Discussing the strategy VECTORIAL DAX (M5)
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- This topic has 1,260 replies, 124 voices, and was last updated 1 month ago by Greger2346.
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10/04/2019 at 10:05 PM #10931710/04/2019 at 10:06 PM #109318
I will explain you in the weekend but in French because I am bad in English
No French in the English speaking forum please. It’s a forum rule! 🙂
10/05/2019 at 6:49 AM #109322Good morning all. For those who have unpleasant remonstrances you keep them for you. I share my work to help you and a piece of code can serve you. To start I calculated the maximum return with a variable for the long and a variable for the short Line 21
1PP=positionperf(0)*100 if pp>ppf then ppf=pp endifAfter I left the maximum yield for the long and I reduced the value to increase the gain
123456if longonmarket and ppF>3.6 and pp>ppF-pp thensell at marketendifif shortonmarket AND ppF>1.9 and pp>ppF-pp thenexitshort at marketendifafterwards, I seek to reduce the losses and to maximize the gains while increasing the gains, the ratio loss gains and the% of winning position. It’s the longest and the most complicated. And I realized that line 451CondBuy2 = (pente > trigger) AND (pente < 0)Ask me a problem so I looked for a filter to limit the long position openings123// ajout d'un filtre pour achatMA=Average[4](close)CondBuy2 = (pente > trigger) AND (pente < 0) and high>MA and coeff>0.9And I continued and not finished reducing losses and maximizing gains.If you have ideas I am a taker to avoid writing hundreds of lines.Next coming I will pass it in MTF In M 5 the code you know In M1 the verification of operations if they are well past.Because often backtest no problem but in reality it’s something else. Because all operations must pass. I’m waiting for your comment.Sorry it’s the translator10/05/2019 at 8:14 AM #10932310/05/2019 at 9:30 AM #10932710/05/2019 at 11:50 AM #109333Hi fifi743
You use a lot of market orders, which are influenced by slipppage & spread on every trade.
Isn’t it more reliable (and perhaps not better) to define your price yourself, i.e. the close when you have a signal and then enter on limit else on stop or visa versa on the next bar?
All is depended on the positionperformance, based the price you get from the broker. It should be based on the price you set yourself to work with regardless of slippage.
Maybe it doesn’t matter, maybe a lot I don’t know. What do you think?
Here’s a snippet I use.
If orderhandling=2 then you have to set your own orderprice after a signal, and replace all tradeprice(1) to orderprice (only in your code the trailingstop)
1234567891011121314151617181920if orderhandling=1 thenpperf=(positionperf(0)*100)orderprice=tradeprice(1)//graphonprice orderpriceelsif orderhandling=2 thenif longonmarket thenpperf=((close/orderprice)-1)*100elsif shortonmarket thenpperf=((orderprice/close)-1)*100endif//graphonprice orderpriceelsif orderhandling=3 then //manualorderprice=12370.7if longonmarket thenpperf=((close/orderprice)-1)*100elsif shortonmarket thenpperf=((orderprice/close)-1)*100endif//graphonprice orderpriceendif10/05/2019 at 1:36 PM #10934410/05/2019 at 5:16 PM #10935710/06/2019 at 12:59 AM #109377In test1, because condsell/condbuy, it creates signals on multiple bars after each other and then it changes the orderprice too.
to make it stick I used below and other way around.
123if not onmarket or shortonmarket[1] thenorderprice=closeendifThe code works too if limit orders are used. This creates now near similar results to the original code. So far it looks reliable.
1 user thanked author for this post.
10/06/2019 at 11:25 AM #10939610/08/2019 at 10:52 AM #109602Hi guys,
Thanks for your amazing work.
I have made some 200k tests in the different versions I found more interesting. From 24/11/2016 to 08/10/2019 (today)
I don´t know why, but I don´t get the same results as you do on the last 2 versions (fifi & fifi´s Paul edit), could you maybe help me understand why?
From left to right: v4.2p / v5.0p / fifi´s / fifi´s Paul edit
10/08/2019 at 4:03 PM #109630hi, basically it are different strategies now. From my upload I would focus on 5.0p and on fifi43 latest upload. (you picked the first one)
test1 was not correctly coded, 4.2p is too old.
If you want to compare then use the same positionsize /posmax.
1 user thanked author for this post.
10/08/2019 at 4:41 PM #10963210/08/2019 at 8:36 PM #10964010/08/2019 at 9:52 PM #109658Hola,
aquí está la comparación entre mi última versión y la de Paul.
menos DD más ganancias.
en mi última versión incluí soportes y resistencias semanales y diarias.
Todavía tengo que incluir el
ejemplo de números redondos 11500
, puede haber un rebote
Thank you very much for your work! The v2 you have hung is not the same as the .mod, right? the * .mod version gives me different results to the latest version v2. We wait with intraga the code. Thanks again for your work and Paul’s
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