The best trading strategies of PRC for Prorealtime – Backtests update & Rankings

Meta Signals Pro · Thu, 09 Feb 2023 10:36:39 +0000

Hi PRC traders, After months of hard work and some investments in order to produce an efficient solution, we are releasing a new tool that gives the updated backtests of the strategies present on this plateform (over 200 000 units of Timeframe) compares it with a Buy and Hold position over the period ranks the strategies by their performance from 0 to 4 Please discover www.best-trading-algos.com We believe this service will spare some time to new trader-coders who will think inevitably “soooo easy to make some cash with algo-trading with a crossing of moving average” 😉 we all went through this right ?! give us an overview of what has been worked on up to now maybe allowing new perspectives of development on former strategies The updates of the current strategies will be done every 3 months. I will take the lead (with all the good wills) to integrate and enrich the library of PRC Of course this project could not have been pursued without the approval of the creator of this fantastic resource, I mean Nicolas; Big thanks to him! Enjoy and open to all positive contributions ! PS: the thread hereunder will be closed and all subjects concerning this project will be held at this new current location https://www.prorealcode.com/topic/the-best-strategies-of-prorealcode-backtest-update/

This topic has 63 replies, 13 voices, and was last updated 1 month ago by Meta Signals Pro.

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06/28/2023 at 5:56 PM #216932

Meta Signals Pro

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06/28/2023 at 7:44 PM #216937

reb

Hello Chris

Could you be so kind to check these strategies

https://www.prorealcode.com/topic/another-bollinger-band-strategy/

https://www.prorealcode.com/prorealtime-trading-strategies/heiken-ashi-trading-system-with-rsi-dax-mini-nasdaq-mini-ita40-min on Dax

Merci

Reb

PS: thanks for your great job

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06/28/2023 at 9:29 PM #216941

fifi743

with some modifications, but still without stoploss

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alessiopippo

fifi743

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06/29/2023 at 4:42 AM #216954

reb

hello Fifi

What code did you use ?

reb

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06/29/2023 at 12:26 PM #216980

fifi743

Hello @reb,
I’ve added the following code to the input condition

and open>low and high>close  and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0))

1	and open>low and high>close and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0))

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reb,

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fifi743

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06/29/2023 at 6:33 PM #216998

Meta Signals Pro

Hi @fifi743 @reb
This is great; thanks guys for your inputs; this hereunder strategy modified which is better than the first one will be added and monitored on best-trading-algos.com

The backtest is just impressive ^^^; never seen a 99% ratio of win ^^^^

Please continue to post here all the stategies that you want me to monitor scatered in all the threads;

@reb

thanks for your feed abck on our work ^^^^;
FYI, this hereunder strategy is already listed:-) it’s a * star (one star) performer unfortunetly

https://www.prorealcode.com/prorealtime-trading-strategies/heiken-ashi-trading-system-with-rsi-dax-mini-nasdaq-mini-ita40-min on Dax

//==========================================================================================================
//   Code:    TEST Bollinger Band Engulfing (Long Only)
//   Source:  Inspired by all things trading related
//   Author:  samsampop
//   Version  1
//            1.4 fifi743 : adding these conditions in the input
//            and open>low and high>close  and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0))
//   Index:   DJI
//   TF:      15 min
//   TZ:      EU
//   Spread:  3
//
//   Next     Needs stop loss
//            Add shorting strategy
//==========================================================================================================

DEFPARAM CumulateOrders = False // Cumulating positions deactivated
Defparam Preloadbars = 1000

//stp = 2000

//Risk Management
PositionSize=1
tp = abs(close-average[20,1](open))
//StopLoss=stp


//=== Entry Filter ===
//Only go long when close is above the close of 1 week prior
priorweekclose=close[480]
bubba = close[480]-close       //points
diff = bubba/priorweekclose    //as percentage
//graph bubba
//graph diff

//Identify an up trend in the market on same timeframe
indicator3=average[55,7]   //71
indicator4=average[145,7]  //174

F1 = indicator3>indicator4


// Conditions to enter long positions
Headroom = average[20,1] - 5
indicator5 = BollingerDown[20](close)
c1 = (close[1] < indicator5)
c2 = open < close
c3 = (close > open[1])
c4 = close[1] <= open[1]
c5 = close < Headroom


IF F1 and c1 AND c2 AND c3 AND c4 AND c5 AND bubba > 0 and open>low and high>close  and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0)) THEN
BUY PositionSize CONTRACT AT MARKET
set target profit tp
//set stop $loss StopLoss
ENDIF



// Exit Zombie Trade
EZT = 1
if EZT then
IF longonmarket and (barindex-tradeindex(1)>= 200 and positionperf>0) or (barindex-tradeindex(1)>= 500 and positionperf<0) then
sell at market
endif
endif

//==========================================================================================================

// Code: TEST Bollinger Band Engulfing (Long Only)

// Source: Inspired by all things trading related

// Author: samsampop

// Version 1

// 1.4 fifi743 : adding these conditions in the input

// and open>low and high>close and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0))

// Index: DJI

// TF: 15 min

// TZ: EU

// Spread: 3

// Next Needs stop loss

// Add shorting strategy

//==========================================================================================================

DEFPARAM CumulateOrders = False // Cumulating positions deactivated

Defparam Preloadbars = 1000

//stp = 2000

//Risk Management

PositionSize=1

tp = abs(close-average[20,1](open))

//StopLoss=stp

//=== Entry Filter ===

//Only go long when close is above the close of 1 week prior

priorweekclose=close[480]

bubba = close[480]-close //points

diff = bubba/priorweekclose //as percentage

//graph bubba

//graph diff

//Identify an up trend in the market on same timeframe

indicator3=average[55,7] //71

indicator4=average[145,7] //174

F1 = indicator3>indicator4

// Conditions to enter long positions

Headroom = average[20,1] - 5

indicator5 = BollingerDown[20](close)

c1 = (close[1] < indicator5)

c2 = open < close

c3 = (close > open[1])

c4 = close[1] <= open[1]

c5 = close < Headroom

IF F1 and c1 AND c2 AND c3 AND c4 AND c5 AND bubba > 0 and open>low and high>close and (open[2]<close or close[3]<close or open[1]<indicator5[1] or indicator5[10]<indicator5 or high[2]<high or low[2]<low or dopen(0)<close or dopen(1)<dopen(0)or dclose(1)>dopen(0)) THEN

BUY PositionSize CONTRACT AT MARKET

set target profit tp

//set stop $loss StopLoss

ENDIF

// Exit Zombie Trade

EZT = 1

if EZT then

IF longonmarket and (barindex-tradeindex(1)>= 200 and positionperf>0) or (barindex-tradeindex(1)>= 500 and positionperf<0) then

sell at market

endif

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06/30/2023 at 4:21 AM #217021

PeterSt

Meta Signals Pro wrote:

The backtest is just impressive ^^^; never seen a 99% ratio of win ^^^^

Less than one star from me. 😉 And still subtract one star for the lacking SL.

The trades/revenue you see in the 1st attachment could be of any substance. But spread over 1,5 years ? forget it. You can’t even by bread from it. But this is okay of course and to each his own. However, the fun really fades if you see what you need to do for it. That shows in attachment #2.

I post this, not to rain on someone’s parade, but to show to people how to interpret Systems which look to good to be true.

A kind of positive (though subjective) remark : This System is super decent and it doesn’t even require a SL. But on the other hand, that’s exactly where the tradeoff is hidden : it is so decent that it trades so few times that nothing can be made of it.

🙂

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06/30/2023 at 6:56 AM #217025

reb

Just one thing to add

I am using it from beginning 2022, and no discrepancy between Backtest and real account
At this stage 2 494 points won, 100% W, 134 trades

Thks @samsampop, the creator who unfortunately is no longer on this website

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Meta Signals Pro,

fifi743,

reb

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06/30/2023 at 8:25 AM #217030

PeterSt

reb wrote:

100% W, 134 trades

Wait, so why do I have 9 trades only then (in Backtest but that should not matter if all is right) ?
Do you use another TimeFrame ?
OK, I am doing this on IB. I wouldn’t think this matters for this System ?

PeterSt

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06/30/2023 at 8:40 AM #217035

PeterSt

OK, again :

Meta Signals Pro wrote:

The backtest is just impressive ^^^; never seen a 99% ratio of win ^^^^

Right !

Now on to the why of the difference. I hope I used the correct instrument on IB ?
Btw, I used the $2 cash here (could not find the $1 quickly).

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PeterSt

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06/30/2023 at 9:17 AM #217039

fifi743

Hello,
You can’t compare IG to IB, they don’t have the same flow.
The algorithm was designed for IG

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reb,

JS,

Meta Signals Pro,

PeterSt

fifi743

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06/30/2023 at 9:30 AM #217042

PeterSt

IB and IG are totally incomparable. See the first picture for about the same time span. IB starts at 15:30 (Amsterdam) and ends at 22:00. IG starts at 00:00 and ends at 23:00.

In this DJI case there’s even sufficient volatility outside trading hours.

So … Peter should have taken the IB DJI Future because IB’s DJI Index is only active during RTH.
This DJI Future coincidentally does not work out for the best because it runs into the “Zombie” protection (500 bars) once – and in bad shape of the trade. The IG Index also runs into that protection but with a coincidental very low loss.

So a SL or other measure is still needed and that will make the win rate lower. Of course you can also make the zombie protection more weak (like 1000 bars) but hey …
I did that in the 4th attachment and we see that it is not quite for the better. So it is still a bit of too good to be true, but you must run unlucky in order to be bothered by that. 😉

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PeterSt

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06/30/2023 at 5:35 PM #217095

reb

PeterSt wrote:

reb wrote:

100% W, 134 trades

Wait, so why do I have 9 trades only then (in Backtest but that should not matter if all is right) ?

Do you use another TimeFrame ?

OK, I am doing this on IB. I wouldn’t think this matters for this System ?

My mistake, it isn’t 134 but 45 trades (I read the wrong line on my xls file)

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07/01/2023 at 3:39 PM #217128

Nicolas

Sorry if i’m wrong, but the only way to exit an order in loss is located here:

// Exit Zombie Trade
EZT = 1
 if EZT then
  IF longonmarket and (barindex-tradeindex(1)>= 200 and positionperf>0) or (barindex-tradeindex(1)>= 500 and positionperf<0) then
   sell at market
  endif
endif

// Exit Zombie Trade

EZT = 1

if EZT then

IF longonmarket and (barindex-tradeindex(1)>= 200 and positionperf>0) or (barindex-tradeindex(1)>= 500 and positionperf<0) then

sell at market

endif

Allow an order to exit in loss ONLY if it has last for at least 500 bars of 15-minutes: 96 days!

So it’s not the entries that generate a positive result, it is the way the losses are handled: bet on price will go up someday! Which is most of the time with indices as DOW, but what about the drawdown during bear market?

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Nicolas

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07/01/2023 at 4:43 PM #217129

Hi,

500 bars of 15 minutes = 7500 minutes = 125 hours = 5,2 days (not 96 days?)

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Meta Signals Pro

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