Discussing the strategy VECTORIAL DAX (M5)

• 10/19/2020 at 3:01 PM #147761
  Paul

  Here’s the code I was thinking about. In general I don’t like to keep a position over the weekend, but if there is one. Put the gap 50 to 0 to have it always active with or without positionperformance.

  if onmarket then if dayofweek=0 and (hour=0 and minute>=57) and abs(dopen(0)-dclose(1))>50 and positionperf(0)>0 then if shortonmarket and close>dopen(0) then exitshort at market endif if longonmarket and close<dopen(0) then sell at market endif endif endif

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  if onmarket then if dayofweek=0 and (hour=0 and minute>=57) and abs(dopen(0)-dclose(1))>50 and positionperf(0)>0 then if shortonmarket and close>dopen(0) then exitshort at market endif if longonmarket and close<dopen(0) then sell at market endif endif endif

   

  

  Paul

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  10/19/2020 at 3:37 PM #147770
  Tanou

  I think this could be very useful! This fraiday I had an order that starts at 20:10 and was about to get an over weekend position so I cuted i in the positive as I didn’t want to keep it!

   

  
  @Paul, do you have any ideas that you’d like to test or changes to make that you think of and that I could try and give you feedback on to get more gain. I run out of ideas…

  

  Tanou

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  10/19/2020 at 4:37 PM #147779
  Paul

  well atm I ran out of idea’s too. What I wonder instead of increasing the gains, not to prevent a bad entry, but how to react to a bad entry such as today. Just to watch the market going opposite and al you can do is hope it will reverse course.

  Something like if there are no certain gains made after the position is entered, close after xx bars=time.

  here’s something to test 🙂

  So you need to see a gain of atleast 20 points in 3 hours after a position is taken or else close it.

  I don’t know if I want to go down this road with curvefitting. There’s already plenty!

  if longonmarket and highest[barindex-tradeindex(1)](high)-tradeprice(1)<20 and barindex-tradeindex>80 then sell at market endif if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex(1)](low)<20 and barindex-tradeindex>80 then //exitshort at market endif

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  if longonmarket and highest[barindex-tradeindex(1)](high)-tradeprice(1)<20 and barindex-tradeindex>80 then sell at market endif if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex(1)](low)<20 and barindex-tradeindex>80 then //exitshort at market endif

   

   

  

  Paul

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  10/19/2020 at 4:50 PM #147782
  Tanou

  THAT’S EXACTLY WHAT I WAS TRYING NOW! 😀

   

  I think it could be a great way to cut some positions sooner to prvent losses 🙂

  I am also trying to get this system with a stochastic momentum index more than bars, I’ll try both and see 😉

  

  Tanou

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  10/19/2020 at 4:56 PM #147783
  Tanou

  And in you’re code you wrote 80 bars which is 4 hours and not 3 just ! 😉

  

  Tanou

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  10/19/2020 at 5:47 PM #147786
  Tanou

  I tried this, bit better ratio but less gain obviously….

  //SL above 0 if more than X hours and positive SLafterXhours=0 if longonmarket and barindex-tradeindex>60 then if close-tradeprice(1)>=2 then sell at SLafterXhours STOP endif endif if shortonmarket and barindex-tradeindex>40 then if tradeprice(1)-close>=2 then EXITSHORT at SLafterXhours STOP endif endif

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  //SL above 0 if more than X hours and positive   SLafterXhours=0   if longonmarket and barindex-tradeindex>60 then if close-tradeprice(1)>=2 then sell at SLafterXhours STOP endif endif   if shortonmarket and barindex-tradeindex>40 then if tradeprice(1)-close>=2 then EXITSHORT at SLafterXhours STOP endif endif

   

  

  Tanou

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  10/19/2020 at 9:48 PM #147802
  Paul

  I would refrain from using stop orders and use market, especially on fast timeframe. Then you don’t have to mess with rejections etc.

  Actually there is already an already exit available in the code but it wasn’t used. (spreaking v3p5)

  Maybe this one can be improved? Short was already active but for long was not used.  If it was active with value minrangedistL=1 it would h’ve exit long way earlier.

  Using it as is, with addition that if there is not enough gains, the minrangedistance gets reduced. So start at 3 and reducing it to 1.

  // reversal exit once longexit =1 once shortexit=1 if longexit then if longonmarket then minrangedistL=1 cl1=close<open and close[1]<open[1] and close[2]<open[2] cl2=(close=low or close[1]=low[1] or close[2]=low[2]) cl3=(range>(close/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL) if cl1 and cl2 and cl3 then sell at market endif endif endif if shortexit then if shortonmarket then minrangedistS=1.5 cs1=close>open and close[1]>open[1] and close[2]>open[2] cs2=(close=high or close[1]=high[1] or close[2]=high[2]) cs3=(range>(close/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS) if cs1 and cs2 and cs3 then exitshort at market endif endif endif

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  // reversal exit once longexit =1 once shortexit=1 if longexit then if longonmarket then minrangedistL=1 cl1=close<open and close[1]<open[1] and close[2]<open[2] cl2=(close=low or close[1]=low[1] or close[2]=low[2]) cl3=(range>(close/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL) if  cl1 and cl2 and cl3 then sell at market endif endif endif   if shortexit then if shortonmarket then minrangedistS=1.5 cs1=close>open and close[1]>open[1] and close[2]>open[2] cs2=(close=high or close[1]=high[1] or close[2]=high[2]) cs3=(range>(close/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS) if  cs1 and cs2 and cs3 then exitshort at market endif endif endif

   

   

   

  

  Paul

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  10/19/2020 at 10:35 PM #147803
  XORANDNOT

  Just replaced the trailing stops with an ordinary trailing stop, and added a new profit taking routine to the old version Vectorial Dax V3 (04/13/2019, #96328). Code is shorter, and after some nice curve fitting, gain has doubled.

  

  XORANDNOT

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  10/19/2020 at 11:22 PM #147808
  Paul

  an ordinary trailing-stop is not a ptrailing stop used in one strategy as in general it’s not recommended. But it’s good to take a step back sometimes and have a short & effective code. Whatever works!

  

  Paul

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  10/20/2020 at 8:10 AM #147826
  MAKSIDE

  LR = LinearRegression[1] LRslope = LR[0] - LR[1] LRslopebuy = LRsplope > 0

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  LR = LinearRegression[1] LRslope = LR[0] - LR[1] LRslopebuy = LRsplope > 0

  I added this condition for the uptrend. Yesterday’s trade was really catastrophic..

  It’s another version of Vectorial .. but maybe an idea around that

  

  MAKSIDE

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  10/20/2020 at 8:43 AM #147837
  VinzentVega

  The yesterdays SL was the 4th full SL (2%) and the 8th SL bigger than 1% this year. Actually the profit rate in October is bad. To many small winners on one side, and to many loosing trades on the other side. But up to now, this month ist not negativ. But also, it don´t needs one more big looser again.

  

  VinzentVega

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  10/20/2020 at 9:53 AM #147866
  Tanou

  Hello Paul,

  You mean like that? Because implementing it this way didn’t get pretty good results…

   

  //------------------------------------------------------------------------- // Code principal : Vectorial DJ 3 min V3 //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : DJ 3m Vectorial V3 //------------------------------------------------------------------------- // VECTORIAL MM - DJ 3m DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = .2 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.05)// 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 //HORAIRES DE TRADING Ctime = time >= 153000 and time < 210000 //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE i1 = HistoricVolatility[10](close) c1 = (i1 >= 0.06) ONCE PeriodeA = 4 ONCE nbChandelierA= 30 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CB1 = ANGLE >= 32 CS1 = ANGLE <= - 44 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 30 ONCE nbChandelierB= 35 lag = 0 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CB2 = (pente > trigger) AND (pente < 0) CS2 = (pente CROSSES UNDER trigger) AND (pente > - 0.5) mx = average[110,0](close) CB3 = mx > mx[1] mx2 = average[20,0](close) CS3 = mx2 < mx2[1] //ENTREES EN POSITION CONDBUY = CB1 and CB2 and CB3 and CTime and c1 CONDSELL = CS1 and CS2 and CS3 and Ctime and c1 //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 2.6 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort positionsize contract at market SET STOP %LOSS 0.6 ENDIF //SET TARGET %PROFIT 2 //Break even breakevenPercent = .13 PointsToKeep = 1 startBreakeven = tradeprice(1)*(breakevenpercent/100) once breakeven = 1//1 on - 0 off //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 // reversal exit once longexit =1 once shortexit=1 if longexit then if longonmarket then minrangedistL=1 cl1=close<open and close[1]<open[1] and close[2]<open[2] cl2=(close=low or close[1]=low[1] or close[2]=low[2]) cl3=(range>(close/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL) if cl1 and cl2 and cl3 then sell at market endif endif endif if shortexit then if shortonmarket then minrangedistS=1.5 cs1=close>open and close[1]>open[1] and close[2]>open[2] cs2=(close=high or close[1]=high[1] or close[2]=high[2]) cs3=(range>(close/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS) if cs1 and cs2 and cs3 then exitshort at market endif endif endif

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  //------------------------------------------------------------------------- // Code principal : Vectorial DJ 3 min V3 //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : DJ 3m Vectorial V3 //------------------------------------------------------------------------- // VECTORIAL MM - DJ 3m DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = .2 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.05) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.05)// 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     //HORAIRES DE TRADING Ctime = time >= 153000 and time < 210000     //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE   i1 = HistoricVolatility[10](close) c1 = (i1 >= 0.06)   ONCE PeriodeA = 4 ONCE nbChandelierA= 30 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CB1 = ANGLE >= 32 CS1 = ANGLE <= - 44     //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 30 ONCE nbChandelierB= 35 lag = 0 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CB2 = (pente > trigger) AND (pente < 0) CS2 = (pente CROSSES UNDER trigger) AND (pente > - 0.5)   mx = average[110,0](close) CB3 = mx > mx[1] mx2 = average[20,0](close) CS3 = mx2 < mx2[1]   //ENTREES EN POSITION CONDBUY = CB1 and CB2 and CB3 and CTime and c1 CONDSELL = CS1 and CS2 and CS3 and Ctime and c1     //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 2.6 ENDIF   //POSITION COURTE IF CONDSELL THEN Sellshort positionsize contract at market SET STOP %LOSS 0.6 ENDIF   //SET TARGET %PROFIT 2   //Break even breakevenPercent = .13 PointsToKeep = 1 startBreakeven = tradeprice(1)*(breakevenpercent/100)   once breakeven = 1//1 on - 0 off //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   // reversal exit once longexit =1 once shortexit=1 if longexit then if longonmarket then minrangedistL=1 cl1=close<open and close[1]<open[1] and close[2]<open[2] cl2=(close=low or close[1]=low[1] or close[2]=low[2]) cl3=(range>(close/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL or range[1]>(close[1]/1000)*minrangedistL) if  cl1 and cl2 and cl3 then sell at market endif endif endif   if shortexit then if shortonmarket then minrangedistS=1.5 cs1=close>open and close[1]>open[1] and close[2]>open[2] cs2=(close=high or close[1]=high[1] or close[2]=high[2]) cs3=(range>(close/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS or range[1]>(close[1]/1000)*minrangedistS) if  cs1 and cs2 and cs3 then exitshort at market endif endif endif

   

  

  Tanou

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  10/20/2020 at 10:07 AM #147870
  Tanou

  I just tried both of your versions with 200k . It’s looking quite good but I wouldn’t let it alone in real. The profit factor is too small for a 45% winning strategie…!

   

  I tried to change few things but doesn’t work 🙁

  

  Tanou

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  10/20/2020 at 10:34 AM #147877
  Paul

  Tanou something like that, but using long didn’t work. How’s short only?

  ps nobody uses WF or HE?

  

  Paul

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  10/20/2020 at 10:36 AM #147878
  Tanou

  In the code that I put above both long and short were active if I’m not wrong!

   

  What do you mean by WF and HE?

   

  

  Tanou

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