Discussing the strategy VECTORIAL DAX (M5)

• 12/11/2019 at 10:10 AM #114624
  Nobody

  Have not read the entire thread ( i will ) but enough to get the gist of it . Seems to be a lot of optimization of optomization which rarely ends well   .  The mother of all curve fits BUT  . With just a brief look at the logic of the OP i think he has something and i would like to explore it  .

  Will clean up the code and get into the nuts and bolts of it  , seems to be a bit of a regime filter base to it and i like that aspect  .  His initial curve is still pretty rocksolid and thats a decent positive after many months of OOS  .  Could be a good thing imo   .     I will be back

  3 users thanked author for this post.

  Bel, Nicolas, BobFlynn

  

  Nobody

  Participant

  Topics: 9

  Replies: 192

  Been thanked: 59 times
  12/11/2019 at 10:47 AM #114628
  Nicolas

  Thank you for all your enthusiasm and sharing around the original version of the code proposed by Balmora! Forks versions are inevitable and I encourage them, even if over-optimization is very often the cause of the abandonment of a project, it also allows to educate the nice programmers of automatic trading systems on this aspect which is the more important in this discipline! 😉

  1 user thanked author for this post.

  Nobody

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  12/12/2019 at 2:19 PM #114743
  juju333

  Hi everyone. Many thanks for sharing this amazing code. The v1 is running in test with very few changes and seems to work good. Indeed, seems very powerful with Dax M5. Not yet read the 39 pages…

  1 user thanked author for this post.

  Nicolas

  

  juju333

  Participant

  Topics: 3

  Replies: 26

  Been thanked: 12 times
  12/15/2019 at 8:13 AM #114918
  Paul

  Hi

  i’am looking at a variation on the trailing stop used in v2.

  This modification has its upside (closing in on gains & quicker profit taking) and downside (missing out on a bigger ride because took profit to quick in hindsight) .

  Didn’t test it yet live and don’t know if it’s 100% correct.

  This is the part which is change on the top of the trailing stop code.

  once steps=0.05 once minatrdist=3 once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance if barindex=tradeindex then trailingstoplong = 4 // trailing stop atr relative distance trailingstopshort = 4 // trailing stop atr relative distance elsif prezzouscita>0 then if longonmarket then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif if shortonmarket then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34

  once steps=0.05 once minatrdist=3   once atrtrailingperiod    = 14   // atr parameter value once minstop              = 10   // minimum trailing stop distance   if barindex=tradeindex then trailingstoplong     = 4   // trailing stop atr relative distance trailingstopshort    = 4   // trailing stop atr relative distance elsif prezzouscita>0 then if longonmarket then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif   if shortonmarket then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/15/2019 at 8:51 AM #114921
  Paul

  here’s it complete

  // trailing stop atr [adjusted reset] once enablets=1 once displayts=1 if enablets then // once steps=0.05 once minatrdist=3 once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance if barindex=tradeindex then trailingstoplong = 5 // trailing stop atr relative distance trailingstopshort = 5 // trailing stop atr relative distance elsif prezzouscita>0 then if longonmarket then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif if shortonmarket then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl=round(atrtrail*trailingstoplong) trailingstarts=round(atrtrail*trailingstopshort) tgl=trailingstartl tgs=trailingstarts // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then//or (longonmarket and condsell) or (shortonmarket and condbuy) then maxprice=0 minprice=close prezzouscita=0 endif // if longonmarket then//and not condsell then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then prezzouscita=maxprice-tgl*pointsize else prezzouscita=maxprice-minstop*pointsize endif endif endif // if shortonmarket then//and not condbuy then minprice=min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then prezzouscita=minprice+tgs*pointsize else prezzouscita=minprice+minstop*pointsize endif endif endif // if onmarket and prezzouscita>0 then exitshort at prezzouscita stop sell at prezzouscita stop endif if displayts then graphonprice prezzouscita coloured(0,0,255,255) as "trailingstop atr" endif endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83

  // trailing stop atr [adjusted reset] once enablets=1 once displayts=1   if enablets then // once steps=0.05 once minatrdist=3   once atrtrailingperiod    = 14   // atr parameter value once minstop              = 10   // minimum trailing stop distance   if barindex=tradeindex then trailingstoplong     = 5   // trailing stop atr relative distance trailingstopshort    = 5   // trailing stop atr relative distance elsif prezzouscita>0 then if longonmarket then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif   if shortonmarket then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl=round(atrtrail*trailingstoplong) trailingstarts=round(atrtrail*trailingstopshort) tgl=trailingstartl tgs=trailingstarts // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then//or (longonmarket and condsell) or (shortonmarket and condbuy) then maxprice=0 minprice=close prezzouscita=0 endif // if longonmarket then//and not condsell then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then prezzouscita=maxprice-tgl*pointsize else prezzouscita=maxprice-minstop*pointsize endif endif endif // if shortonmarket then//and not condbuy then minprice=min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then prezzouscita=minprice+tgs*pointsize else prezzouscita=minprice+minstop*pointsize endif endif endif // if onmarket and prezzouscita>0 then exitshort at prezzouscita stop sell at prezzouscita stop endif if displayts then graphonprice prezzouscita coloured(0,0,255,255) as "trailingstop atr" endif endif

   

  2 users thanked author for this post.

  Balmora74, GraHal

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/15/2019 at 11:48 AM #114926
  GraHal

  Above added as Log 191 to here …

  Snippet Link Library

   

  1 user thanked author for this post.

  Paul

  

  GraHal

  Participant

  Topics: 212

  Replies: 8786

  Been thanked: 2185 times
  12/16/2019 at 1:01 PM #114973
  Stefanb

  Does anyone use US100 V5 live?

  I myself haven’t looked at it since September but see that it has been stable since then.

  

  Stefanb

  Participant

  Topics: 15

  Replies: 74

  Been thanked: 22 times
  12/17/2019 at 6:56 PM #115117
  juju333

  Hi all, with my broker (IG) on CFD, after several days of optimization in demo, at the moment where i wanted to push it to live, ProOrder tells me it needs a stop… The ‘customized’ trailing stop musn’t be well recognized. Has this subjet ever been evoked through the 39 pages ? Many thanks

  

  juju333

  Participant

  Topics: 3

  Replies: 26

  Been thanked: 12 times
  12/18/2019 at 11:13 AM #115146
  Nicolas

  That happen if you are on a limited risk account. All orders must have stoploss attached. I suggest you add a SET STOP PLOSS instruction at the end of the code.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  12/18/2019 at 5:42 PM #115189
  juju333

  Nicolas wrote:

  That happen if you are on a limited risk account. All orders must have stoploss attached. I suggest you add a SET STOP PLOSS instruction at the end of the code.

  Indeed thank you, i only added this instruction SET STOP PLOSS 100 at the end and my code is online. But a warning (cf. attached snapshot) tells me trailing stop are not allowed with risk limited contracts. Impossible to simulate with the proback test which gives me the same result with and without the final instruction SET STOP PLOSS 100. Only live could give me the answer… I push it live.

  

  juju333

  Participant

  Topics: 3

  Replies: 26

  Been thanked: 12 times
  12/19/2019 at 1:01 PM #115248
  Gubben

  Have you asked IG to lighten the restrictions? The first and hardest limit forces guarantued stops but there is an inbetween level. Not sure what each level is referred as here.

  

  Gubben

  Participant

  Topics: 2

  Replies: 58

  Been thanked: 8 times
  12/20/2019 at 10:47 AM #115289
  ALZ

  Juju,

  limited risk account..

  Ask IG by phone to change your current account by “Standard Account”…

  Then, 😉

  

  ALZ

  Participant

  Topics: 8

  Replies: 20

  Been thanked: 0 times
  12/20/2019 at 8:02 PM #115323
  Nacho

  Good afternoon, I update the evolution of the strategy in the Nasdaq, it is working in real account, I am waiting for it to do 2 bad operations to increase a position, but it does not fail, I only carry a losing operation. Regarding the results of Strategy 6.1 on the Dax in November, I think it was an accident, a robot that has been making good numbers in a period of 32 months that is what gives the backtest does not stop working at night In the morning, I understand that if the market changes, it should progressively have worse results, but not always start losing. This month of December is in positive and the last operations are very good …. Good weekend and Merry Christmas!

  5 users thanked author for this post.

  Edurecio, BobFlynn, Paul, bullbear, Balmora74

  

  Nacho

  Participant

  Topics: 0

  Replies: 23

  Been thanked: 10 times
  12/22/2019 at 6:52 AM #115360
  juju333

  Thanks Gubben and ALZ fit your replies. It seems to work with only adding a ploss at the end ! Which doesn’t prevent the custom trailing to work. A good week on DAX. I’m going to push US 100 v5 to live too.

  Balmora, Many thanks for the geometric philosophy of your first idea of this bot, which is very “pure”.

  1 user thanked author for this post.

  Balmora74

  

  juju333

  Participant

  Topics: 3

  Replies: 26

  Been thanked: 12 times
  12/28/2019 at 2:36 PM #115520
  Conny Gustafsson

  Been running the us100 v5.0p and dax v5.0p since aug 14th.

  The us100 has been doing really good. But DAX is still at a loss.

  Are there any new versions of DAX that work better?

  

  Conny Gustafsson

  Participant

  Topics: 0

  Replies: 2

  Been thanked: 0 times
• Author
  Posts