Pathfinder Trading System

• 08/23/2017 at 10:46 AM #44418
  Wisko

  Hey there,

  I have again some problems with the system. In backtest/demo it switched from 5 long to 1 short on thursday. In live account it only closed the 5 long but didn’t start the short trade. The problem seems to be the same like a few weeks ago with the “limited risk” account (no opposite trades possible) so the changes seem not to work.

  Yesterday the system opened 3 long contracts in backtest/demo but in live account niothing happened (also no denied orders). This is a new problem. So where is the difference between live and demo?

  

  Wisko

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  08/23/2017 at 8:42 PM #44492
  reb

  Hallo Wisko

  I use the strat in live on DAX and I had +5 closed and -1 opened

  Now i have +3 opened at 12231

  

  reb

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  08/24/2017 at 5:48 AM #44506
  rejo007

  @wisko

  I have the same then reb

  

  rejo007

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  08/24/2017 at 7:49 AM #44511
  Wisko

  Hey reb and rejo,

  thanks for feedback. Seems to be a special german problem. :-/

  

  Wisko

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  09/01/2017 at 3:00 PM #45121
  reb

  Hello could you confirm the position you have open on Dax strat ?

  Live I have +3 and on backtest 6 (?)

  Thanks

  

  reb

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  09/01/2017 at 3:20 PM #45122
  CN

  +6 for me 12069

  

  CN

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  09/01/2017 at 3:37 PM #45123
  rejo007

  +6 for me

  

  rejo007

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  09/01/2017 at 3:51 PM #45124
  Andyswede

  + 6 for me too

  

  Andyswede

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  09/01/2017 at 4:08 PM #45126
  dajvop

  +6 for me live.

  

  dajvop

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  09/01/2017 at 5:47 PM #45130
  reb

  ok thanks guys

  I will check what sort of pbm happened

  

  reb

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  09/01/2017 at 7:57 PM #45135
  Eric

  +3

  12 069 on demo

  but the strange thing is that the system has stopped because of a preloadbar issue (not enough historical data) and the position is still open (and i have set the option to close if the system is stopped)

  i suppose this is a demo problem? because i have never had this problem when running prorder live

   

  

  Eric

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  09/01/2017 at 8:56 PM #45167
  rejo007

  an idea that comes to me. why, on election weekend, do not open a long position and a short with stop guaranteed very close to the close on Friday. in order to enjoy a potential gap. opinions?

  

  rejo007

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  09/01/2017 at 8:57 PM #45168
  rejo007

  Sorry, it’s not the good place on forum to post this.

  

  rejo007

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  09/02/2017 at 8:43 AM #45203
  reb

  Hello,

  I have understood where the issue was, thks

  But I discovered a bug too. The strat is well adapted for someone who has 10k capital and uses 1 mini contract.

  But if you want to increase positionsize from 1 to 1.5 or 5, it won’t multiply your P&L by the multiplicator factor and remain at the same level!!

  Instead of the code given by Reiner :

  // define position and money management parameter ONCE positionSize = 1 ONCE maxDynamicPositionSize = 2 // >1 with dynamic position sizing; 1 without ONCE maxPositionSizeLong = 10 ONCE maxPositionSizeShort = 10 // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 if DayOfWeek <> DayOfWeek[1] and DayOfWeek = 1 then if strategyProfit > profitLastWeek + 1 then positionSize = min(maxDynamicPositionSize, positionSize + 1) // increase risk else positionSize = max(1, positionSize-1) // decrease risk endif profitLastWeek = strategyProfit endif

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  // define position and money management parameter ONCE positionSize = 1 ONCE maxDynamicPositionSize = 2 // >1 with dynamic position sizing; 1 without ONCE maxPositionSizeLong = 10 ONCE maxPositionSizeShort = 10   // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 if DayOfWeek <> DayOfWeek[1] and DayOfWeek = 1 then if strategyProfit > profitLastWeek + 1  then positionSize = min(maxDynamicPositionSize, positionSize + 1) // increase risk else positionSize = max(1, positionSize-1) // decrease risk endif profitLastWeek = strategyProfit endif

  I would propose this solution

  // define position and money management parameter ONCE positionSize = 1 // default start size ONCE trendMultiplier = 2*positionsize // >1 with dynamic position sizing; 1 without ONCE maxPositionSizeLong = 10*positionsize // maximu size for a long position ONCE maxPositionSizeShort = 10*positionsize // maximum size for a short position // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] and DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1 THEN positionSize = min(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = max(positionsize*1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF

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  // define position and money management parameter ONCE positionSize = 1             // default start size ONCE trendMultiplier = 2*positionsize          // >1 with dynamic position sizing; 1 without ONCE maxPositionSizeLong = 10*positionsize     // maximu size for a long position ONCE maxPositionSizeShort = 10*positionsize    // maximum size for a short position   // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] and DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1  THEN positionSize = min(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = max(positionsize*1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF

  as attachments, you find  Reiner’s code with positionsize=1, Reiner’s code with positionsize=5, and my proposal with positionsize=5

  it will be more effective when we ‘ll be rich :-)))

   

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  dajvop

  

  reb

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  09/03/2017 at 1:16 PM #45286
  rejo007

  what do you think to add to the strategy, the possibility to cut positions on Friday night and resume on Monday at 0h to avoid the gap?

  

  rejo007

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