Stochastic MACD – DJI 1H

• 09/15/2018 at 11:00 AM #80552
  GraHal

  I developed / expanded on Roberto code from link below.

  Which Equity Curve / Performance (v1.o, v1.1 or v 1.2) would you set going on Live and why … easy / friendly bit of weekend discussion? 🙂

  https://www.prorealcode.com/topic/macd-stochastic-code/#post-76115

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  GraHal

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  09/15/2018 at 11:22 AM #80561
  robertogozzi

  I’d go for version 1.2, since it has the lowest drawdown still having a fairly good gain.

  What scares me a bit is that the max consecutive number of losses outperforms max consecutive wins in ALL cases!

  Did you demo it for some time?

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  09/15/2018 at 12:40 PM #80568
  GraHal

  robertogozzi wrote:

  Did you demo it for some time?

  No I just knocked them up while eating my breakfast this morning! 🙂  I’ll work on them more.

  If anybody wants the code as a basis for further development together then just shout up … I enjoy a bit of collaboration and light-hearted discussion! 🙂

  

  GraHal

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  09/15/2018 at 1:20 PM #80570
  Vonasi

  I think we would need the code for all three to compare what you have added/taken away to smooth out the equity curves and increase the returns. Often the best results are the most curve fitted.

  

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  09/15/2018 at 2:19 PM #80573
  robertogozzi

  I agree with Vonasi.

  

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  09/15/2018 at 8:25 PM #80600
  GraHal

  Thanks Guys, sorry for delay … been on my daughter’s house extension since this morning!

  Below are the results over 100k bars with spread = 4  (spread = 4 was also used on the 10k screen shots above.

  I will post the code and the .itf in a separate post (with opto settings) for each version.

  This will be child’s play for you two guys to improve the results!? 🙂

  

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  09/15/2018 at 8:28 PM #80605
  GraHal

  Version 1.0

  DEFPARAM CUMULATEORDERS = False stocK = Stochastic[14,3](close) StocD = Average[5](StocK) MacdVal = Macd[12,26,9](close) Up1 = StocK CROSSES OVER StocD Up2 = MacdVal > 0 Dn1 = StocK CROSSES UNDER StocD Dn2 = MacdVal < 0 IF Up1 and Up2 THEN Buy 1 contract at market EndIf If Dn1 and Dn2 Then Sell at Market Endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  DEFPARAM CUMULATEORDERS = False   stocK      = Stochastic[14,3](close) StocD      = Average[5](StocK) MacdVal    = Macd[12,26,9](close) Up1         = StocK CROSSES OVER StocD Up2         = MacdVal > 0 Dn1         = StocK CROSSES UNDER StocD Dn2         = MacdVal < 0   IF Up1 and Up2 THEN Buy 1 contract at market EndIf   If Dn1 and Dn2 Then Sell at Market Endif

   

  

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  09/15/2018 at 8:30 PM #80607
  GraHal

  Version 1.1

  DEFPARAM CUMULATEORDERS = False stocK = Stochastic[14,3](close) StocD = Average[5](StocK) MacdVal = Macd[12,26,9](close) Up1 = StocK CROSSES OVER StocD Up2 = MacdVal > 0 Up3 = stocK > A8 Dn1 = StocK CROSSES UNDER StocD Dn2 = MacdVal < 0 Dn3 = stocK < A12 //GO LONG IF Up1 and Up2 and Up3 THEN Buy 1 contract at market EndIf //EXIT LONG If Dn1 and Dn2 Then Sell at Market Endif //Go SHORT If Dn1 and Dn2 and Dn3 Then SellShort at market Endif //EXIT SHORT //If Up3 Then //ExitShort at market //Endif //If Longonmarket Then //SET TARGET PPROFIT A35 //SET STOP PLOSS A36 //Endif // //If Shortonmarket Then //SET TARGET PPROFIT A40 //SET STOP PLOSS A41 //Endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42

  DEFPARAM CUMULATEORDERS = False   stocK      = Stochastic[14,3](close) StocD      = Average[5](StocK) MacdVal    = Macd[12,26,9](close) Up1         = StocK CROSSES OVER StocD Up2         = MacdVal > 0 Up3         = stocK > A8   Dn1         = StocK CROSSES UNDER StocD Dn2         = MacdVal < 0 Dn3         = stocK < A12   //GO LONG IF Up1 and Up2 and Up3 THEN Buy 1 contract at market EndIf   //EXIT LONG If Dn1 and Dn2 Then Sell at Market Endif   //Go SHORT If Dn1 and Dn2 and Dn3 Then SellShort at market Endif   //EXIT SHORT //If Up3 Then //ExitShort at market //Endif   //If Longonmarket Then //SET TARGET PPROFIT   A35 //SET STOP PLOSS       A36 //Endif // //If Shortonmarket Then //SET TARGET PPROFIT  A40 //SET STOP PLOSS      A41 //Endif

   

  

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  09/15/2018 at 8:42 PM #80609
  GraHal

  Version 1.2

  (I’ve got one eye on the TV so if I upload a ‘mistake’ then please let me know).

   

  DEFPARAM CUMULATEORDERS = False stocK = Stochastic[14,3](close) StocD = Average[5](StocK) MacdVal = Macd[12,26,9](close) Up1 = StocK CROSSES OVER StocD Up2 = MacdVal > 0 Up3 = stocK > A8 Dn1 = StocK CROSSES UNDER StocD Dn2 = MacdVal < 0 Dn3 = stocK < A12 //GO LONG IF Up1 and Up2 and Up3 THEN Buy 1 contract at market EndIf //EXIT LONG If Dn1 and Dn2 Then Sell at Market Endif //Go SHORT If Dn1 and Dn2 and Dn3 Then SellShort at market Endif //EXIT SHORT //If Up3 Then //ExitShort at market //Endif If Longonmarket Then SET TARGET PPROFIT A35 SET STOP PLOSS A36 Endif If Shortonmarket Then SET TARGET PPROFIT A40 SET STOP PLOSS A41 Endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42

  DEFPARAM CUMULATEORDERS = False   stocK      = Stochastic[14,3](close) StocD      = Average[5](StocK) MacdVal    = Macd[12,26,9](close) Up1         = StocK CROSSES OVER StocD Up2         = MacdVal > 0 Up3         = stocK > A8   Dn1         = StocK CROSSES UNDER StocD Dn2         = MacdVal < 0 Dn3         = stocK < A12   //GO LONG IF Up1 and Up2 and Up3 THEN Buy 1 contract at market EndIf   //EXIT LONG If Dn1 and Dn2 Then Sell at Market Endif   //Go SHORT If Dn1 and Dn2 and Dn3 Then SellShort at market Endif   //EXIT SHORT //If Up3 Then //ExitShort at market //Endif   If Longonmarket Then SET TARGET PPROFIT   A35 SET STOP PLOSS       A36 Endif   If Shortonmarket Then SET TARGET PPROFIT  A40 SET STOP PLOSS      A41 Endif

   

   

  

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  09/16/2018 at 7:57 AM #80614
  Vonasi

  In version 1.2 your target and stoploss levels will not be set until you have been on the market for one bar. Better to place them at the same time as you place the buy and sellshort orders.

  

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  09/16/2018 at 8:30 AM #80615
  Vonasi

  For what my opinion is worth…. when I see optimized stop loss and take profit levels my brain screams ‘curve fit’ so v1.2 is the worst for me.

  v1.2 and v1.1 both short on the DJI which I would never do as the strategy would be swimming against the tide. Shorting would be OK if we had identified that we were in a major recession – the news is the best indicator of this!

  The addition of optimized levels for Up3 and Dn3 conditions adds one more level of curve fitting but as the equity curve on v1.0 is so poor we need something to improve the strategy!

  Have you tried the v1.0 with just the Up3 condition added and optimized?

  Maybe using MTF in a slower time frame to identify good days to enter might be an improvement by testing whether it is a strategy that is better when buying in dips or when buying in trends.

   

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  Vonasi

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  09/16/2018 at 10:02 AM #80619
  GraHal

  Re suggestions made on this Thread … if anybody wants to code them up into a System then feel free.

  Please then increment the version number and post on here  …

  • Old and new version Equity Curve.
  • Old and new Performance stats.
  • New version code.

  Thank You
  GraHal

  

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  09/17/2018 at 8:39 AM #80663
  Nicolas

  Use stochastic to buy the dip and sell the top is the best idea, but what happen when the indicator desync from price is a common problem 😐  Dynamic/adaptive period calculation could be something interesting to test here. There are many different ways to adapt period, one example for stochastic: John Ehlers Adaptive Stochastic

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  Nicolas

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