RSI14 & DAX 5 minutes trading system

• 09/12/2017 at 1:46 PM #45862
  JR1976

  TF 5 min on CFD DAX mini, only little backtest to validate the robusteness of the strategy

   

  //------------------------------------------------------------------------- // Codice principale : RSI14 _DAX 5min buono ... da ottimaizzare STOP e TARGET P //------------------------------------------------------------------------- ////////////////rsi14 DAX 5 min ///////////////////////////////// ////  short backtest /// // ...... DEFPARAM CumulateOrders=false DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 170000 REINV = 0// "0" REinvestment //levier = 1.5 // SOLITAMENTE 2 contratti per questioni di margine solo 1 levier = 2 IF REINV = 0 THEN n = levier // pas de réinvestissement ENDIF IF REINV = 1 THEN // réinvestissement capital = 200 + strategyprofit n = (capital / 200) *levier ENDIF //n1 = n+2 //if n > 200 then //n = 100 //endif // Indicator Short = RSI[14](close) crosses under 25 Long = RSI[14](close) crosses over 75 MM200 = Average[200](Close) // SET UP MASTER TREND Long1 = DCLose(1) > MM200 and Close > DClose(1) Short1 = DClose(1) < MM200 and Close < DCLose(1) // // SET UP LONG //if Currentdayofweek <> 5 then IF not onmarket and long and Long1 then BUY n SHARES AT market endif ////// SET UP SHORT //////////// //if Currentdayofweek <> 5 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT n SHARES at market endif SET target pprofit 20 SET STOP pLOSS 30

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  //------------------------------------------------------------------------- // Codice principale : RSI14 _DAX 5min buono ... da ottimaizzare STOP e TARGET P //------------------------------------------------------------------------- ////////////////rsi14 DAX 5 min ///////////////////////////////// ////  short backtest /// // ......   DEFPARAM CumulateOrders=false   DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 170000   REINV = 0// "0" REinvestment //levier = 1.5 // SOLITAMENTE 2 contratti per questioni di margine solo 1 levier = 2   IF REINV = 0 THEN n = levier // pas de réinvestissement ENDIF   IF REINV = 1 THEN // réinvestissement capital = 200 + strategyprofit n = (capital / 200) *levier ENDIF //n1 = n+2 //if n > 200 then //n = 100 //endif   // Indicator Short = RSI[14](close) crosses under 25 Long = RSI[14](close) crosses over 75 MM200 = Average[200](Close)   // SET UP MASTER TREND Long1 = DCLose(1) > MM200 and Close > DClose(1) Short1 = DClose(1) < MM200 and Close < DCLose(1) // // SET UP LONG //if Currentdayofweek <> 5 then IF not onmarket and long and Long1 then   BUY n SHARES AT market   endif   ////// SET UP SHORT ////////////   //if Currentdayofweek <> 5 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT n SHARES at market   endif   SET target pprofit 20 SET STOP pLOSS 30

   

  

  JR1976

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  09/13/2017 at 12:34 PM #46124
  JR1976

  Hello ,

  there is  something  to  help me and  to check the robustness of this strategy ? Backtest with 200k bar  or other check ?

   

  Thanks

  REgards

  

  JR1976

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  09/18/2017 at 9:55 AM #46465
  Nicolas

  Here are the results of this trading system over 200.000 bars. Not too bad, I used 2 points spread.

  

  Nicolas

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  09/18/2017 at 10:42 AM #46472
  JR1976

  Hi Nicolas ,

  thanks an advance for your check

  Any suggestion from the Community  to optimize the equity line  and to reduce the Drawdown   ?

   

  Regards .

   

  

  JR1976

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  09/18/2017 at 12:39 PM #46495
  Nicolas

  The risk/reward ratio is 0.66, due to stoploss superior to takeprofit value. You should try to investigate first on this purpose to reduce the effect that multiple losses in the same row can have on the overall result. This is what happened during year 2015 in backtest.

  1 user thanked author for this post.

  JR1976

  

  Nicolas

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  09/20/2017 at 5:51 PM #46727
  JR1976

  HI Nicolas ,

  I tried to  insert a little check with current day of week  ,  less trade  but the equity line is optimize

  Follow the  code , what do you think ?

   

  //------------------------------------------------------------------------- // Codice principale : RSI14 _DAX 5min buono ... da ottimaizzare STOP e TARGET P //------------------------------------------------------------------------- ////////////////rsi14 DAX 5 min ///////////////////////////////// //// Guadango costante // ...... DEFPARAM CumulateOrders=false DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 180000 REINV = 0// "0" REinvestment //levier = 1.5 // SOLITAMENTE 2 contratti per questioni di margine solo 1 levier = 1 IF REINV = 0 THEN n = levier // pas de réinvestissement ENDIF IF REINV = 1 THEN // réinvestissement capital = 200 + strategyprofit n = (capital / 200) *levier ENDIF //n1 = n+2 //if n > 200 then //n = 100 //endif x1 = n+1 // Indicator //Short = RSI[14](close) crosses under 25 Short = RSI[14](close) crosses under 25 Long = RSI[14](close) crosses over 75 MM200 = Average[200](Close) // SET UP MASTER TREND Long1 = DCLose(1) > MM200 and Close > DClose(1) Short1 = DClose(1) < MM200 and Close < DCLose(1) // // SET UP LONG if Currentdayofweek < 3 then IF not onmarket and long and Long1 then BUY x1 SHARES AT market endif endif if Currentdayofweek > 3 then IF not onmarket and long and Long1 then BUY n SHARES AT market endif endif ////// SET UP SHORT //////////// if Currentdayofweek <3 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT x1 SHARES at market endif endif if Currentdayofweek > 3 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT n SHARES at market endif endif //if longonmarket then //sell n shares at low -2 stop //endif SET target pprofit 20 SET STOP pLOSS 30

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  //------------------------------------------------------------------------- // Codice principale : RSI14 _DAX 5min buono ... da ottimaizzare STOP e TARGET P //------------------------------------------------------------------------- ////////////////rsi14 DAX 5 min ///////////////////////////////// //// Guadango costante // ......   DEFPARAM CumulateOrders=false   DEFPARAM FLATBefore = 083000 DEFPARAM FLATAfter = 180000       REINV = 0// "0" REinvestment //levier = 1.5 // SOLITAMENTE 2 contratti per questioni di margine solo 1 levier = 1   IF REINV = 0 THEN n = levier // pas de réinvestissement ENDIF   IF REINV = 1 THEN // réinvestissement capital = 200 + strategyprofit n = (capital / 200) *levier ENDIF //n1 = n+2 //if n > 200 then //n = 100 //endif x1 = n+1 // Indicator //Short = RSI[14](close) crosses under 25 Short = RSI[14](close) crosses under 25 Long = RSI[14](close) crosses over 75 MM200 = Average[200](Close)   // SET UP MASTER TREND Long1 = DCLose(1) > MM200 and Close > DClose(1) Short1 = DClose(1) < MM200 and Close < DCLose(1) // // SET UP LONG if Currentdayofweek < 3 then IF not onmarket and long and Long1 then BUY x1 SHARES AT market endif endif if Currentdayofweek > 3 then IF not onmarket and long and Long1 then BUY n SHARES AT market endif endif       ////// SET UP SHORT ////////////   if Currentdayofweek <3 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT x1 SHARES at market   endif endif if Currentdayofweek > 3 then IF short and short1 then //IF cs1 and r1 and r3 then //IF cs1 and r1 and r3 then SELLSHORT n SHARES at market   endif endif   //if longonmarket then //sell n shares at low -2 stop //endif       SET target pprofit 20 SET STOP pLOSS 30

   

  

  JR1976

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  09/21/2017 at 7:21 AM #46751
  Nicolas

  Please, once again, use the <> button to insert code into your post, thanks in advance 😉

  So depending of the day of the week, you are modulating your exposure?

  

  Nicolas

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  09/21/2017 at 8:42 AM #46765
  JR1976

  I  only  check in the code >  if current day of week is less than 3  ,   buy 2 contract , else buy only 1 contract …

  But the result of the equity seems better than the previous code  …. Backtest  only for 100k bar , I  don t Know before …

  Regards

  

  JR1976

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  09/21/2017 at 10:57 AM #46777
  Nicolas

  Good thing about the pattern you spot for the strategy, but the RR is still inferior to 1, it doesn’t sounds good 😐

  

  Nicolas

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  09/22/2017 at 12:58 PM #46924
  JR1976

  Suggest me your calculation  formula of the RR ?

  Thanks

   

  

  JR1976

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  09/25/2017 at 10:00 AM #47199
  Nicolas

  The risk reward ratio is calculated mathematically by dividing the amount of profit the trader expects to have made when the position is closed (the reward) to the amount the trader stands to lose if the price moves in the unexpected direction (the risk).
  So basically, in your case, divide the takeprofit by your stoploss: 20/30 = 0.66

  

  Nicolas

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