Discussing the strategy VECTORIAL DAX (M5)

• 03/20/2019 at 9:33 PM #94203
  Balmora74

  Hi Vonasi ! I recently worked on a new version of the code based on the various suggestions of this thread (Paul and Jebus89 in particular). I also did a Walk Forward on the variable “lag”. I also took into account your recommendations on the size of the positions and I added your code on money management. Here is the code and below the results. I would be happy to have your feedback and opinion. Thank you.

  Vectorial - DAX WFE1.1

  // ROBOT VECTORIAL DAX // M5 // SPREAD 1.5 // by BALMORA 74 - FEBRUARY 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 MoneyManagement = 2 RiskManagement = 0 Capital = 10000 MinBetSize = 1 RiskLevel = 20 Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize) // TAILLE DES POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= - 40 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSizeLong contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSizeShort contract at market SET STOP %LOSS 2 ENDIF //VARIABLES STOP SUIVEUR ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket 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 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 ENDIF

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  // ROBOT VECTORIAL DAX // M5 // SPREAD 1.5 // by BALMORA 74 - FEBRUARY 2019   DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000     //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000     MoneyManagement = 2 RiskManagement = 0 Capital = 10000 MinBetSize = 1 RiskLevel = 20 Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize)   // TAILLE DES POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize   //STRATEGIE   //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= - 40     //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1)       //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB     //POSITION LONGUE IF CONDBUY THEN buy PositionSizeLong contract at market SET STOP %LOSS 2 ENDIF   //POSITION COURTE IF CONDSELL THEN Sellshort PositionSizeShort contract at market SET STOP %LOSS 2 ENDIF   //VARIABLES STOP SUIVEUR ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong     = 4    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 4    // Trailing Stop Atr Relative Distance   ONCE atrtrailingperiod    = 14  // Atr parameter Value ONCE minstop              = 0    // Minimum Trailing Stop Distance     // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then   MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket 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 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 ENDIF

   

   

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  Balmora74

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  03/20/2019 at 9:57 PM #94209
  Vonasi

  My at glance feelings are that there are quite a number of variables that could all be curve fitted or a combination of variables be curve fitted which is going to be quite a bit of analysis to see how much affect each variable or combination of variables has. Even simple variables like the stop loss distances can be very curve fitted and will need to be included or eliminated from the analysis.

  One thing I do notice is that you have MINSTOP set to zero which will always massively improve a strategy performance. In the real world the brokers set a minimum stop distance and even change this based on volatility so a setting of zero is the perfect world and the perfect world is not something we can trade in!

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  03/20/2019 at 10:13 PM #94211
  Balmora74

  Yes i understand. But a interesting thing is that if you turn off the trailing stop (ONCE trailingStopType = 0) the equity curve is quite good and the strategy profit is the same (we just have a highest draw down).

  

  Balmora74

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  03/20/2019 at 10:18 PM #94213
  Vonasi

  I’ve given up trying to find a trailing stop that actually improves a strategy. It might just be my trading style but also there are usually too many variables in a trailing stop code that make me fear curve fitting.

  Please post the non-trailing code equity curves if you can.

  Also I would recommend only ever developing and forward testing with level stakes as money management just adds one extra level of confusion to strategy development. Once you are totally happy and confident in a strategy then add it and put it live if it still backtests well with the money management active.

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  03/20/2019 at 10:23 PM #94214
  Balmora74

  Ok so i put on value = 0 the variables “MoneyManagement” and “trailingStopType”. These a the results :

   

   

  

  Balmora74

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  03/20/2019 at 10:30 PM #94218
  Balmora74

  Sorry these are the good pictures below with “MoneyManagement” and “trailingStopType” = 0

  

  Balmora74

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  03/21/2019 at 8:21 AM #94236
  Vonasi

  That still looks like a very nice equity curve, especially considering the 49% win rate and proves that the trailing stop adds very little to the basic concept. Now you just need to check how various combinations of variables (including the % stop levels) change results to find out if you are sitting on a curve fitted cliff edge. Unfortunately I have to drive up to Athens and back again today so I won’t be able to help much with this.

  

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  03/21/2019 at 9:13 AM #94244
  Balmora74

  I will put on demo account different version for 6 month and look at if after…

  

  Balmora74

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  03/21/2019 at 4:05 PM #94325
  Vonasi

  I’m back from Athens now! Forward testing for a long period is the best test possible – and so much easier than testing and analysing all variable combinations in backtests!

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  winnie37

  

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  03/21/2019 at 4:56 PM #94334
  Balmora74

  When you speak of forward testing you wan to say on a demo account ? Or with Walk Forward ?

  

  Balmora74

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  03/21/2019 at 5:40 PM #94343
  Vonasi

  Live on demo.

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  03/25/2019 at 10:41 AM #94605
  capgros

  Good morning everyone,

  Thanks Balmora74 for this strategy, I am trying to run it on live demo since last thursday 21, but it took one trade that day and since then, last friday and today system stops because order requests fail… I am a newbie so I can´t understand why this is happening, if someone can help me to understand and try to solve it. Attach you can find the message I get and all the failed attempts from this morning. Thanks a lot in advance!

  

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  03/25/2019 at 10:47 AM #94612
  Balmora74

  Hello capgros ! I have the same problem since friday on my account for different strategy based on CFD Dax 30 (1 euros). Strategy have shutdown and i have to re-start them manually. I think it’s perhaps a problem who can be linked to ongoing account migrations from IG Markets to IG Europe… ?

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  capgros

  

  Balmora74

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  03/25/2019 at 10:57 AM #94618
  capgros

  Aaaaah, maybe you are right, because it is the same for me, not only your strategy stopped but some of them, and some not. Ok I will keep restarting all of them manually and will see what´s going on next days. Will keep you updated. Cheers

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  capgros

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  03/25/2019 at 11:18 AM #94636
  Vonasi

  See here for a discussion regarding stopped strategies and rejected orders.

  https://www.prorealcode.com/topic/strategies-stopped-due-to-rejected-orders-lack-of-info/#post-93069

   

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