TS Dax Bias 30Min – Entrata chiusura mercato

• 09/10/2022 at 10:50 AM #200468
  Simon

  Buongiorno a tutti, non sono sicuro sia l’area giusta del forum per  questa richiesta.

  Posto questo T.S. che lavora sul Dax sfruttando la tendenza rialzista dopo la chiusura del mercato. Il sistema lavora su più timeframe ed  è stato ottimizzato escludendo alcuni giorni del  mese che statisticamente hanno una tendenza opposta. Il backtest è su timeframe a 30min ma dovrebbe poi girare su TF 5minuti per la miglior gestione del trailing stop.

  Chiedo cortesemente se avete qualche suggerimento per filtrare/migliorare  le entrate e se ritenete che il sistema è overfitted .

  TS Bis Dax 30M

  //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30M - 5M Chiusura //------------------------------------------------------------------------- // Definizione dei parametri del codice DEFPARAM CumulateOrders = False // Posizioni cumulate disattivate //-------------------------------------------------------------------------//------------------------------------------------------------------------- TIMEFRAME (5 hours, UPDATEONCLOSE) //FILTRO ONCE TORO = close[1] > open[1] Body = abs(close - open) LongCond = TORO AND (Body > (Range * bd)) timeframe (30 minutes, updateonclose) //------------------------------------------------------------------------------------------------------------------------------------------------- // Condizioni per entrare su posizioni long if not onmarket and currenttime=173000 and day <> 5 and day <> 17 and day <> 18 and day <> 21 and day <> 23 and day <> 25 and day <> 26 and LongCond THEN BUY 2 CONTRACT AT MARKET SET STOP $LOSS sl ENDIF //------------------------------------------------------------------------------------------------------------------------------------------------- timeframe (default) // Condizioni per uscire da posizioni long if currenthour=end THEN SELL AT MARKET ENDIF //trailing stop function IF NOT ONMARKET THEN TrailingStart = st //20 trailing will start @trailinstart points profit TrailingStep = 5 //5 trailing step to move the "stoploss" Distance = 5 //7 pips Distance from caurrent price (if required by the broker) PointsToKeep = ptk //1 pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-close>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF endif sET TARGET PPROFIT sp

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  //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30M - 5M Chiusura //------------------------------------------------------------------------- // Definizione dei parametri del codice DEFPARAM CumulateOrders = False // Posizioni cumulate disattivate //-------------------------------------------------------------------------//------------------------------------------------------------------------- TIMEFRAME (5 hours, UPDATEONCLOSE) //FILTRO ONCE TORO   = close[1] > open[1] Body      = abs(close - open) LongCond  = TORO AND (Body > (Range * bd)) timeframe (30 minutes, updateonclose) //------------------------------------------------------------------------------------------------------------------------------------------------- // Condizioni per entrare su posizioni long if not onmarket and currenttime=173000 and day <> 5 and day <> 17 and day <> 18 and day <> 21 and day <> 23 and day <> 25 and day <> 26  and LongCond THEN BUY 2 CONTRACT AT MARKET SET STOP $LOSS sl ENDIF //------------------------------------------------------------------------------------------------------------------------------------------------- timeframe (default) // Condizioni per uscire da posizioni long if currenthour=end THEN SELL AT MARKET ENDIF //trailing stop function IF NOT ONMARKET THEN TrailingStart = st  //20 trailing will start @trailinstart points profit TrailingStep  = 5   //5  trailing step to move the "stoploss" Distance      = 5   //7  pips Distance from caurrent price (if required by the broker) PointsToKeep  = ptk   //1  pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN                                 //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-close>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF endif sET TARGET PPROFIT sp

   

  

  Simon

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  09/10/2022 at 10:59 AM #200470
  Simon

  Altra foto.

  

  Simon

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  09/12/2022 at 9:30 AM #200599
  Nicolas

  Grazie mille Simone, non ho testato ma penso che manchino alcune variabili come stoploss e takeprofit giusto?

  

  Nicolas

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  09/12/2022 at 1:39 PM #200615
  Simon

  revised

  //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30-5M Chiusura //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30M - 5M Chiusura //------------------------------------------------------------------------- // Definizione dei parametri del codice DEFPARAM CumulateOrders = False // Posizioni cumulate disattivate //-------------------------------------------------------------------------//------------------------------------------------------------------------- ONCE bd = 0.16 ONCE end = 8.0 ONCE ptk = 95.0 ONCE sl = 330.0 ONCE sp = 335.0 ONCE st = 25.0 TIMEFRAME (4 hours, UPDATEONCLOSE) //FILTRO ONCE TORO = close[1] > open[1] Body = abs(close - open) LongCond = TORO AND (Body > (Range * bd)) timeframe (30 minutes, updateonclose) //------------------------------------------------------------------------------------------------------------------------------------------------- // Condizioni per entrare su posizioni long if not onmarket and currenttime=173000 and day <> 5 and day <> 17 and day <> 18 and day <> 21 and day <> 23 and day <> 25 and day <> 26 THEN BUY 2 CONTRACT AT MARKET SET STOP $LOSS sl ENDIF //------------------------------------------------------------------------------------------------------------------------------------------------- timeframe (default) // Condizioni per uscire da posizioni long if currenthour=end THEN SELL AT MARKET ENDIF //trailing stop function IF NOT ONMARKET THEN TrailingStart = st //20 trailing will start @trailinstart points profit TrailingStep = 5 //5 trailing step to move the "stoploss" Distance = 5 //7 pips Distance from caurrent price (if required by the broker) PointsToKeep = ptk //1 pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-close>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF endif sET TARGET PPROFIT sp

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  //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30-5M Chiusura //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Codice principale : 2022 Bias Dax 30M - 5M Chiusura //------------------------------------------------------------------------- // Definizione dei parametri del codice DEFPARAM CumulateOrders = False // Posizioni cumulate disattivate //-------------------------------------------------------------------------//------------------------------------------------------------------------- ONCE bd = 0.16 ONCE end = 8.0 ONCE ptk = 95.0 ONCE sl = 330.0 ONCE sp = 335.0 ONCE st = 25.0 TIMEFRAME (4 hours, UPDATEONCLOSE) //FILTRO ONCE TORO   = close[1] > open[1] Body      = abs(close - open) LongCond  = TORO AND (Body > (Range * bd)) timeframe (30 minutes, updateonclose) //------------------------------------------------------------------------------------------------------------------------------------------------- // Condizioni per entrare su posizioni long if not onmarket and currenttime=173000 and day <> 5 and day <> 17 and day <> 18 and day <> 21 and day <> 23 and day <> 25 and day <> 26  THEN BUY 2 CONTRACT AT MARKET SET STOP $LOSS sl ENDIF //------------------------------------------------------------------------------------------------------------------------------------------------- timeframe (default) // Condizioni per uscire da posizioni long if currenthour=end THEN SELL AT MARKET ENDIF //trailing stop function IF NOT ONMARKET THEN TrailingStart = st  //20 trailing will start @trailinstart points profit TrailingStep  = 5   //5  trailing step to move the "stoploss" Distance      = 5   //7  pips Distance from caurrent price (if required by the broker) PointsToKeep  = ptk   //1  pips to be gained when breakeven is set //reset the stoploss value newSL=0 ENDIF IF (BarIndex - TradeIndex) >= 0 THEN                                 //0 //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-TradePrice(1)>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)+TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND close-newSL>=TrailingStep*PipSize THEN newSL = newSL+TrailingStep*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND TradePrice(1)-close>=(TrailingStart*PipSize+PointsToKeep*PipSize) THEN newSL = TradePrice(1)-TrailingStep*PipSize+PointsToKeep*PipSize ENDIF //next moves IF newSL>0 AND newSL-close>=TrailingStep*PipSize THEN newSL = newSL-TrailingStep*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN IF LongOnMarket THEN IF (close + Distance) > newSL THEN SELL AT newSL STOP ELSIF (close - Distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + Distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - Distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF endif sET TARGET PPROFIT sp

  Ciao Nicolas, ho ripostato il codice escludendo il filtro perchè non funziona. Riposto risultati backtest senza filtro e attendo suggerimenti. Grazie

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  robertogozzi

  

  Simon

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  09/13/2022 at 8:38 AM #200675
  Nicolas

  Grazie mille per il codice completo. Come hai ottenuto le impostazioni per ciascuna delle tue variabili, per favore? Hai fatto un'ottimizzazione per tutto il periodo e per quante unità? Qual è lo spread utilizzato per favore?

  

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  09/14/2022 at 4:09 PM #200804
  Simon

  ottimizzazione su 200k barre 30min (max dati IG)

  commissione per ordine E 2.32

  no spread

   

  

  Simon

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  09/14/2022 at 6:02 PM #200816
  fifi743

  modifica

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  Simon

  

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