Sorex hoyi scalper

Forums › ProRealTime English forum › ProOrder support › Sorex hoyi scalper

Viewing 15 posts - 1 through 15 (of 30 total)
1 2
  • 04/12/2020 at 12:00 AM #125739
    eckaw

    Hi all,

    Thanks to everyone sharing valuable code on this website, I’m learning a lot from being part of this community. I’m sharing here a 1 second TF code that seem to work well in backtestig (with very little backtest data..) but not sure how it will work live/forward testing. Both short and long strategies seem to have high win rate (and it seem to work well in tamdem, when the drawdays happens in one it goes up on the other, utlimately end up in a win position), but I would like to improve the precision of entry point to reduce drawdown.  Does anhyone have an idea on how to achieve this on such a short timeframe? The result from the screenshot are with 6 points spread DJI

    Sorex hoyi: “With a pulse clocking in at more than a 1000 per minute, the smallest mammal in North America really needs lots of food to keep its phenomenal metabolism going. Every day it eats three times its own weight. To do so it needs to constantly eat and never sleeps for more than a few minutes. An hour without food would mean certain death.

    LONG

     

    2 users thanked author for this post.
    avatar Philippo, avatar bertrandpinoy
    04/12/2020 at 12:21 AM #125741
    eckaw

    shor and long strategy run at the same time. Is this a happy coincidence or can it be a way to minimise losses?

    04/12/2020 at 8:47 AM #125750
    MAKSIDE

    Thx for sharing, i will check

    about TF, on my side, i use also a higher TF > 15 or 30mn in order to get the big trend (i have 1s/1mn/5mn/30mn)

    did you test that ?

    about TF 20 second, it’s s specific TF i think. Maybe you may have a better result with 30s which is more “standard” ? not tested..

    for the entrypoint, a work around the settings of the candles could improve it

    maybe you could work also an exit  if TP isn’t reached.. a security if failed. It’s the most difficult with TF 1s, when to go out..

    1 user thanked author for this post.
    avatar eckaw
    04/12/2020 at 10:45 AM #125762
    GraHal

    Am I missing something … you have all the spreads defined in your code, but ‘spread’ is not used anywhere to do anything (I checked only the Long System) ??

    04/12/2020 at 11:19 AM #125764
    Paul

    Thanks for sharing eckaw. Looks indeed that spread is not used. Regardless of using, the spread needs to be set in the backtest engine. Since your code trade specific times on which the spread is almost the same, the extra code don’t add much. In my renko version I got it removed. Can you post the variables used?

     

     

    04/12/2020 at 12:02 PM #125769
    eckaw

    @Paul  Thanks for the insight about the spread. I’m fairly new to coding in PRT so I appreciate your advice. I used spread 6pt in the backtest settings.

    Variables used:

    momen – 10

    st1 – 18

    st4 – 4

    st3 – 6

    st4 – 1

    d – 3

    st5 – 9

    st6 – 2

    There may be some other code that could be removed, I will look into this – if that’s the case I’ll post another version. Would be intersted to hear your thoughts on this idea, why it could work / why it won’t work.

    1 user thanked author for this post.
    avatar Paul
    04/12/2020 at 12:04 PM #125770
    eckaw

    The parameters above was for the long version. Short version has the same, apart from:

    st5 – 2

    st6 – 1

    1 user thanked author for this post.
    avatar Paul
    04/12/2020 at 12:52 PM #125780
    GraHal

    When I want folk to check out a System of mine on their Platform  and offer improvements etc, I always post the .itf file with all the settings for variables set up in the optimiser … makes it loads easier for them .. download, import, backtest … 3 clicks of the mouse, and they can start working on it.

    Alsos .itf files show as titled versions in the Attachment list at the top of every page and so it makes it loads easier to later find previous and latest versions (backup if our PC crashes even?) … they would always be available on this website.

    Might you post the .itf please? 🙂

     

    04/12/2020 at 1:18 PM #125783
    eckaw

    @GraHal – that makes perfect sense! Here you go.

    2 users thanked author for this post.
    avatar Paul, avatar GraHal
    04/12/2020 at 2:31 PM #125791
    Paul

    The stoploss is too big for a 1s or 10s system for me. Changing it to 0.5% results in less profit but still good overall. But if I check when signals come and apply my reenter theory for robustness, it seems results go down too much.

    I did some work on it, so I share it.

    Made 2 systems into one. Can’t run long&short at the same time.

    Results are the same on yours posted above.

    2 users thanked author for this post.
    avatar nonetheless, avatar eckaw
    04/13/2020 at 11:06 AM #125892
    nonetheless

    I’m getting rejections on both versions of this – ‘division by zero’ on the original and ‘negative or zero parameter’ on Paul’s version.

    04/13/2020 at 11:59 AM #125908
    nonetheless

    Hi @eckaw thanks for sharing this hungry little shrew – seems it could have potential.

    One thing I noticed though is that your Supertrend settings are miles away from the default and on such a short back test this strongly indicates a curve fit. I use Supertrend a lot but try to keep to the default settings for back tests of less than 1 year, otherwise it’s v likely that you’re bending your parameters to fit the data.

    (3,10) is the most common setting and halving those values (1.5,5) is also an option. (2,7) is a good mid-way point and within the extremely limited TF, this would appear to give the best result for Sorex Hoyi.

    This is not to say that your numbers won’t work, they certainly do for now, just that I fear they may not hold up in the long run.

    Just a suggestion …

     

    2 users thanked author for this post.
    avatar eckaw, avatar GraHal
    04/13/2020 at 12:43 PM #125917
    eckaw

    @nonetheless thanks for feedback. I will take a look at this and do further testing.

    I just tried to launch Paul amended version with slightly different SuperTrend settings and it failed to start. There was a message “The trading sytstem was stopped because an indicator received a negative or zero  parameter ex:(-10).”

    It seems to work well in backtest. I’m going through the code but haven’t yet figured out yet what it could be.

    04/13/2020 at 1:52 PM #125933
    Paul

    Probably it happens quicker on a short timeframe those errors. Same annoying thing on renko, but I got it to work for now.

    Here are few idea’s.

    Use below to make sure there is data.

    and/or

    when there’s possibly no data i.e. the max function

    can also be used on an average I think, like

    I don’t now where exactly is the cause, so in the renko version I use above a lot.

     

     

    2 users thanked author for this post.
    avatar swedshare, avatar eckaw
    04/13/2020 at 6:27 PM #125982
    swedshare

    It’s definately an interesting code. Hope someone on the forum can figure out how to make it run on demo without being stopped.

  • Author
    Posts
Viewing 15 posts - 1 through 15 (of 30 total)
1 2

Find exclusive trading pro-tools on ProRealCode Marketplace

Similar topics:
conversion of tiki scalper indicator from ninjatrader

Create your free account now and post your request to benefit from the help of the community
Register or Login