR (s5 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 1 // Instrument: CL mini 4H, 7-23 CET, 3 points spread, account size 10.000 Euro   // ProOrder code parameter DEFPARAM CUMULATEORDERS = true  // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000   // define intraday trading window ONCE startTime = 70000 ONCE endTime = 230000   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 4   // define filter parameter ONCE periodLongMA = 100 ONCE periodShortMA = 10   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 15   ONCE stopLossLong = 10 // in % ONCE stopLossShort = 5 // in % ONCE takeProfitLong = 8 // in % ONCE takeProfitShort = 10 // in %   ONCE maxCandlesLongWithProfit = 20  // take long profit latest after 20 candles ONCE maxCandlesShortWithProfit = 13  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40  // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 25  // limit short loss latest after 25 candles   // define saisonal position multiplier >0 - long / <0 - short / 0 no trade (www.equityclock.com) ONCE January = 5 ONCE February = -5 ONCE March = 5 ONCE April = 5 ONCE May = 5 ONCE June = 5 ONCE July = 5 ONCE August = 5 ONCE September = 5 ONCE October = -5 ONCE November = -5 ONCE December = 3   // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1)   // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) weeklyLow = Lowest[BarIndex - lastWeekBarIndex](dailyLow) lastWeekBarIndex = BarIndex ENDIF   // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF   // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA)   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF   // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow   // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER weeklyHigh s3 = signalline CROSSES UNDER weeklyLow s4 = signalline CROSSES UNDER dailyHigh s5 = signalline CROSSES UNDER dailyLow     // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN  // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF   // short entry IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f2) OR (s4 AND f1) OR (s5 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF   // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit   IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

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  Reiner

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  09/23/2016 at 10:13 PM #13648
  Cosmic1

  End part matches yours at least… Choppy ride. I will take a look at the weekend further.

  

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  09/24/2016 at 7:51 AM #13652
  Reiner

  Thanks Cosmic1, long trades are good, short trades are bad, next step is to sort out the weak short conditions, I asume that weekly high/low and daily high are not realy working with oil

  

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  09/24/2016 at 12:35 PM #13657
  miguel33

  perfect. Also this version will look. do you think it’s OK to Wallstreet and FTSE 100? after oil might be useful for a gold system. I hope that your great work is rewarded.

  Grazie.

  miguel

  

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  09/24/2016 at 12:51 PM #13658
  Reiner

  Miguel, FTSE and DOW is almost ready for V4, I will release it soon. Gold and silver are on my agenda as well. This weekend is sunny weather here in Frankfurt and my family have requested some outdoor activities, so my time is limited on this weekend 🙂

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  Midlanddave, Nicolas

  

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  09/24/2016 at 5:05 PM #13666
  miguel33

  y’re the best.  I Will send you My tradizional  christmas  sweets of puglia. . promised. good wekend.

  Miguel

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  ALE

  

  miguel33

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  09/25/2016 at 5:54 PM #13714
  Reiner

  I adapted Pathfinder V4 on FTSE and DOW. Due every index has it’s own “heartbeat” minor adjustments were necessary. Please be aware that this is an optimized view to historic data. Please check the position size and the related drawdown and adjust it to your own risk.

  Pathfinder FTSE V4

  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 4 // Instrument: FTSE mini 4H, 9-22 CET, 2 points spread, account size 10.000 Euro // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 // define intraday trading window ONCE startTime = 90000 ONCE endTime = 220000 // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 7 // define filter parameter ONCE periodLongMA = 200 ONCE periodShortMA = 10 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10 ONCE stopLossLong = 5.25 // in % ONCE stopLossShort = 2.5 // in % ONCE takeProfitLong = 3 // in % ONCE takeProfitShort = 2 // in % ONCE maxCandlesLongWithProfit = 25 // take long profit latest after 25 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40 // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles // define saisonal position multiplier >0 - long / <0 - short ONCE January = 3 ONCE February = 3 ONCE March = 3 ONCE April = 2 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = 2 ONCE September = -3 ONCE October = 2 ONCE November = 3 ONCE December = 3 // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1) // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA) // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF // short entry IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // Pathfinder Trading System based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Version 4 // Instrument: FTSE mini 4H, 9-22 CET, 2 points spread, account size 10.000 Euro   // ProOrder code parameter DEFPARAM CUMULATEORDERS = true  // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000   // define intraday trading window ONCE startTime = 90000 ONCE endTime = 220000   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 7   // define filter parameter ONCE periodLongMA = 200 ONCE periodShortMA = 10   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10   ONCE stopLossLong = 5.25 // in % ONCE stopLossShort = 2.5 // in % ONCE takeProfitLong = 3 // in % ONCE takeProfitShort = 2 // in %   ONCE maxCandlesLongWithProfit = 25  // take long profit latest after 25 candles ONCE maxCandlesShortWithProfit = 13  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40  // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 25  // limit short loss latest after 25 candles   // define saisonal position multiplier >0 - long / <0 - short ONCE January = 3 ONCE February = 3 ONCE March = 3 ONCE April = 2 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = 2 ONCE September = -3 ONCE October = 2 ONCE November = 3 ONCE December = 3   // calculate daily high/low dailyHigh = DHigh(1) dailyLow = DLow(1)   // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF   // calculate monthly high/low If Month <> Month[1] then monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF   // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA)   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // saisonal pattern IF CurrentMonth = 1 THEN saisonalPatternMultiplier = January ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplier = February ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplier = March ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplier = April ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplier = May ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplier = June ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplier = July ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplier = August ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplier = September ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplier = October ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplier = November ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplier = December ENDIF   // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow   // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow   // long entry IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN  // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN BUY positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF   // short entry IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN SELLSHORT positionSize CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF   // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit   IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

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  Reiner

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