Pathfinder Trading System

• 10/18/2016 at 12:34 PM #15110
  Reiner

  Brage,

  as requested for play around please find attached itf-file for Pathfinder OMX 4H V5B2.

  best, Reiner

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  10/18/2016 at 12:49 PM #15114
  Brage

  Thanks again Reiner!

  But when backtesting with the file you attached, I don’t get even close to the results you showed me before on OMX. What am I doing wrong?

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  Brage

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  10/18/2016 at 1:29 PM #15118
  Reiner

  Brage, I’m confused. I imported the itf file from above and with OMX mini 20 SEK the backtest shows the attached result.

  Here is the used code:

  // 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: OMX mini 4H, 8-22 CET, 1.5 points spread, account size 100.000 SEK // 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 = 210 ONCE periodShortMA = 10 // 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 // in % ONCE stopLossShort = 3.25 // in % ONCE takeProfitLong = 3.25 // in % ONCE takeProfitShort = 2 // in % maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize)) ONCE trailingStartLong = 2.75 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.4 // in % ONCE maxCandlesLongWithProfit = 21 // take long profit latest after 21 candles ONCE maxCandlesShortWithProfit = 12 // take short profit latest after 12 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 3 // limit short loss latest after 3 candles // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 3 ONCE February = 3 ONCE March = 1 ONCE April = 3 ONCE May = 1 ONCE June = 2 ONCE July = 3 ONCE August = -2 ONCE September = -2 ONCE October = 3 ONCE November = 1 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: OMX mini 4H, 8-22 CET, 1.5 points spread, account size 100.000 SEK   // 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 = 210 ONCE periodShortMA = 10   // 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 // in % ONCE stopLossShort = 3.25 // in % ONCE takeProfitLong = 3.25 // in % ONCE takeProfitShort = 2 // in %   maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))   ONCE trailingStartLong = 2.75 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.4 // in %   ONCE maxCandlesLongWithProfit = 21  // take long profit latest after 21 candles ONCE maxCandlesShortWithProfit = 12  // take short profit latest after 12 candles ONCE maxCandlesLongWithoutProfit = 30  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 3  // limit short loss latest after 3 candles   // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 3 ONCE February = 3 ONCE March = 1 ONCE April = 3 ONCE May = 1 ONCE June = 2 ONCE July = 3 ONCE August = -2 ONCE September = -2 ONCE October = 3 ONCE November = 1 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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  10/18/2016 at 4:31 PM #15122
  miguel33

  Oil also sees real good results. Reiner the FTSE 100 updated to v5 you have available?

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  10/18/2016 at 4:35 PM #15123
  miguel33

  and the poor Italian index as it behaves?

  

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  10/18/2016 at 5:16 PM #15130
  Reiner

  Patrick, Miguel,

  as requested here the current Pathfinder version V5B2 for the FTSE mini.

  regards, Reiner

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  wp01

  

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  10/19/2016 at 9:18 AM #15157
  Reiner

  Hi Patrick,

  Current Pathfinder’s algorithm requires 24H quoting for an underlying instrument (e.g. calculation of signalline, max holding candles, etc.). It won’t work for futures without adaptation. In IG’s world the future instruments have a very limited life time and unfortunately avoid backtesting over a longer time period. I have seen your test based on an instrument DAX30 Full1216 Future – were can I find this underlying in IG’s PRT?

  best, Reiner

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  10/19/2016 at 10:01 AM #15161
  wp01

  Hi Reiner,

  Thank you for your reply. Unfortunately you can not find DAX30FULL1216 Future in PRT from IG. IG is a CFD provider and only has derivates of the original future or index.

  With a CFD you never trade directly in the future or other product, but always in a derivate of the original product. This is also the discussion. You trade directly with CFD created software

  in a CFD created environment which means that it looks like that you trade against IG, what they of course deny.

  When you trade with futures from for example Interactive , you buy directly a future on the stock exchange in for example the DAX Bourse or Euronext. These bourses also closes at 20.00 hrs. or at

  22.00 hrs. After these times until 08.00 hrs.  there will not be a pricing and of course no candles. Now you have to take a look at the candles in the night at IG. You see sometimes very weird

  results where all kind of stops are being triggered while there in the meantime no pricing is on the real stockexchange. Al these pricings in the night affect backtests of course.

  If you want to adjust Pathfinder for the future market i suggest you open a free account at prorealtime.de. I thought you can get the first 2 weeks fully access including daytrading free of charge.

  So if you want to you can try it free of charge and maybe you can with your experience easily adjust the Pathfinder for futuretrading. When it is working you can set your account to automatic trading

  and than your trades will go through Interactive Brokers.

  Best regards,

  Patrick

   

  

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  10/19/2016 at 10:29 AM #15163
  Mikael Andersson

  Hi Reiner,

  Fantastic work on the Pathfinder strategy! Do you know if this is also a good strategy for the CAC French index?

  Thanks,
  Mikael

  

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  10/19/2016 at 11:36 AM #15168
  Reiner

  Hi Miguel,

  in general MIB is suitable for Pathfinder because of the high absolute value and the volatility. With IG MIB is unfortunately not tradable because of the very high spread outside of the core trading time (48 points).

  Please find attached a MIB mini backtest, I didn’t find a smoothed equity curve because of the high spreads and the tough down trends. The return is really good but drawdown is also significant. The backtest is done with an unrealistic spread of 15 points and is very optimized.

  I love Italian food and especially Italian women but not the MIB, stay with the DAX is still the best :-).

  best, Reiner

  

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  10/19/2016 at 12:29 PM #15172
  miguel33

  hahahahahah great reiner  .

   

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  10/19/2016 at 12:31 PM #15173
  miguel33

  Dax are many days that pathfinder not trade

  

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  10/19/2016 at 1:27 PM #15177
  Reiner

  Miguel,

  look at the DAX over the last days and weeks. No trend, low volatility, no saisonal behavior and catched in a small range. Only scalping systems made some money in that scenario. Pathfinder is a swing trading system makes money mainly on the long side. In my opinion it’s an advantage of the system that it stay beside the line and wait for better trading chances instead of loosing money in sideway trends.

  best, Reiner

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  10/19/2016 at 4:05 PM #15181
  reb

  Hi Reiner, Hi all

  The Reiner’s previous post shows the main reason why a lot of trading systems  (swing trading) have some results problems.

  One day you win, the day after you loose or vice and versa

  At the end, you don’t earn anything but your broker does….

  Reb

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  10/19/2016 at 5:55 PM #15183
  Reiner

  Hi Mikael,

  Pathfinder works also well for CAC mini that’s not really surprising because the European Indices are more or less related. Please find attached the backtest and the code. Please be aware that this is an optimized view over the last 4 years. CAC had a longer sideway range (Feb 2015 – Feb 2016) and I suppose that a lot of traders loose the patience in that time.  Overall the result is solid and drawdown is around 20% as mentioned before my favourite is still the DAX because of better performance and drawdown.

  best, Reiner

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