Take profit last low / last swing

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Viewing 15 posts - 31 through 45 (of 50 total)
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  • 12/22/2021 at 7:58 AM #183727
    GraHal

    Looking back, the main reason  I started optimising over shorter periods is / was, it was either shorter periods or I was going to give up on Algos due to the length of time it takes to optimise over longer periods!

    It’s no use fighting our psychological profile, sounds daft but I’m not trading for the money and so if I don’t get enjoyment (of some description) from trading then I may as well pack up and do something else. Waiting hours for an Algo to finish optimising only to find that the coded strategy is flawed is not my idea of fun!

    So I emabarked on a mainly 10k bar period for optimising, and I found it suits me just fine.

    I generally add the period to the title of my Algos (10K, 1K etc).  When I check the 50 Algos I have in Demo Forward Test, I do not see a reduced performance for short period opti Algos compared to long period opti Algos.

    12/22/2021 at 8:00 AM #183728
    GraHal
    phoentzs wrote:

    Will you tell me which version or post the code?

    I did very little to your version, but I am going to tweak it again today as it lost £88 yesterday (Demo).

    I will post the code when I get positive results in Forward Test.

    12/22/2021 at 8:11 AM #183729
    nonetheless
    GraHal wrote:

    Waiting hours for an Algo to finish optimising only to find that the coded strategy is flawed is not my idea of fun!

    Tell me about it! I usually play computer chess while waiting and I can tell you my game is getting damn good just from the hours I put in.

    If only we could download a data pack for each index that you could update daily, 1m bar backtests would take no time at all if we didn’t have to run off their server.

    1 user thanked author for this post.
    avatar GraHal
    12/22/2021 at 8:21 AM #183730
    phoentzs

    If you could promise me the 10k bars optimize will be enough. I would be very thankful. 😉

    12/22/2021 at 9:05 AM #183731
    phoentzs

    Here are the results of the bot with trailing stop and the 3 versions that I have run in demo. From top to bottom: bot TP / SL only, bot with trailing without ADX, bot with trailing with ADX.
    I’ll just let it go and see what happens. Even if the next few days are Christmas business in the markets.

    12/29/2021 at 2:58 AM #184069
    phoentzs

    Here is a short update of the 3 versions. So far, the version with only SL / TP has the biggest gain. However, with a hit rate of 33%. The other two versions with a trailing stop are almost the same. With slight advantages of the version with ADX. Hit rate over 50%. So far it doesn’t look bad.
    @Grahal: How about you?

    12/29/2021 at 11:38 AM #184084
    Khaled

    Just sharing my own experience… My first criteria is the Max Drawdown (and number of consecutive losses) vs Net Gain. If I don’t see x5, I move to the next system or add filters. Chances that you lose your capital (or reach your max psychological loss level) before you become positive are high. Also, as Peter said, you won’t psychologically resist before shutting down your system and make profit.

    Now, for profit targets, try Fibo levels, Pivots points on higher timeframes. Also, make sure you don’t take trades around these levels, as they can be reverse levels. Difficult to code I know.

    My personal general observation and may be it’s an illusion is that Entry and SL on short TF and Exit winning trades on higher TF brings more money when you win, which should compensate for your losses. Also, tight SL and Trailing can get you out very quickly.

    One last point, (if the system offers good entry points) which secures more gains and reduces losses is to breakeven at x points, exit x% of your position at this level, and let the remaining position run (with breakeven protection) to the invalidation point at higher TF.

    01/19/2022 at 1:20 PM #185914
    phoentzs

    Here is a short update of the 10s version. I only have the version with trailing stop in operation. Haven’t tweaked it since the beginning just to see how it goes. The results are not pretty, but profitable as you can see. Despite sideways phase.

    01/19/2022 at 2:45 PM #185925
    GraHal
    GraHal wrote:

    I will post the code when I get positive results in Forward Test.

    Crash and Burn! 🙂  Attached my several versions using Arrays.

    Okay I didn’t give them chance, but I tend to make decisions based on entry and exit at logical points (also on overall profit etc etc).

    phoentzs wrote:

    I have no idea about arrays.

    With above, I just did a quick mash up of an existing code, so not a valid test of Arrays.

    My understanding of Arrays is (using an xls to illustrate) … imagine a spreadsheet with numbered rows; after each bar the Close value is entered into a cell then next bar / close value is entered under the last entry … repeat etc.

    When required, a query of the Array (e.g. filled cells as above) can give HH, HL, LL, LH  value over x bars. The clever bit is to code into a strategy to determine if price has passed the Highest High and price is now hitting a Lower High (a High lower than Highest High).  And so on, so as to determine if the uptrend has ended.

    Anybody agree / disagree with above?

    Can any wizard code it? 🙂

    01/19/2022 at 3:53 PM #185933
    phoentzs

    Can’t you just solve this conventionally by simply consulting a higher time frame? For example timeframe H4 higherhigh or lowerlow to the next candle? At least I can code it myself. 😉 I’ll edit my strategy as I use percent for trailing. I think pips is better in such short periods. Or?

    01/19/2022 at 4:34 PM #185936
    GraHal

    Mmm be interesting to see the code to detect on H4 or H1 that the M1 TF has made 3 Lower Highs as shown by red arrowheads on attached 2nd image (just happened on DJI in the last 45 mins).

     

    01/19/2022 at 4:54 PM #185940
    phoentzs

    Mmh, I had a higher high at 1pm on the Dow. But maybe the responsiveness is limited by “updateonclose”?

    01/19/2022 at 5:22 PM #185946
    phoentzs

    Grahal

    would you be so kind as to post your code for me?

    01/19/2022 at 6:17 PM #185953
    Khaled

    @phoentzs since you’re using 1min TF run on 10sec chart, I guess you want to take early signals, then you may want to try MACD Zero Lag.

    If I understand well, one of the questions above is how to exit near the top (or the bottom for short). I would intuitively think that you need to look at Lower Highs and Higher Lows on lower TF than the 1min to anticipate the reversal.

    01/19/2022 at 6:22 PM #185954
    phoentzs

    I would have been surprised if an engulfing in the Dow H4 hadn’t worked…

    Candle 1: Engulfing or Higherhigh, as you like

    Candle 2: you would have had all the time in the world to enter TF M1 or 10s LONG to bet on rising markets

    Candle 3 : the result…

    sounds logical doesn’t it?

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