SP500 M1 curve follower

• 01/12/2022 at 11:44 AM #185244
  phoentzs

  I mean the code in the very first post on this topic. Lines 4-6 should be given in percent and recoded in lines 17-31.

  

  phoentzs

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  01/12/2022 at 1:06 PM #185249
  snucke

  okay one last attempt

  how does this one look SnorreDK ?

  ///Spread set to 0.9 points defparam preloadbars = 10000 possize = 5 pointsL = 1.0056 //points where profit is to be locked in LONG//25 pointsS = 0.9954 //points where profit is to be locked in SHORT//25 pointsL1 = 0.991 //points where stop is to be taken //36 SP500 pointsS1 = 1.01 //points where stop is to be taken //36 SP500 fast = average[11,4](close) //11 medium = average[14,4](close) //13 TIMEFRAME (10 MINUTES, updateonclose) A = 26 B = 8 S = 1.3 A1 = Average[A,B](low) A2 = Average[A*s,B](low) c3 = a1 > a2 TIMEFRAME (default, UPDATEONCLOSE) //If countofposition = 0 then //If fast > medium then //BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop //EndIf //EndIf If countofposition = 0 then If fast > medium and c3 then BUY possize CONTRACT AT open + 5*pipsize stop EndIf EndIf If longonmarket and close >= positionprice * pointsL then If close < close[1] then SELL AT MARKET EndIf ElsIf longonmarket and close <= positionprice * pointsL1 then SELLSHORT possize*2 CONTRACT AT MARKET EndIf If shortonmarket and close <= positionprice * pointsS then If close > close[1] then EXITSHORT AT MARKET EndIf ElsIf shortonmarket and close >= positionprice * pointsS1 then BUY possize*2 CONTRACT AT MARKET EndIf SET TARGET %PROFIT 0.54 SET STOP %LOSS 1.2

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  ///Spread set to 0.9 points defparam preloadbars = 10000 possize = 5 pointsL = 1.0056 //points where profit is to be locked in LONG//25 pointsS = 0.9954 //points where profit is to be locked in SHORT//25 pointsL1 = 0.991 //points where stop is to be taken       //36 SP500 pointsS1 = 1.01 //points where stop is to be taken       //36 SP500         fast = average[11,4](close) //11 medium = average[14,4](close) //13 TIMEFRAME (10 MINUTES, updateonclose) A = 26 B = 8 S = 1.3 A1 = Average[A,B](low) A2 = Average[A*s,B](low) c3 = a1 > a2 TIMEFRAME (default, UPDATEONCLOSE) //If countofposition = 0 then //If fast > medium then //BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop //EndIf //EndIf If countofposition = 0 then If fast > medium and c3 then BUY possize CONTRACT AT open + 5*pipsize stop EndIf EndIf If longonmarket and close >= positionprice * pointsL then If close < close[1] then SELL AT MARKET EndIf ElsIf longonmarket and close <= positionprice * pointsL1 then SELLSHORT possize*2 CONTRACT AT MARKET EndIf If shortonmarket and close <= positionprice * pointsS then If close > close[1] then EXITSHORT AT MARKET EndIf ElsIf shortonmarket and close >= positionprice * pointsS1 then BUY possize*2 CONTRACT AT MARKET EndIf SET TARGET %PROFIT 0.54 SET STOP %LOSS 1.2

   

  

  snucke

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  01/12/2022 at 2:53 PM #185266
  SnorreDK

  Ur Welcome Snucke

  

  SnorreDK

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  01/12/2022 at 5:09 PM #185278
  robertogozzi

  phoentzs wrote:

  I mean the code in the very first post on this topic. Lines 4-6 should be given in percent and recoded in lines 17-31.

  There you go:

  //Spread set to 0.9 points defparam preloadbars = 10000 possizePC = 0.05 //0.05% pointspPC = 0.4 //0.40% pointsbPC = 1.0 //1.00% // possize = close / 100 * possizePC pointsp = close / 100 * pointspPC //points where profit is to be locked in //20 SP500 pointsb = close / 100 * pointsbPC //points where stop is to be taken //36 SP500 // fast = average[11,4](close) //11 medium = average[14,4](close) //13 If countofposition = 0 then If fast > medium then BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop EndIf EndIf If longonmarket and close >= positionprice + pointsp then If close < close[1] then SELL AT MARKET EndIf ElsIf longonmarket and close <= positionprice - pointsb then SELLSHORT possize*2 CONTRACT AT MARKET EndIf If shortonmarket and close <= positionprice - pointsp then If close > close[1] then EXITSHORT AT MARKET EndIf ElsIf shortonmarket and close >= positionprice + pointsb then BUY possize*2 CONTRACT AT MARKET EndIf SET TARGET pPROFIT 16 //50 SET STOP %LOSS 1.1

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  //Spread set to 0.9 points defparam preloadbars = 10000 possizePC = 0.05    //0.05% pointspPC = 0.4     //0.40% pointsbPC = 1.0     //1.00% // possize   = close / 100 * possizePC pointsp   = close / 100 * pointspPC  //points where profit is to be locked in //20 SP500 pointsb   = close / 100 * pointsbPC  //points where stop is to be taken       //36 SP500 // fast = average[11,4](close) //11 medium = average[14,4](close) //13 If countofposition = 0 then    If fast > medium then       BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop    EndIf EndIf If longonmarket and close >= positionprice + pointsp then    If close < close[1] then       SELL AT MARKET    EndIf ElsIf longonmarket and close <= positionprice - pointsb then    SELLSHORT possize*2 CONTRACT AT MARKET EndIf If shortonmarket and close <= positionprice - pointsp then    If close > close[1] then       EXITSHORT AT MARKET    EndIf ElsIf shortonmarket and close >= positionprice + pointsb then    BUY possize*2 CONTRACT AT MARKET EndIf SET TARGET pPROFIT 16 //50 SET STOP %LOSS 1.1

   

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  robertogozzi

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  01/13/2022 at 1:23 PM #185341
  phoentzs

  I have to ask for your opinion now because that’s buzzing around in my head. With this simple system here (just changed the trend input and introduced fixed trading hours) I was able to achieve pretty good results on pretty much every index in the M1 and also in the M5. Which makes me a little cautious. Safe, robust … you would have to test it. The system is on the market for a long time if the profit is higher and the loss is higher, and it also works as a scalper with a larger SL, with a super hit rate.

  What do you think of this type of code? Or am I missing something obvious?

  

  phoentzs

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  01/13/2022 at 1:42 PM #185342
  SnorreDK

  BT at Robertos code

  

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  01/13/2022 at 1:54 PM #185345
  phoentzs

  @Grahal: What do you think about that? I know from you that you regularly optimize your systems for the market.

  

  phoentzs

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  01/28/2022 at 3:53 AM #186781
  phoentzs

  I played around with the code, changed entry, added exits. The whole thing is optimized to 75000bars, so the last year. It has been running in demo for me for over a week and is making incredible profits. I’m close to trying it live. A strategy that makes good profits long and short is rare these days. The joke is I have no idea why it works so well. What do you think?

  //------------------------------------------------------------------------- // Hauptcode : T2 Curvefolger M5 SP500 //------------------------------------------------------------------------- ///Optimiert 75000bars defparam preloadbars = 10000 defparam CUMULATEORDERS = false ONCE a = 40 ONCE b = 40 ONCE c = 50 ONCE x1 = 2 ONCE x2 = 2 possize = 5 pointsp = a //points where profit is to be locked in //20 SP500 pointsb = b //points where stop is to be taken //36 SP500 timeframe(4hour, updateonclose) Bull = close > close[1] Bear = close < close[1] myclose = close myhigh = high mylow = low timeframe(default) myRSI = RSI[2](close) RSIExlong = myRSI < 10 RSIExshort = myRSI > 90 long = Bull short = Bear // trading window ONCE BuyTime = 150000 ONCE SellTime = 220000 // position management IF Time >= buyTime AND Time <= SellTime THEN If countofposition = 0 then If long then BUY possize CONTRACT AT market EndIf EndIf If countofposition = 0 then If short then sellshort possize CONTRACT AT market EndIf EndIf endif //Umkehr If longonmarket and close >= positionprice + pointsp then If close < close[1] then SELL AT MARKET EndIf ElsIf longonmarket and close <= positionprice - pointsb then //and short SELLSHORT possize*x1 CONTRACT AT MARKET //*2 EndIf If shortonmarket and close <= positionprice - pointsp then If close > close[1] then EXITSHORT AT MARKET EndIf ElsIf shortonmarket and close >= positionprice + pointsb then //and long BUY possize*x2 CONTRACT AT MARKET //*2 EndIf //endif SET TARGET pPROFIT c //50 SET STOP %LOSS 1.3 If longonmarket and RSIExlong and (PositionPerf * PositionPrice / PipSize) >= 20 then sell at market endif If shortonmarket and RSIExshort and (PositionPerf * PositionPrice / PipSize) >= 25 then exitshort at market endif IF Time >= 10000 AND Time <= 150000 THEN If longonmarket and (PositionPerf * PositionPrice / PipSize) >= 30 then sell at market endif If shortonmarket and (PositionPerf * PositionPrice / PipSize) >= 40 then exitshort at market endif endif //abends If longonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 35 then sell at market endif If shortonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 50 then exitshort at market endif //TrailingStop in Punkten ////************************************************************************ //trailing stop function trailingstartL = 40 //LONG trailing will start @trailinstart points profit //30 trailingstartS = 40 //SHORT trailing will start @trailinstart points profit trailingstepL = 9 //trailing step to move the "stoploss" //1 trailingstepS = 1 //trailing step to move the "stoploss" Distance = 1 * PipSize //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)>=trailingstartL*pipsize THEN newSL = tradeprice(1)+trailingstepL*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstepL*pipsize THEN newSL = newSL+trailingstepL*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartS*pipsize THEN newSL = tradeprice(1)-trailingstepS*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstepS*pipsize THEN newSL = newSL-trailingstepS*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close - Distance) > newSL THEN SELL AT newSL STOP ELSIF (close + Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnMarket THEN IF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSIF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSE EXITSHORT AT Market ENDIF ENDIF endif //************************************************************************

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  //------------------------------------------------------------------------- // Hauptcode : T2 Curvefolger M5 SP500 //------------------------------------------------------------------------- ///Optimiert 75000bars   defparam preloadbars = 10000 defparam CUMULATEORDERS = false     ONCE a = 40 ONCE b = 40 ONCE c = 50 ONCE x1 = 2 ONCE x2 = 2   possize = 5 pointsp = a //points where profit is to be locked in //20 SP500 pointsb = b //points where stop is to be taken       //36 SP500 timeframe(4hour, updateonclose) Bull = close > close[1] Bear = close < close[1] myclose = close myhigh = high mylow  = low   timeframe(default) myRSI = RSI[2](close) RSIExlong  = myRSI < 10 RSIExshort = myRSI > 90   long   = Bull short  = Bear   // trading window ONCE BuyTime  = 150000 ONCE SellTime = 220000 // position management IF Time >= buyTime AND Time <= SellTime THEN   If countofposition = 0 then If long then BUY possize CONTRACT AT market EndIf EndIf If countofposition = 0 then If short then sellshort possize CONTRACT AT market EndIf EndIf endif //Umkehr If longonmarket and close >= positionprice + pointsp then If close < close[1] then SELL AT MARKET EndIf ElsIf longonmarket and close <= positionprice - pointsb then //and short SELLSHORT possize*x1 CONTRACT AT MARKET  //*2 EndIf   If shortonmarket and close <= positionprice - pointsp then If close > close[1] then EXITSHORT AT MARKET EndIf ElsIf shortonmarket and close >= positionprice + pointsb then  //and long BUY possize*x2 CONTRACT AT MARKET  //*2 EndIf //endif   SET TARGET pPROFIT c //50 SET STOP %LOSS 1.3   If longonmarket and RSIExlong and (PositionPerf * PositionPrice / PipSize) >= 20 then sell at market endif If shortonmarket and RSIExshort and (PositionPerf * PositionPrice / PipSize) >= 25 then exitshort at market endif   IF Time >= 10000 AND Time <= 150000 THEN   If longonmarket  and (PositionPerf * PositionPrice / PipSize) >= 30 then sell at market endif If shortonmarket  and (PositionPerf * PositionPrice / PipSize) >= 40 then exitshort at market endif   endif   //abends If longonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 35 then sell at market endif If shortonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 50 then exitshort at market endif       //TrailingStop in Punkten ////************************************************************************ //trailing stop function trailingstartL = 40 //LONG  trailing will start @trailinstart points profit //30 trailingstartS = 40 //SHORT trailing will start @trailinstart points profit trailingstepL  = 9 //trailing step to move the "stoploss" //1 trailingstepS  = 1 //trailing step to move the "stoploss" Distance       = 1 * PipSize   //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)>=trailingstartL*pipsize THEN newSL = tradeprice(1)+trailingstepL*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstepL*pipsize THEN newSL = newSL+trailingstepL*pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartS*pipsize THEN newSL = tradeprice(1)-trailingstepS*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstepS*pipsize THEN newSL = newSL-trailingstepS*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close - Distance) > newSL THEN SELL             AT newSL STOP ELSIF (close + Distance) < newSL THEN SELL             AT newSL LIMIT ELSE SELL             AT Market ENDIF ELSIF ShortOnMarket THEN IF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSIF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSE EXITSHORT AT Market ENDIF ENDIF endif //************************************************************************

  

  phoentzs

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  01/28/2022 at 10:56 AM #186816
  Mauro T. “Algorithm System”

  Hello Phoentz
  If you find it useful I went back in time to see if it was stable, it seems overly optimized …. even if I see that some people don’t care about the past but only the present.
  Good day

  Hello
  Mauro T.

  

  Mauro T. “Algorithm System”

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  01/28/2022 at 11:09 AM #186820
  phoentzs

  Of course it is optimized for today. Above 200000bars it works with other settings. The swings were very different back then, aside from the fact that they’re still just pips size.

  

  phoentzs

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  01/28/2022 at 6:08 PM #186868
  snucke

  Thanks for the reminder!

  I forgot to put my version in demo.

  Can you show your live results?

  

  snucke

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  01/29/2022 at 3:13 AM #186911
  phoentzs

  I created several versions to test and just let them run. In the last 2 weeks in particular the market has been extremely turbulent with major swings. The results are to be proud of. I think these systems deserve even more in a trend phase. What is apparent is that the systems without doubling the reversal have had a much harder time, but have not really lost so far. I created the versions with different input conditions, the code core is always the same. Recognizable by the name of the strategy. Bollinger inputs somehow don’t work at all in this market phase, I don’t know why yet. Simple inputs that come up often seem to work best. The variants without special inputs, which simply enter the trend without any extra setup, work best. I didn’t expect that. I think the most important thing is that the first trade of the strategy is taken in the direction with the highest probability. The code does the rest. I think.
  can you post me your version?

  

  phoentzs

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  01/29/2022 at 5:50 AM #186920
  PeterSt

  phoentzs wrote:

  Bollinger inputs somehow don’t work at all in this market phase

  That could be similar to me myself not being able to trade this manually. Swings are even 1% the hour easily on any large index, and I can’t make money out of it.

  Without really investigating it (the code(s) you are dealing with at this moment), I think this is related to most systems (me too) depend on lag. And before you know it (before you are sure) you are too late and the lot reverses.

  Someone (you, @phoentzs ?) should really abuse this with code which is not too late and without emotion. You could earn greenhouses, nice cars, normal houses, each day an other. And me ? I am fighting for a “stupid” 500, manually. And the fight is because being in a 10K loss first. Tiring. 🙁
  haha

  But ditch the code in time, because this won’t last forever …

  

  PeterSt

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  01/29/2022 at 11:22 AM #186940
  phoentzs

  I’m not quite comfortable with that either. The SMA version, i.e. the one that performs best, is created over 200,000 bars and would have made money even with the corona crash. I’m still undecided.

  

  phoentzs

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  01/29/2022 at 12:17 PM #186947
  SnorreDK

  Can u post ur code for the SMA version phoentzs. Would like to make a 1M backtest

  

  SnorreDK

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