Pathfinder Trading System

• 11/28/2016 at 10:44 AM #17350
  flowsen123

  Hey Reiner,

  so did you change the code for the calculation of the monthy low/high from

  <span class="token keyword">If</span> <span class="token keyword">Month</span> <span class="token operator"><</span><span class="token operator">></span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span>

  1

  <span class="token keyword">If</span> <span class="token keyword">Month</span> <span class="token operator"><</span><span class="token operator">></span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span>

  to

  <span class="token keyword">If</span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator"><</span><span class="token operator">></span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token keyword">then</span>

  1

  <span class="token keyword">If</span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator"><</span><span class="token operator">></span> <span class="token keyword">Month</span><span class="token punctuation">[</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token keyword">then</span>

  If I change it the drawdown is a bit worse, but it wouldn´t make any sense to keep it that way if this is not the proper execution of the strategy.

  Thank you

  regards, flo


  

  flowsen123

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  11/28/2016 at 12:58 PM #17359
  Reiner

  Hi Flo,

  I didn’t change the monthly calculation because in the strategy the levels were always correct. Only the displayed indicator value for monthlyLow was wrong.

  best, Reiner

  

  Reiner

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  11/28/2016 at 3:09 PM #17371
  Cosmic1

  Apologies if I’ve missed something here but weekly low was missing so I’ve added that and some colours. We can’t add width within the code so I have adjusted those manually…

  I currently have it setup like this. Does it look correct?

  EDIT: Just seen that weekly low is commented out of the latest code so this needs adjustment…

  // Pathfinder Indicatror based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Instrument: Index mini 4H, 9-21 CET, 2 points spread, account size 10.000 Euro // Version 1.1 fixed problem on montly low/high with last month day values // Version 1.0 extracted code from Pathfinder strategy // 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[1] <> Month[2] 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) longMA = Average[periodLongMA](close) shortMA = Average[periodShortMA](close) return dailyHigh COLOURED(50,200,0) as "DHigh", dailyLow COLOURED(200,0,0) as "DLow", weeklyHigh COLOURED(50,200,0) as "WHigh", weeklyLow COLOURED(200,0,0) as "WLow", monthlyHigh COLOURED(50,200,0) as "MHigh", monthlyLow COLOURED(200,0,0) as "MLow", signalline COLOURED (255,100,50) as "SignalLine", longMA COLOURED(50,50,255) as "Long MA", shortMA COLOURED(200,0,255) as "Short Ma"

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  // Pathfinder Indicatror based on ProRealTime 10.2 // Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management // Instrument: Index mini 4H, 9-21 CET, 2 points spread, account size 10.000 Euro // Version 1.1 fixed problem on montly low/high with last month day values // Version 1.0 extracted code from Pathfinder strategy   // 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[1] <> Month[2] 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)   longMA = Average[periodLongMA](close) shortMA = Average[periodShortMA](close)   return dailyHigh COLOURED(50,200,0) as "DHigh", dailyLow COLOURED(200,0,0) as "DLow", weeklyHigh COLOURED(50,200,0) as "WHigh", weeklyLow COLOURED(200,0,0) as "WLow", monthlyHigh COLOURED(50,200,0) as "MHigh", monthlyLow COLOURED(200,0,0) as "MLow", signalline COLOURED (255,100,50) as "SignalLine", longMA COLOURED(50,50,255) as "Long MA", shortMA COLOURED(200,0,255) as "Short Ma"

   

  

  Cosmic1

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  11/28/2016 at 8:58 PM #17419
  Pere

  Hi Reiner. Thanks for your quick answer. Today the system gave almost the signal for shorts (during some hours), but later it disappeared because the price finally closed under the SMA300.

  I want to ask you your opinion about important macro news like the Italian referendum on Sunday. What do you think about it? Better to stop the system on Sunday, or let it do it’s proper work, hoping that it will react?

  It worked good on 8th of November with the USA elections (with a big drawdown), but was it only casually or do you think that this system is prepared to react to this kind of events, even if it starts with a tendency and suddenly this tendency changes to the opposite one?

  Regards

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  jamesgodfrey80

  

  Pere

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  11/29/2016 at 6:47 PM #17500
  Reiner

  Hi guys,

  I want to share some new ideas related to Pathfinders trading system framework.

  As you all know the advantage of daily timeframe is the very long history of available data for more or less every instrument.  Please find attached two backtests of Pathfinder DAX. Both versions are trading only the long signals because of the higher profitability. The first version based on the original 6 breakout signal, the return is great but drawdown is also significant. The second version only trade the strongest signal based on daily breakout, return is very good with an acceptable drawdown. With the daily versions we are now in a position to verify some things much better for instance the seasonal behavior.

  best, Reiner

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  jamesgodfrey80, Jesús, wp01

  

  Reiner

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  11/29/2016 at 6:53 PM #17506
  Wilko

  That’s good news Reiner! Thanks for sharing this. Creating a backtest further into history is important to be more sure of expected outcome. Not only profitability but also DDs.

  

  Wilko

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  11/29/2016 at 7:06 PM #17507
  Reiner

  Hi guys,

  As mentioned in my last post with the availability of a daily Pathfinder version a lot more things are possible now. You all know my trading based on seasonality. That’s not a holy grail but really helpful to do the right things. Please find attached a perfect sample of the advantage of seasonality trading. I love trading the “beans” because of their strong seasonal behavior, on equityclock web page you find more details http://charts.equityclock.com/soybeans-futures-s-seasonal-chart

  best, Reiner

   

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  Asura, Bandido, Pfeiler, jamesgodfrey80, miguel33, Brage, Jesús, wp01, Nicolas, flowsen123

  

  Reiner

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  11/29/2016 at 9:19 PM #17516
  ALE

  🙂 Excellent

  

  ALE

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  11/29/2016 at 9:45 PM #17517
  wp01

  Hi Reiner,

  Thank you very much for your new additions.

  A question regarding the first file Pathfinder-DAX-1D-V1.itf . It looks like this is just a png file of the backtest instead of the itf file.

  Or am i mistaken?

  Best regards,

  Patrick

  

  wp01

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  11/29/2016 at 10:09 PM #17523
  Reiner

  my mistake, Sorry Patrick. Please find attached the correct itf file.

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  dajvop, wp01

  

  Reiner

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  11/29/2016 at 10:29 PM #17526
  Reiner

  Hi Petrus,

  At the end of the day it’s your personal decision and you have to feel good about it because it’s your money that is in the line of fire :-). For me it’s a valid option to stop the system on rough and fast markets.

  Don’t expect to much from 250 lines of code it’s only a good working backtest and not a professional trader. The Trump day is a good example that the stop loss should be high enough to react to unexpected events but it was of course a lucky trade and not a smart algorithm.

  best, Reiner

  

  Reiner

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  11/30/2016 at 11:30 AM #17538
  miguel33

  on ig there are no beans?

   

  

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  11/30/2016 at 11:34 AM #17539
  wp01

  The code is “S” Miguel.

  With a history from 1977 on the daily chart.

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  miguel33

  

  wp01

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  11/30/2016 at 2:05 PM #17552
  miguel33

  error in the demo and real

  

  miguel33

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  11/30/2016 at 3:38 PM #17578
  wp01

  This error is probably the same as it was with the DAX 1H. Since this code only takes long positions there must probably something changed in the sell positions.

  I compared the DAX 1H with the beanes but i can not figure it out. Sorry.

  Regards,

  

  wp01

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