Discussing the strategy VECTORIAL DAX (M5)

• 08/28/2020 at 7:21 PM #142858
  nonetheless

  samsampop wrote:

  where in the code does it calculate the ‘positionsize’ for which PositionSizeLong and PositionSizeShort are derived?

  At line 7 you can have positionsize = any value you like. With MM= 0 it won’t change.

  // VECTORIAL MM - DJ 3m DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize=.5

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  // VECTORIAL MM - DJ 3m DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize=.5

  I have been running a 5m long version of this over the past couple of months. It’s basically a merger between Vectorial and MoD, so far fairly consistent with the back test.

  DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 1 // = 0 for optimization if MM = 0 then positionsize=.5 ENDIF if MM = 1 then ONCE startpositionsize = .5 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // IG first tier margin limit ONCE maxpositionsize = 550 // IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF Ctime = time >= 010000 and time <= 230000 TIMEFRAME(2 hours) Period= 240 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c9 = HULLa > HULLa[1] //c2 = HULLa < HULLa[1] TIMEFRAME(15 minutes) mx1 = average[16,1](close) c7 = mx1 > mx1[1] //c8 = mx1 < mx1[1] TIMEFRAME(10 minutes) mx2 = average[15,0](close) c5 = mx2 > mx2[1] //c6 = mx2 < mx2[1] //Stochastic RSI | indicator lengthRSI = 10//RSI period lengthStoch = 16//Stochastic period smoothK = 16 //Smooth signal of stochastic RSI smoothD = 3 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c3 = K>D //c4 = K<D TIMEFRAME(default) indicator4 = SuperTrend[1,7] c1 = (close > indicator4) //c2 = (close < indicator4) //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 5 ONCE nbChandelierA= 42 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 31 //CondSell1 = ANGLE <= - 25 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 24 ONCE nbChandelierB= 50 lag = 4 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 Ctime and c1 and c3 and c5 and c7 and c9 //CONDSELL = CondSell1 and CondSell2 and Ctime and c2 and c4 and c6 and c8 //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 1.7 SET TARGET %PROFIT 2.1 ENDIF //POSITION COURTE //IF CONDSELL THEN //Sellshort positionsize contract at market //SET STOP %LOSS sls //SET TARGET %PROFIT tps //ENDIF //Break even once breakeven = 1//1 on - 0 off breakevenPercent = .22 PointsToKeep = 2 startBreakeven = tradeprice(1)*(breakevenpercent/100) //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif //**************************************************************************************** // trailing atr stop II once trailingstoptype = 1 // trailing stop - 0 off, 1 on once tsincrements = 0 // set to 0 to ignore tsincrements once tsminatrdist = 2 once tsatrperiod = 14 // ts atr parameter once tsminstop = 12 // ts minimum stop distance once tssensitivity = 0 // [0]close;[1]high/low if trailingstoptype then if barindex=tradeindex then trailingstoplong = 9 // ts atr distance trailingstopshort = 9 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif

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  DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 1 // = 0 for optimization if MM = 0 then positionsize=.5 ENDIF if MM = 1 then ONCE startpositionsize = .5 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // IG first tier margin limit ONCE maxpositionsize = 550 //  IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF   Ctime = time >= 010000 and time <= 230000   TIMEFRAME(2 hours) Period= 240 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c9 = HULLa > HULLa[1] //c2 = HULLa < HULLa[1]   TIMEFRAME(15 minutes) mx1 = average[16,1](close) c7 = mx1 > mx1[1] //c8 = mx1 < mx1[1]   TIMEFRAME(10 minutes) mx2 = average[15,0](close) c5 = mx2 > mx2[1] //c6 = mx2 < mx2[1]   //Stochastic RSI | indicator lengthRSI = 10//RSI period lengthStoch = 16//Stochastic period smoothK = 16 //Smooth signal of stochastic RSI smoothD = 3 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c3 = K>D //c4 = K<D   TIMEFRAME(default) indicator4 = SuperTrend[1,7] c1 = (close > indicator4) //c2 = (close < indicator4)   //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 5 ONCE nbChandelierA= 42 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 31 //CondSell1 = ANGLE <= - 25     //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 24 ONCE nbChandelierB= 50 lag = 4 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 Ctime and c1 and c3 and c5 and c7 and c9 //CONDSELL = CondSell1 and CondSell2 and Ctime and c2 and c4 and c6 and c8     //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 1.7 SET TARGET %PROFIT 2.1 ENDIF   //POSITION COURTE //IF CONDSELL THEN //Sellshort positionsize contract at market //SET STOP %LOSS sls //SET TARGET %PROFIT tps //ENDIF   //Break even once breakeven = 1//1 on - 0 off   breakevenPercent = .22 PointsToKeep = 2 startBreakeven = tradeprice(1)*(breakevenpercent/100)   //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif   //**************************************************************************************** // trailing atr stop II once trailingstoptype     = 1    // trailing stop - 0 off, 1 on   once tsincrements = 0         // set to 0 to ignore tsincrements once tsminatrdist = 2   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 0    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 9   // ts atr distance trailingstopshort    = 9  // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif   tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif

   

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  nonetheless

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  08/28/2020 at 7:32 PM #142863
  Francesco

  Welcome back nonetheless 🙂

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  nonetheless

  

  Francesco

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  08/28/2020 at 8:39 PM #142866
  Artemois

  @nonetheless

  Welcome back 🙂

  I put Your last code above in PRT but my backtest is different from Yours. I also needed to add an “endif” in the end. I’m running version 10.3
  Have I done something wrong?

  

  Artemois

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  08/28/2020 at 8:39 PM #142868
  deletedaccount051022

  Hello nonetheless

  Hope you are well.  Many thanks for your reply.  I just tried your suggestion with the code you posted above and it worked.  I will try to incorporate this back into the version of the Vectorial code I had downloaded preciously.

  Thanks

  S

  

  deletedaccount051022

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  08/28/2020 at 9:37 PM #142869
  nonetheless

  Artemois wrote:

  my backtest is different from Yours

  hi Artemois, live forward tests will always vary from the back test for multiple reasons. Also, I think mine was stopped and restarted some time in August so the MM will have reset. But when I run a back test for those 2 months, I see v similar performance ~91%

  and yes, it does need another endif – got lost in the copy/paste

  

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  08/28/2020 at 9:48 PM #142870
  nonetheless

  Also, please note that i didnt do any WF or VRT for this; the straight back test looked good and I was curious about the basic concept so I put it on demo for a couple of months, that’s all. I’m sure it can be improved

  

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  08/28/2020 at 9:57 PM #142873
  Artemois

  Hi Nonetheless

  My bad, I didn’t understand it was Your actual result but thought it was the backtest 😉

  Below is a backtest for the same dates.

  

  Artemois

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  08/29/2020 at 9:22 AM #142883
  GraHal

  I got same backtest result as Artemois … different / reduced  by a factor of 15 ish from Nonetheless Pro-Order results.

  Big difference … something must be wrong?

  

  GraHal

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  08/29/2020 at 11:51 AM #142890
  GraHal

  This is well weird … I ran Nonetheless code above again 2 mins ago and got completely different results than I was getting last night!

  Nearer / more comparable with None’s now … see attached.  I still get far more drawdown though … mine dd at £947 vs None’s dd at £64

  What do you get this morning @Artemois ??

   

  

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  08/29/2020 at 12:21 PM #142896
  GraHal

  I’m putting attached on Forward Test on Monday … MM turned off and Period = 55 at Line 37.

  Above is all I explored, I’m sure there would be other beneficial changes?

  It be great if we had a Short version or Long and Short in same System?

  Thank You for sharing Nonetheless!

  

  GraHal

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  08/29/2020 at 1:22 PM #142907
  Artemois

  Hi Grahal

  I get the same results today as yesterday

  I made a backtest on the DJ 3m Vectorial V3 for the same period and it has been more succesfull.
  I also made one of  200 kpts

  I find them both interesting!

  Thank You  @Nonetheless  for sharing, it is very interesting as a beginner to se what the more experienced people are doing.

   

  

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  08/29/2020 at 4:31 PM #142921
  nonetheless

  Hi Grahal, how’s it going?

  No idea why you got such varying results from this. I have attached the itf, just in case something got corrupted in the copy/paste. Also the 200k back tests for long and short, with a comparison look at the 3m v3. Obviously the latter is only 13 months, as opposed to 32.

  I also found some tests that I did back in the spring of the 5m long version … seems to check out. But as I said, I really did this out of curiosity to try marrying Balmora’s Vectorial with MoD … and then I kinda forgot about it.

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  08/29/2020 at 4:33 PM #142923
  nonetheless

  more attachments.

  MM=0, positionsize = .5

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  Alfred, boonet, Paul, GraHal, Balmora74

  

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  08/29/2020 at 4:48 PM #142932
  Artemois

  Both the Vectorial and the MOD are very interesting codes. MOD has a slightly bigger problem with DD but apart from that it has potential. This, and especially the 3 min version is good.
  Is there a chance of any further development ?

  

  Artemois

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  08/31/2020 at 10:00 AM #143034
  antonio73

  Ciao Balmora74 vedo che il tuo sistema anche su timeframe ad 1 minuto funziona bene ottimizzato, tu cosa ne pensi?

  Hi Balmora74 I see that your system even on 1 minute timeframe works well optimized, what do you think?

  

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