Pathfinder Trading System
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12/12/2016 at 8:17 PM #1840012/12/2016 at 10:10 PM #1842112/12/2016 at 11:00 PM #1842312/13/2016 at 1:00 AM #1842412/13/2016 at 9:05 AM #18427
Reiner,
Just want to check two points with you regarding the seasonal multiplier,
123456789101112131415161718192021222324ONCE January1 = 3ONCE January2 = 0ONCE February1 = 3ONCE February2 = 3ONCE March1 = 3ONCE March2 = 2ONCE April1 = 1ONCE April2 = 3ONCE May1 = 1ONCE May2 = 1ONCE June1 = 2ONCE June2 = 2ONCE July1 = 3ONCE July2 = 1ONCE August1 = 1ONCE August2 = 1ONCE September1 = 3ONCE September2 = 0ONCE October1 = 3ONCE October2 = 2ONCE November1 = 1ONCE November2 = 3ONCE December1 = 3ONCE December2 = 2if the parameter is 0 does this mean no trade will ever be made during that period?
Also im live with V6 and a short trade opened last night at 11189.8, however it only opened 1 position, why was it not 3 as per the multiplier?
Mark
12/13/2016 at 11:29 AM #1843812/13/2016 at 11:42 AM #18439Hi Mark,
Yes, parameter 0 does mean: no trade will ever be made during that period. During yesterdays consolidation signalline crossed under daily low and generate a short signal. Pathfinder traded only 1 contract because shorts won’t boost in December due historical there isn’t a short saisonality in that month. The V6 multiplier setup will boost only long signals.
I guess that will be probably a looser trade – we will see.
best, Reiner
12/13/2016 at 12:12 PM #1844212/13/2016 at 12:27 PM #1844512/13/2016 at 12:33 PM #18448Hi Reiner.
I am following in demo the last short trade on 12/12 of Pathfinder V6 in any extension, and I see (like you) that perhaps it will close with losses (or not, but this is not so important).
What I can see is that the input signal was done because signalline crossed down the daily low, but I think that this is not the real daily low of the previous trading day, as you explained somewhere months ago. As everybody knows, DAX (CFD on IG Markets) closes on Friday night and opens again on Monday morning, but this Monday morning starts on 00:00 hours, which also means 12:00 PM of Sunday.
The way you calculate the Daily highs and lows gives them on Monday from Sunday, instead of the last Friday. If the calculation of these highs and lows would be made taking into account the values of last Friday, this trade would not be made, avoiding possible losses.
The code you can use can be, for example:
12345678910111213141516171819a1=OpenDayOfWeekb1=DHigh(1)b2=DHigh(2)c1=DLow(1)c2=DLow(2)d1=DClose(1)d2=DClose(2)IF a1=1 THENb1=b2c1=c2d1=d2ELSEb1=b1c1=c1d1=d1ENDIF1 user thanked author for this post.
12/13/2016 at 3:03 PM #18461Update on the Money management: I played around with the code, I think I discovered that we are not only risking 5% of equity, but as much as 63% at one time, so of cause I’d like to ask people to verify my findings.
Reiner, I think we talked about it before a few month back? I just want us to know how much exactly we are risking- and I might be wrong here 🙂
Simplified: I assume that the max risk is from %LOSS and is calculated by the (total-number-of-points-we-are-risking)/equity*100
So lets find the total total-number-of-points-we-are-risking
..this is where I might be wrong so please comment. 🙂
Please add:
note:apparently the Graph instruction does not support the ABS function- so when short there is a -risk- which is of cause not true. disregard the negative numbers
1graph (((tradeprice-(tradeprice-(tradeprice*(stoploss/100))))*COUNTOFPOSITION*pipsize*pointvalue)/(equity))*100 COLOURED(0,0,255) AS "MAXRISK"//blueThen I came up with a positionsizing code- some how more conservative- however that also shows on the profit. I started with a capital of 100000- max risk around 12%
123456789101112131415161718192021ONCE positionSize = 1Capital = 100000Risk = 5 // in %equity = Capital + StrategyProfitmaxRisk = round(equity * Risk / 100)ONCE stopLossLong = 5.5 // in %ONCE stopLossShort = 3.25 // in %ONCE takeProfitLong = 3.25 // in %ONCE takeProfitShort = 3.25 // in %reinvest =1if reinvest thenpositionSize=max(round((equity+Capital)/capital),1)maxPositionSizeLong = MAX(625, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))maxPositionSizeShort = MAX(625, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))elsepositionSize=1maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))Endifcheers Kasper
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12/13/2016 at 3:23 PM #18463Hi Petrus,
we discussed this point here in the forum. Pathfinder consider sunday data if available (e.g. DAX, FTSE, DOW) and this is a benefit and not a lack. When you analyse which weekday is the most profitable one you will find ou that it is the Monday. There are several reasons for that well known statistical anomaly and IG sunday quotes bosst this efect. I give you an example of a simple system I have developed that trade monday morning gap compared to the last sunday/friday candle
123456789101112131415161718192021222324252627282930// Blue Monday DAX// Code-ParameterDEFPARAM FlatAfter = 093500// trading windowONCE BuyTime = 85500ONCE SellTime = 93500ONCE CloseDiff = 50ONCE PositionSize = 25ONCE sl = 50// Long all in, if it's Monday and the market is 50 points higherIF Not LongOnMarket AND Time = BuyTime AND (CurrentDayOfWeek = 1) THENDiff = close - DClose(1) // with Sunday quotes//Diff = close - DClose(2) // without Sunday quotesIF Diff > CloseDiff THENBUY PositionSize CONTRACT AT MARKETENDIFENDIF// exit positionIF LongOnMarket AND Time = SellTime THENSELL AT MARKETENDIF// stopSET STOP pLOSS slbest, Reiner
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12/13/2016 at 4:59 PM #18471Hi Joachim and welcome,
I didn’t test the system with 15M or 5M so far. My expierences with a higher timeframe such 4H is that it delivers better signals because longer timeframe works like a filter. The time filters all the noise and especialliy the fake breakouts and we get more high quality signals that the system e.g. can boost in combination with a saisonal patter.
Pathfinder focused on 4H and 1H. 15M or 5M I would trade other things such as daily breakout of the first hour.
best, Reiner
12/13/2016 at 7:50 PM #18474Update V2 on Money management- It might not be as bad as I first assumed- thank god 😀
I came to see the NewSL by which you implemented a trailingstop. I think we need take this into consideration when looking at risk. When trailing the SL we also limmit our risk- actually when breakeven and newsl is used- risk are at 0% so the before consideration is not entirely accurate. I just haven’t found out how to graph it or look at it to get a real sense of what we are risking.
Any suggestions is welcome:-)
Cheers Kasper
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12/13/2016 at 8:04 PM #18475Now when looking in details I noted a strange behaviour when back testing that would lead to false results. I see partial closing of positions. In live trading partiality closing of positions is not possible in proorder, so did anyone encounter this -or is there something that I missed?
In the screendumb you can see trades is opened with 11 positions @2014-aug-18 21:00, accumulated 6 times. Take profit is reached aug 26th 13:00 but only closes 11 positions, the remaining 55 is exited aug 29th 09:00
isn’t that strange?
Cheers Kasper
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