Trend following strategy for Gold

• 11/15/2017 at 12:04 PM #52825
  victormork

  I started a trend following strategy for gold but I’ve run out of ideas so I thought I can just post it here so anyone who wants to can come with ideas on how to improve it.

  Main issues are:

  • Stop loss distance is massive!
  • I have not found a good way to close losing positions before the drawdown becomes too big which is visible on the equity curve buy negative spikes.

  //XAUDUSD(EUR1 Contract) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 100.000 bars // SPREAD 0.5 PIP DEFPARAM CumulateOrders = FALSE DEFPARAM Preloadbars = 200 tradingtime = (currenttime >= 030000 and currenttime <= 180000) CP1 = 4 CP2 = 4 shorttrend = supertrend[4,10] longtrend = supertrend[7,24] // INDICATORS ///FRACTAL INDICATOR if close[cp1] >= highest[2*cp1+1](close) then LH = 1 else LH=0 endif if close[cp2] <= lowest[2*cp2+1](close) then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp1] endif if LL = -1 then LOL=close[cp2] endif // ENTRY CONDITIONS C1 = not longonmarket C1 = C1 and (close crosses over LOL) C1 = C1 and tradingtime C1 = C1 and close > longtrend // ENTRY CONDITIONS S1 = not shortonmarket S1 = S1 and (close crosses under HIL) S1 = S1 and tradingtime S1 = S1 and close < shorttrend //ENTRY LONG IF C1 THEN BUY 10 CONTRACT AT MARKET ENDIF // ENTRY SHORT IF S1 THEN SELLSHORT 10 CONTRACT AT MARKET ENDIF // Exit Long If longonmarket and close > HIL then sell at market endif // Exit Short If shortonmarket and close < LOL then exitshort at market endif //trailing stop trailingstop = 4 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif // stoploss Set stop ploss 80

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  //XAUDUSD(EUR1 Contract) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 100.000 bars // SPREAD 0.5 PIP   DEFPARAM CumulateOrders = FALSE DEFPARAM Preloadbars = 200   tradingtime            = (currenttime >= 030000 and currenttime <= 180000)   CP1                     = 4 CP2                     = 4   shorttrend              = supertrend[4,10] longtrend               = supertrend[7,24]     // INDICATORS   ///FRACTAL INDICATOR if close[cp1] >= highest[2*cp1+1](close) then LH = 1 else LH=0 endif if close[cp2] <= lowest[2*cp2+1](close)  then LL= -1 else LL=0 endif   if LH=1 then HIL = close[cp1] endif   if LL  = -1 then LOL=close[cp2] endif   // ENTRY CONDITIONS C1 = not longonmarket C1 = C1 and (close crosses over LOL) C1 = C1 and tradingtime C1 = C1 and close > longtrend   // ENTRY CONDITIONS S1 = not shortonmarket S1 = S1 and (close crosses under HIL) S1 = S1 and tradingtime S1 = S1 and close < shorttrend   //ENTRY LONG IF C1 THEN BUY 10 CONTRACT AT MARKET ENDIF   // ENTRY SHORT IF S1 THEN SELLSHORT 10 CONTRACT AT MARKET ENDIF   // Exit Long If longonmarket and close > HIL then sell at market endif   // Exit Short If shortonmarket and close < LOL  then exitshort at market endif   //trailing stop trailingstop = 4 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif   // stoploss Set stop ploss 80

   

   

  

  victormork

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  11/15/2017 at 12:10 PM #52827
  StantonR

  Hi Victor

  I am busy playing with your strategy now as I have been looking for a good gold strategy.

  I have implemented a trailing stop and a donchian stop. I am busy running a walk forward now with a number of parameters will share results when done.

   

   

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  victormork

  

  StantonR

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  11/15/2017 at 12:39 PM #52834
  victormork

  Cool! If you are looking for strategies on gold you can also check out the one I posted in the library –> https://www.prorealcode.com/prorealtime-trading-strategies/internal-bar-strength-gold-xauusd-2-hours-timeframe/

  

  victormork

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  11/15/2017 at 12:40 PM #52835
  StantonR

  Thats the strategy I am optimizing. I find the draw down and max losses are still to high on that one.

  

  StantonR

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  11/15/2017 at 1:56 PM #52839
  victormork

  Oh alright. The one I posted here is different though.

  

  victormork

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