Pathfinder Trading System

• 10/04/2016 at 9:10 AM #14197
  miguel33

  Hello everyone, I appeal especially to the more experienced, I think you have to work on the code to improve it and not waste energy on other time-frame. we must still improve and work on indexes and commodities. this and my thoughts to succeed as soon as possible. thanks and good luck to all.

  Miguel

  

  miguel33

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  10/04/2016 at 4:13 PM #14257
  flowsen123

  I like Reiners Version better because of the smaller Drawdown, but I tried to change his Version into one with variable StopLoss7Take Profit Levels for each Buy/Sell condition.

  Maybe somebody is able to finde a combination of limit/sell percentages which will reduce the drawdown.

  

  flowsen123

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  10/04/2016 at 4:15 PM #14261
  flowsen123

  // 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 - avoid reopen of intraday positions in same direction (from Miguel) // 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 av-erages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3 // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 50 // define position and money man-agement parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10 ONCE stoppLossL1 = 3 // in % ONCE stoppLossL2 = 5.5 // in % ONCE stoppLossL3 = 5.5 // in % ONCE stoppLossL4 = 5.5 // in % ONCE stoppLossS1 = 2.5 // in % ONCE stoppLossS2 = 5.5 // in % ONCE takeProfitL1 = 5 // in % ONCE takeProfitL2 = 9.5 // in % ONCE takeProfitL3 = 8 // in % ONCE takeProfitL4 = 6.25 // in % ONCE takeProfitS1 = 2.5 // in % ONCE takeProfitS2 = 2.25 // 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) // save position before trading window is open #Miguel If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF // 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) // reduced position? #Miguel reduceLongInTradingWindow = COUNTOFLONGSHARES < startPositionLong reduceShortInTradingWindow = COUNTOFSHORTSHARES < startPositionShort // 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 (L1) IF l1 AND not reduceLongInTradingWindow THEN // cumulate orders for long trades #Miguel 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 = stoppLossL1 takeProfit = takeProfitL1 ENDIF // long entry (L2) IF l2 AND not reduceLongInTradingWindow THEN // cumulate orders for long trades #Miguel 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 = stoppLossL2 takeProfit = takeProfitL2 ENDIF // long entry (L3) IF ( (l3 AND f2) AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel 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 = stoppLossL3 takeProfit = takeProfitL3 ENDIF // long entry (L4) IF ( l4 AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel 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 = stoppLossL4 takeProfit = takeProfitL4 ENDIF // short entry (S1) IF NOT SHORTONMARKET AND (s1 AND f3) AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel 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 = stoppLossS1 takeProfit = takeProfitS1 ENDIF // short entry (S2) IF NOT SHORTONMARKET AND (s2 AND f1) AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel 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 = stoppLossS2 takeProfit = takeProfitS2 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 - avoid reopen of intraday positions in same direction (from Miguel) // 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 av-erages   ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3 // define filter parameter   ONCE periodLongMA = 300 ONCE periodShortMA = 50 // define position and money man-agement parameter   ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10   ONCE stoppLossL1 = 3 // in % ONCE stoppLossL2 = 5.5 // in % ONCE stoppLossL3 = 5.5 // in % ONCE stoppLossL4 = 5.5 // in %   ONCE stoppLossS1 = 2.5 // in % ONCE stoppLossS2 = 5.5 // in %   ONCE takeProfitL1 = 5 // in % ONCE takeProfitL2 = 9.5 // in % ONCE takeProfitL3 = 8 // in % ONCE takeProfitL4 = 6.25 // in %   ONCE takeProfitS1 = 2.5 // in % ONCE takeProfitS2 = 2.25 // 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)   // save position before trading window is open #Miguel If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF   // 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)   // reduced position? #Miguel reduceLongInTradingWindow = COUNTOFLONGSHARES < startPositionLong reduceShortInTradingWindow = COUNTOFSHORTSHARES < startPositionShort   // 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 (L1) IF l1 AND not reduceLongInTradingWindow  THEN // cumulate orders for long trades #Miguel 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 = stoppLossL1 takeProfit = takeProfitL1 ENDIF   // long entry (L2) IF l2 AND not reduceLongInTradingWindow  THEN // cumulate orders for long trades #Miguel 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 = stoppLossL2 takeProfit = takeProfitL2 ENDIF   // long entry (L3) IF ( (l3 AND f2) AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel 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 = stoppLossL3 takeProfit = takeProfitL3 ENDIF   // long entry (L4) IF (  l4  AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel 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 = stoppLossL4 takeProfit = takeProfitL4 ENDIF   // short entry (S1) IF NOT SHORTONMARKET AND (s1 AND f3) AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel 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 = stoppLossS1 takeProfit = takeProfitS1 ENDIF   // short entry (S2) IF NOT SHORTONMARKET AND  (s2 AND f1)  AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel 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 = stoppLossS2 takeProfit = takeProfitS2 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

   

  

  flowsen123

  Participant

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  10/04/2016 at 4:16 PM #14262
  Reiner

  Someone requested trailing stop and breakeven functionality for Pathfinder. Several tests with the DAX didn’t show significant improvement of the performance. The existing framework seems to be well balanced.

  Here is the code to play around:

  // 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 5 Beta 1 - with traling stop // 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 trailingStart = 1.75 // in % ONCE trailingStep = 0.2 // 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 30 ONCE maxCandlesShortWithoutProfit = 13 // limit short loss latest after 13 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 (include sunday values if available) 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) // save position before trading window is open If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // set 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 // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort // 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 with order cumulation IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND NOT alreadyReducedLongPosition) THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN 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 without order cumulation IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN 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 IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF 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 // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF //trailing stop function trailingStartInPoints = tradeprice(1) * trailingStart / 100 trailingStepInPoints = tradeprice(1) * trailingstep / 100 //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepInPoints * pipsize ENDIF //next moves IF newSL > 0 AND close - newSL >= trailingStepInPoints * pipsize THEN newSL = newSL + trailingStepInPoints * pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepInPoints * pipsize ENDIF //next moves IF newSL > 0 AND newSL - close >= trailingStepInPoints * pipsize THEN newSL = newSL - trailingStepInPoints * pipsize ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP 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 5 Beta 1 - with traling stop // 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 trailingStart = 1.75 // in % ONCE trailingStep = 0.2 // 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 30 ONCE maxCandlesShortWithoutProfit = 13  // limit short loss latest after 13 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 (include sunday values if available) 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)   // save position before trading window is open If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // set 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   // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES  < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort   // 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 with order cumulation IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND NOT alreadyReducedLongPosition) THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN 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 without order cumulation IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN 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 IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF   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   // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   //trailing stop function trailingStartInPoints = tradeprice(1) * trailingStart / 100 trailingStepInPoints = tradeprice(1) * trailingstep / 100   //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepInPoints * pipsize ENDIF //next moves IF newSL > 0 AND close - newSL >= trailingStepInPoints * pipsize THEN newSL = newSL + trailingStepInPoints * pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepInPoints * pipsize ENDIF //next moves IF newSL > 0 AND newSL - close >= trailingStepInPoints * pipsize THEN newSL = newSL - trailingStepInPoints * pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

  

  Reiner

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  10/04/2016 at 4:18 PM #14263
  flowsen123

  Maybe it is just a few single trades with high profit that make the difference, but see for yourselfs.

  

  flowsen123

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  10/05/2016 at 9:15 AM #14276
  miguel33

  Flowsen ,

  I checked in backtest results, excellent performance but very aggressive and therefore more dangerous.

  

  miguel33

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  10/05/2016 at 9:55 AM #14280
  reb

  Hi Reiner, hi all

  Thanks for this strategy and all your improvements.

  Don’t you think that MaxPositionSize is a bit agressive and risky ?  15 mini with 10 000 Eur capital, you can kill your account in 3 or 4 days (for the Dax in average ,there is day move of 150pts between highest and lowest)

  A newbie interested by easy money , will probably take your code without any understanding of all the details of Pathinder.

  A reduction of MaxPositionSize or a more consequent capital as proposal would be safer for most of the viewers.

  After for these who want to take more risks, they will  do it knowingly.

  Regards,

  Reb

   

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  davide.raiteri@gmail.com

  

  reb

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  10/05/2016 at 11:13 AM #14283
  Nicolas

  My 2 cents about max position sizing : adjust it with max “Average Daily Range” from X lookback days.

  

  Nicolas

  Keymaster

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  10/08/2016 at 7:02 AM #14467
  reb

  Hi Reiner, Hi all

  To go beyond my previous post, I have just tested the strat (version 4 – miguel) since mai 2006:

  The strat is negative until dec 2012, with a maximal loss of -14 000 eur. If you used a 10 000 eur capital , your account is dead.

  Since 2013, it is very positive (see attachement), but to earn this money, you need to have more than  15 000 eur at the beginning and to be very confident (you will loose  90% of your capital and you have to wait 6.5 years before earning some money).

   

  Reb

  

  reb

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  10/08/2016 at 8:42 AM #14470
  flowsen123

  Before August 2010 the results are not really significant, because between 22:00 and 08:00 there has been no pricing. So the calculation of the number of candles is not correct and probably the calculation of the averages as well.

   

  

  flowsen123

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  10/08/2016 at 4:25 PM #14487
  Reiner

  I have created a new version. Pathfinder V5 Beta 2. The version is still beta because off the ongoing discussion regarding position sizing. Here are the changes:

  • fixed a bug in the profit calculation for short positions (variable posProfit)
  • introduce trailing stop mechanism based on percent values (idea from MichiM, based on Nicolas work found here in the blog)
  • add a filter to reduce unprofitable intraday trades (idea from Miguel)
  • introduce maximal position size calculation dependent on capital and risk settings (inspired by comments from Elsborgtrading and reb)
  • modify some trading parameter because of the bug fixing

  changes in detail for the DAX:

  • new: trailingStartLong
  • new: trailingStartShort
  • new: trailingStepLong
  • new: trailingStepShort

  Here is the code for the DAX (backtest 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 5 Beta 2 // 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 = 40 // define position and money management parameter ONCE positionSize = 1 Capital = 10000 Risk = 2 // in % equity = Capital + StrategyProfit maxRisk = round(equity * Risk / 100) ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 2 // in % maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(5, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize)) ONCE trailingStartLong = 1.75 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.1 // in % ONCE maxCandlesLongWithProfit = 16 // take long profit latest after 16 candles ONCE maxCandlesShortWithProfit = 15 // take short profit latest after 15 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 13 // limit short loss latest after 13 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 (include sunday values if available) 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) // save position before trading window is open If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // set 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 // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort // 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 with order cumulation IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND NOT alreadyReducedLongPosition) THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN 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 without order cumulation IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN 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 IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF 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 // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF // trailing stop function trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100 // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF // stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF // superordinate stop and take profit 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 5 Beta 2 // 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 = 40   // define position and money management parameter ONCE positionSize = 1   Capital = 10000 Risk = 2 // in % equity = Capital + StrategyProfit maxRisk = round(equity * Risk / 100)   ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 2 // in %   maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(5, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))   ONCE trailingStartLong = 1.75 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.1 // in %   ONCE maxCandlesLongWithProfit = 16  // take long profit latest after 16 candles ONCE maxCandlesShortWithProfit = 15  // take short profit latest after 15 candles ONCE maxCandlesLongWithoutProfit = 30  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 13  // limit short loss latest after 13 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 (include sunday values if available) 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)   // save position before trading window is open If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // set 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   // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES  < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort   // 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 with order cumulation IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND NOT alreadyReducedLongPosition) THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN 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 without order cumulation IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN 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 IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF   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   // take profit after max candles IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   // trailing stop function trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100   // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF   // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF   // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF   // stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   // superordinate stop and take profit SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

  3 users thanked author for this post.

  davide.raiteri@gmail.com, Cosmic1, wp01

  

  Reiner

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  10/08/2016 at 5:33 PM #14491
  Reiner

  Hi reb,

  Thanks for your contributions, I appreciate your review. You are absolutely right, 15 “naked” DAX mini contracts are too much for an 10k account. Please be aware that Pathfinder cumulated the position size only in very strong trends especially on the long side. The “signalline” has to crossed over the daily high (add pos), the weekly (add pos) and the monthly (add pos). When this extremly bullish scenario happens Pathfinder go “all in” and cumulate aggressiv the position. With the last trade the others are already in profit. This behavior is one of the booster of Pathfinder and the backtest showed since 2009 that the system were never in trouble with this logic.

  I have added few lines of code in the last beta version to test the performance depending on risk and capital settings. I attached two backtests with 10k, 2% risk and at least 1 contract and 10k, 2% and at least 5 contracts to show how important it is to give Pathfinder enough room for cumulation.

  I can’t judge your backtest before 2009 but I believe that the data conditions are not comparable. Any idea, review or improvement from your side is welcome.

  regards

  Reiner

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  wp01

  

  Reiner

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  10/08/2016 at 5:38 PM #14492
  Reiner

  Unfortunately, I can’t attach the both files. Here is the first, 10k, 2% risk and at least 1 contract

  

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  10/08/2016 at 5:40 PM #14495
  Reiner

  and here is the second attachment, 10k account, 2% risk and at least 5 possible contracts

  

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  10/09/2016 at 7:58 PM #14528
  Cosmic1

  Hey Reiner, Great work progressing an already great bit of code.

  Thought you might like to see these. Not sure how relevant data from 2009 is for you but thought it was worth while posting…

  Annoyingly, max runup/drawdown is not working for me sometimes at the moment.

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  Reiner

  

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