Strategy MAEX – experiment with MFE & MAE

• 11/16/2020 at 11:24 AM #150636
  GraHal

  Paul your DJ-3m-Maex-v3.itf  gives loads better equity curve  on 1 min TF.

  Thank You for sharing.

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  11/16/2020 at 4:59 PM #150670
  Paul

  nice work Nonetheless! It’s very difficult to find good oos results. Also I like the size of the stoploss in comparison to the ts atr values used and the way you used the breakeven.  It’s rewarding to see in the first day with a positive result!

  v3 is not as refined but the intend was to swap indicators in/out and compare the two methods. I will work on it a bit more.

   

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  nonetheless

  

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  11/16/2020 at 5:55 PM #150672
  Paul

  @nonetheless I included your setup in a clean v3 and results are interesting!

  Didn’t optimise, it’s also setup for short & long

  long & short together have improvement and doesn’t break the strategy which is often the case when optimised for long only!

  long only & close on short signal improve equitycurve shape, drawdawn and average losses.

  Now I will review how to speed up the code in calculation.

  Sharing works because without sharing I doubt very much if I would ‘ve got such results!

   

   

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  LaurentBZH35, eckaw, nonetheless, swedshare

  

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  11/16/2020 at 6:57 PM #150683
  nonetheless

  Well yes, it is interesting, partly because in 6 months there is precisely 0 short trades … which can’t be right. (kind of explains why the 2 histograms you posted are almost identical!)

  I think it might be the vectorial ??

  

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  11/16/2020 at 6:57 PM #150685
  ullle73

  when i change positionsize to 0.2, results sucks, why?

  

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  11/16/2020 at 7:27 PM #150689
  nonetheless

  ullle73 wrote:

  when i change positionsize to 0.2

  seems ok to me. which version are you running?

  

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  11/16/2020 at 7:39 PM #150690
  Paul

  nonetheless, tradetype is set to 2 for long only?

  closeonreversal is to close a long position if a short signal for entry appears, to close only but not to enter short.

  There are a few other things, forgot to include mm, change the name to 1m etc.

  0.2 seems fine with me too, on a 1m chart.

   

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  nonetheless

  

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  11/16/2020 at 7:55 PM #150691
  nonetheless

  Paul wrote:

  tradetype is set to 2 for long only?

  Yes – sorry! my bad, didn’t notice you had added a long/short selector 🙄

   

  

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  11/16/2020 at 11:25 PM #150714
  ullle73

  Pauls version DJ-3m-Maex-v3-n1, changes from 70% hitrate and 3 G/L to 30% hitrate and 0.3 G/L ratio

  

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  11/16/2020 at 11:29 PM #150715
  nonetheless

  here’s a refurb of the v3 Long/Short  – looking good, at least for those 6 months! (2 oos)

  Thanks for your great work on this, Paul.

  One problem though is that it doesn’t seem to work with MM – not with my code or with another that I tried – completely peculiar results with either. Obviously some conflict but I can’t see what it is. Any idea?

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  11/16/2020 at 11:30 PM #150718
  nonetheless

  ullle73 wrote:

  changes from 70% hitrate and 3 G/L to 30% hitrate and 0.3 G/L ratio

  check the CTime setting, you’re prob running on UK time

  

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  11/16/2020 at 11:35 PM #150719
  ullle73

  no, all i do is change positionssize in line 15 to 0.2, tested with both ct time settings. Both works good with 1 contract as size, but 0.2 makes the system lose. You versions works when changing positionsize, but not pauls…

  

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  11/17/2020 at 12:11 AM #150721
  ullle73

  same with your latest version as well nonetheless. All i changed in these two is line 6, from 1 to 0.2

   

   

  

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  11/17/2020 at 12:20 AM #150725
  nonetheless

  ullle73 wrote:

  same with your latest version as well

  ok, now I’m getting that as well, only just noticed. Probably connected to why the MM won’t work. I’ll have another look at it tomorrow…

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  11/17/2020 at 12:50 AM #150726
  Paul

  nonetheless wrote:

  Obviously some conflict but I can’t see what it is. Any idea?

  Yes, countpos is not compatible with mm. Delete the part what defines the stoploss & profittarget and the row countpos=..

  then replace the entrylines with this. (it only adds the set orders after each buy/sellshort command)

  // entry if ctime then if tradetype=1 or tradetype=2 then if condbuy and (not longonmarket or shortonmarket) then buy positionsize contract at market set stop %loss sll set target %profit ptl endif if condbuy and longonmarket then if reenter=1 then positionperformance=0 elsif reenter=2 then positionperformance=1 elsif reenter=3 then positionperformance=positionperf(0)<0 elsif reenter=4 then positionperformance=positionperf(0)>0 endif if positionperformance then buy positionsize contract at market set stop %loss sll set target %profit ptl endif endif endif if closeonreversal and tradetype=2 and condsell then sell at market endif if tradetype=1 or tradetype=3 then if condsell and (not shortonmarket or longonmarket) then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif if condsell and shortonmarket then if reenter=1 then positionperformance=0 elsif reenter=2 then positionperformance=1 elsif reenter=3 then positionperformance=positionperf(0)<0 elsif reenter=4 then positionperformance=positionperf(0)>0 endif if positionperformance then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif endif if closeonreversal and tradetype=3 and condbuy then exitshort at market endif endif else if condbuy then //exitshort at market endif if condsell then //sell at market endif endif

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  // entry if ctime then if tradetype=1 or tradetype=2 then if condbuy and (not longonmarket or shortonmarket) then buy positionsize contract at market set stop %loss sll set target %profit ptl endif if condbuy and longonmarket then if reenter=1 then positionperformance=0 elsif reenter=2 then positionperformance=1 elsif reenter=3 then positionperformance=positionperf(0)<0 elsif reenter=4 then positionperformance=positionperf(0)>0 endif if positionperformance then buy positionsize contract at market set stop %loss sll set target %profit ptl endif endif endif if closeonreversal and tradetype=2 and condsell then sell at market endif   if tradetype=1 or tradetype=3 then if condsell and (not shortonmarket or longonmarket) then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif if condsell and shortonmarket then if reenter=1 then positionperformance=0 elsif reenter=2 then positionperformance=1 elsif reenter=3 then positionperformance=positionperf(0)<0 elsif reenter=4 then positionperformance=positionperf(0)>0 endif if positionperformance then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif endif if closeonreversal and tradetype=3 and condbuy then exitshort at market endif endif else if condbuy then //exitshort at market endif if condsell then //sell at market endif endif

   

  

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