Updated strategy

• 05/30/2016 at 12:14 AM #8333
  Adolfo

  This post belongs to this system: http://www.prorealcode.com/prorealtime-trading-strategies/dax-trading-strategy-breakoutfakeout/

  A few changes were made after start the strategy in real time with some troubles. Some adjuntments and improvements

  Major change

  Code problems mades system don’t put stop and limit orders after entering a position. Now the system runs with fixed orders “PLOSS” and “PPROFIT” to avoid this. Tested in real time and working OK.

  Minor changes

  1. It will run from Monday to Thursday, not even Friday, Saturday or Sunday. As I suppose Fridays are more often sideways and prefered to avoid this day.
  2. Min distance for stoploss is now 6 pips, as far as IG broker don’t let it start with less.
  3. Max range was 200 points, now is 150. Max risk for this system is 0,5% of actual equity, so stoploss shouldn’t exceed 15 pips.

  FULL CODE

  //------------------------------------------------------------------------- // Main code : Binomio AutoTrading Bot v.2 DAX //------------------------------------------------------------------------- REM ######################################### REM ## Binomio AutoTrading Bot 2016 DAX 1m ## REM ######################################### REM Not cumulate orders defparam cumulateorders = false REM No positions open before this time defparam flatbefore = 080000 REM All positions will be closed after this time defparam flatafter = 213000 REM MAX and MIN we want to operate REM No orders will be set if range is greater than maxrange = 150 REM No orders will be set if range is shorter than minrange = 20 REM Parameters profitvalue = 1.5 // % Range (1.5 = 150%) rangepercent = 0.1 // %Range (0.1 = 10%) REM ###################### REM ## MONEY MANAGEMENT ## REM ###################### Capital = 3000 // Initial capital Risk = 0.5 // %Risk max REM RESET MAIN VARIABLES EACH NEW DAY if Dayofweek = 5 then trading = 0 else If intradaybarindex = 0 then trading = 1 bullish = 0 bearish = 0 inrange = 0 rangepips = 0 enter1 = 0 enter2 = 0 enter3 = 0 enter4 = 0 abovemax = 0 abovemin = 0 belowmax = 0 belowmin = 0 //profittrend = 0 profitrange = 0 endif endif REM CHECK CONTROL TIME starttime = 075500 endtime = 075900 REM RANGE ESTABLISHMENT IF time >= starttime and time <= endtime then REM NIGHT MAX maximo = dhigh(0) REM NIGHT MIN minimo = dlow(0) REM RANGE IN PIPS BETWEEN NIGHT MAX AND MIN rangepips = round(maximo-minimo) REM PROFIT IN PIPS EX takeprofit = rangepips*profitvalue// i.e we could add here "*0.9" to reduce the profit objective REM DISTANCE FROM LINES TO SET ORDERS margin = rangepips*rangepercent REM SET MAX ORDER PLACES abovemax = maximo+margin belowmax = maximo-margin REM SET MIN ORDER PLACES abovemin = minimo+margin belowmin = minimo-margin REM SET NUMBER OF PIPS TO RISK EACH TRADE StopLoss = round(margin*2) if StopLoss<6 then StopLoss = 6 endif endif REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) REM SPREAD CHECK IF Time>=090000 and time<173000 then spread = 0 // Backtest spread is set to 1 else spread = 1 // Backtest spread 1 + 1 = Real spread endif REM CONDICION DEL MERCADO inrange = Close<maximo-margin and close>minimo+margin bullish = Close>(maximo+margin) bearish = Close<(minimo-margin) semibull = Close>maximo-margin and close<maximo+margin semibear = close<minimo+margin and close>minimo-margin REM START SETTING ORDERS REM FIRST TRADES if not onmarket and trading = 1 and rangepips<=maxrange and rangepips>=minrange then REM RESET VARIABLES EACH TIME WE ARE OUT OF THE MARKET if bearish then if enter4=0 then sellshort PositionSize contract at market//belowmin limit endif if enter1=0 then buy PositionSize contract at abovemin+spread stop endif endif if bullish then if enter3=0 then buy PositionSize contract at market//abovemax limit endif if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif if inrange then if enter1=0 then buy PositionSize contract at abovemin limit endif if enter2=0 then sellshort PositionSize contract at belowmax limit endif if enter3=0 then buy PositionSize contract at abovemax+spread stop endif if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif if semibull then if enter3=0 then buy PositionSize contract at abovemax+spread stop endif if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif if semibear then if enter1=0 then buy PositionSize contract at abovemin+spread stop endif if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif endif buytrend = tradeprice(1)>maximo buyrange = tradeprice(1)<maximo selltrend = tradeprice(1)<minimo sellrange = tradeprice(1)>minimo REM SI ESTAMOS LARGOS if longonmarket then REM IF TRADE PRICE IS ABOVE MAX if buytrend then enter3 = 1 if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif REM IF TRADE PRICE IS INTO DE RANGE if buyrange then enter1 = 1 if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif endif REM SI ESTAMOS CORTOS if shortonmarket then REM SI HEMOS VENDIDO POR DEBAJO DEL MINIMO if selltrend then enter4 = 1 if enter1=0 then buy PositionSize contract at abovemin+spread stop endif endif REM SI HEMOS VENDIDO DENTRO DEL RANGO if sellrange then enter2 = 1 if enter3=0 then buy PositionSize contract at abovemax+spread stop endif endif endif set stop ploss stoploss set target pprofit takeprofit

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  //------------------------------------------------------------------------- // Main code : Binomio AutoTrading Bot v.2 DAX //------------------------------------------------------------------------- REM ######################################### REM ## Binomio AutoTrading Bot 2016 DAX 1m ## REM #########################################   REM Not cumulate orders defparam cumulateorders = false REM No positions open before this time defparam flatbefore = 080000 REM All positions will be closed after this time defparam flatafter = 213000   REM MAX and MIN we want to operate REM No orders will be set if range is greater than maxrange = 150 REM No orders will be set if range is shorter than minrange = 20   REM Parameters profitvalue = 1.5 // % Range (1.5 = 150%) rangepercent = 0.1 // %Range (0.1 = 10%)   REM ###################### REM ## MONEY MANAGEMENT ## REM ###################### Capital = 3000 // Initial capital Risk = 0.5 // %Risk max   REM RESET MAIN VARIABLES EACH NEW DAY if Dayofweek = 5 then trading = 0 else If intradaybarindex = 0 then trading = 1 bullish = 0 bearish = 0 inrange = 0 rangepips = 0 enter1 = 0 enter2 = 0 enter3 = 0 enter4 = 0 abovemax = 0 abovemin = 0 belowmax = 0 belowmin = 0 //profittrend = 0 profitrange = 0 endif endif     REM CHECK CONTROL TIME starttime = 075500 endtime = 075900   REM RANGE ESTABLISHMENT IF time >= starttime and time <= endtime then REM NIGHT MAX maximo = dhigh(0) REM NIGHT MIN minimo = dlow(0) REM RANGE IN PIPS BETWEEN NIGHT MAX AND MIN rangepips = round(maximo-minimo) REM PROFIT IN PIPS EX takeprofit = rangepips*profitvalue// i.e we could add here "*0.9" to reduce the profit objective REM DISTANCE FROM LINES TO SET ORDERS margin = rangepips*rangepercent REM SET MAX ORDER PLACES abovemax = maximo+margin belowmax = maximo-margin REM SET MIN ORDER PLACES abovemin = minimo+margin belowmin = minimo-margin REM SET NUMBER OF PIPS TO RISK EACH TRADE StopLoss = round(margin*2) if StopLoss<6 then StopLoss = 6 endif endif   REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   REM SPREAD CHECK IF Time>=090000 and time<173000 then spread = 0 // Backtest spread is set to 1 else spread = 1 // Backtest spread 1 + 1 = Real spread endif   REM CONDICION DEL MERCADO inrange = Close<maximo-margin and close>minimo+margin bullish = Close>(maximo+margin) bearish = Close<(minimo-margin) semibull = Close>maximo-margin and close<maximo+margin semibear = close<minimo+margin and close>minimo-margin   REM START SETTING ORDERS REM FIRST TRADES if not onmarket and trading = 1 and rangepips<=maxrange and rangepips>=minrange then REM RESET VARIABLES EACH TIME WE ARE OUT OF THE MARKET if bearish then if enter4=0 then sellshort PositionSize contract at market//belowmin limit endif if enter1=0 then buy PositionSize contract at abovemin+spread stop endif endif if bullish then if enter3=0 then buy PositionSize contract at market//abovemax limit endif if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif if inrange then if enter1=0 then buy PositionSize contract at abovemin limit endif if enter2=0 then sellshort PositionSize contract at belowmax limit endif if enter3=0 then buy PositionSize contract at abovemax+spread stop endif if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif if semibull then if enter3=0 then buy PositionSize contract at abovemax+spread stop endif if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif if semibear then if enter1=0 then buy PositionSize contract at abovemin+spread stop endif if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif endif   buytrend = tradeprice(1)>maximo buyrange = tradeprice(1)<maximo selltrend = tradeprice(1)<minimo sellrange = tradeprice(1)>minimo   REM SI ESTAMOS LARGOS if longonmarket then REM IF TRADE PRICE IS ABOVE MAX if buytrend then enter3 = 1 if enter2=0 then sellshort PositionSize contract at belowmax-spread stop endif endif REM IF TRADE PRICE IS INTO DE RANGE if buyrange then enter1 = 1 if enter4=0 then sellshort PositionSize contract at belowmin-spread stop endif endif endif   REM SI ESTAMOS CORTOS if shortonmarket then REM SI HEMOS VENDIDO POR DEBAJO DEL MINIMO if selltrend then enter4 = 1 if enter1=0 then buy PositionSize contract at abovemin+spread stop endif endif   REM SI HEMOS VENDIDO DENTRO DEL RANGO if sellrange then enter2 = 1 if enter3=0 then buy PositionSize contract at abovemax+spread stop endif endif endif   set stop ploss stoploss set target pprofit takeprofit

   

  

  Adolfo

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  05/30/2016 at 8:29 AM #8343
  Nicolas

  Thanks Adolfo, I’ll change your library post accordingly to this new version.

  

  Nicolas

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  05/30/2016 at 9:02 AM #8347
  Adolfo

  You’re wellcome Nicolas.

  I saw a few good changes in website recently, each day looks better!  Thanks a lot for giving us a space like this.

  Have a nice day and better trading!!

  

  Adolfo

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  05/30/2016 at 5:37 PM #8395
  Adolfo

  Hey everyone! I did a Monte Carlo test with attached results.

  Do you have any experience with this monte carlo one?

  What do you think about results?

  Cheers!

   

   

  

  Adolfo

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  05/30/2016 at 7:13 PM #8412
  deleted190722

  Hi Adolfo, I am working with montecarlo during these days… If you send me your data I run it whit my system (very similar with nicolas system) and we can open a new thread where to disucuss how to read the montecarlo.

  what do you think?

   

  

  deleted190722

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  05/30/2016 at 7:52 PM #8416
  Adolfo

  Hi David, I <3 it.

  Do you need something else than results? There are 418 trades, how do I send it to you?

  Is posible for you to share monte carlo test also?

  Cheers!

   

   

  

  Adolfo

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  05/31/2016 at 7:58 AM #8459
  deleted190722

  please drag the last page of the result of the backtest into excel and share it here.

   

  

  deleted190722

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  05/31/2016 at 8:08 AM #8461
  deleted190722

  remember to put the spread in it

  

  deleted190722

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  05/31/2016 at 8:14 AM #8462
  Adolfo

  GM!!! I attached an image in first post, did you see that?

  Where is spread’s place?

  

  Adolfo

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  05/31/2016 at 8:38 AM #8466
  deleted190722

  sorry, maybe I explained wrong.

  I have done it for you. this is the montecarlo test for your system on dax 1 minute with spread equal to 1. Dax 1 euro per point.

  The result that you have posted where without the spreads in it. they were fake results. If you add the spread the TS does not perform good.

  Comments? Am I doing something wrong?

   

  

  deleted190722

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  05/31/2016 at 8:51 AM #8471
  Adolfo

  Hey David, just realized that your backtest were only 100.000 units rather than 200.000 is I did, see attached results for full period. It does 403 trades with 1 point spread.

  Shall I send to you a text plain file with trades?

  

  Adolfo

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  05/31/2016 at 9:03 AM #8475
  deleted190722

  yes.. with IG I can do only 100.000 bars. Send me the list of closed position in excel.

  

  deleted190722

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  05/31/2016 at 9:15 AM #8476
  Adolfo

  Ok David, sorry for inconvenience and thanks for your efforts. Here are results in excel.

  

  Adolfo

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  05/31/2016 at 9:23 AM #8481
  deleted190722

  I need it full like this. just drag and drop the matrix in excel.

  Nothing more…

   

   

  

  deleted190722

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  05/31/2016 at 9:36 AM #8486
  Adolfo

  Aha! get it… I saw a forbbiden an icon, sry!

  

  Adolfo

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