Discussing the strategy VECTORIAL DAX (M5)

• 10/21/2020 at 2:19 PM #147998
  Paul

  Hi Fifi, that concept can be expanded in multiple ways.

  with above example, i.e. when lowest[barindex-tradeindex](close) was below another line, which means there was a fast run-up where you prevent buying near the top. If prevented buying on the top, it could still be considered to close a short position.

  Also for exits, although then it’s best to have the code below the entry , something like this

  if tradeprice(1)>fibobear62b and highest[barindex-tradeindex](close)<fibobull62b then if close crosses under fibobear62b then sell at market endif endif if tradeprice(1)<fibobull62b and lowest[barindex-tradeindex](close)>fibobear62b then if close crosses over fibobull62b then exitshort at market endif endif

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  if tradeprice(1)>fibobear62b and highest[barindex-tradeindex](close)<fibobull62b then if close crosses under fibobear62b then sell at market endif endif if tradeprice(1)<fibobull62b and lowest[barindex-tradeindex](close)>fibobear62b then if close crosses over fibobull62b then exitshort at market endif endif

  Although all this would not give a greater equitycurve, maybe if programmed well could results in an algo with a smaller stoploss like 0.5 to 1%.

   

   

   

   

  

  Paul

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  10/21/2020 at 4:16 PM #148004
  fifi743

  Hi Paul,
  I will test.
  Lowering the SL A 1 is good, I don’t think underneath.

  

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  10/21/2020 at 8:10 PM #148032
  Paul

  i’am was optimistic 🙂 lowering it to 1% would be nice for this timeframe. For now I keep it for testing at 2%.

  I did had a look at the reversal exit code.

  While I splitted short in 3 sections, there are all the same.

  The problem was long which didn’t work before, there splitting worked. Ofcourse all curvefitting after the fact.

  It’s not robust, because i.e. slippage & high spread could influence this too. But I always like to try something new even if it fails.

  The idea; if the position doesn’t gain ground after opening,  the criteria for the range is lower which increases the chance for an early exit.

  Also a gap rewrite.

  // reversal exit once longexit =1 once shortexit=1 if longexit then if longonmarket and highest[barindex-tradeindex](high)-tradeprice(1)<25 then minrangedistL1=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)*minrangedistL1 or range[1]>(close[1]/1000)*minrangedistL1 or range[1]>(close[1]/1000)*minrangedistL1) if cl1 and cl2 and cl3 and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif if longonmarket and (highest[barindex-tradeindex](high)-tradeprice(1)>=25 and highest[barindex-tradeindex](high)-tradeprice(1)<50) then minrangedistL2=3 cl1a=close<open and close[1]<open[1] and close[2]<open[2] cl2a=(close=low or close[1]=low[1] or close[2]=low[2]) cl3a=(range>(close/1000)*minrangedistL2 or range[1]>(close[1]/1000)*minrangedistL2 or range[1]>(close[1]/1000)*minrangedistL2) if cl1a and cl2a and cl3a and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif if longonmarket and highest[barindex-tradeindex](high)-tradeprice(1)>=50 then minrangedistL3=4 cl1b=close<open and close[1]<open[1] and close[2]<open[2] cl2b=(close=low or close[1]=low[1] or close[2]=low[2]) cl3b=(range>(close/1000)*minrangedistL3 or range[1]>(close[1]/1000)*minrangedistL3 or range[1]>(close[1]/1000)*minrangedistL3) if cl1b and cl2b and cl3b and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif endif if shortexit then if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex](low)<25 then minrangedistS1=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)*minrangedistS1 or range[1]>(close[1]/1000)*minrangedistS1 or range[1]>(close[1]/1000)*minrangedistS1) if cs1 and cs2 and cs3 and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif if shortonmarket and (tradeprice(1)-lowest[barindex-tradeindex](low)>=25 and tradeprice(1)-lowest[barindex-tradeindex](low)-tradeprice(1)<50) then minrangedistS2=1.5 cs1a=close>open and close[1]>open[1] and close[2]>open[2] cs2a=(close=high or close[1]=high[1] or close[2]=high[2]) cs3a=(range>(close/1000)*minrangedistS2 or range[1]>(close[1]/1000)*minrangedistS2 or range[1]>(close[1]/1000)*minrangedistS2) if cs1a and cs2a and cs3a and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex](low)>=50 then minrangedistS3=1.5 cs1b=close>open and close[1]>open[1] and close[2]>open[2] cs2b=(close=high or close[1]=high[1] or close[2]=high[2]) cs3b=(range>(close/1000)*minrangedistS3 or range[1]>(close[1]/1000)*minrangedistS3 or range[1]>(close[1]/1000)*minrangedistS3) if cs1b and cs2b and cs3b and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif endif if onmarket then if dayofweek=0 and (hour=0 and minute>=57) then if shortonmarket and close>dopen(0) and dopen(0)-dclose(1)>50 then exitshort at market endif if longonmarket and close<dopen(0) and dclose(1)-dopen(0)>50 then sell at market endif endif endif

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  // reversal exit once longexit =1 once shortexit=1   if longexit then if longonmarket and highest[barindex-tradeindex](high)-tradeprice(1)<25 then minrangedistL1=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)*minrangedistL1 or range[1]>(close[1]/1000)*minrangedistL1 or range[1]>(close[1]/1000)*minrangedistL1) if  cl1 and cl2 and cl3 and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif if longonmarket and (highest[barindex-tradeindex](high)-tradeprice(1)>=25 and highest[barindex-tradeindex](high)-tradeprice(1)<50) then minrangedistL2=3 cl1a=close<open and close[1]<open[1] and close[2]<open[2] cl2a=(close=low or close[1]=low[1] or close[2]=low[2]) cl3a=(range>(close/1000)*minrangedistL2 or range[1]>(close[1]/1000)*minrangedistL2 or range[1]>(close[1]/1000)*minrangedistL2) if  cl1a and cl2a and cl3a and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif if longonmarket and highest[barindex-tradeindex](high)-tradeprice(1)>=50 then minrangedistL3=4 cl1b=close<open and close[1]<open[1] and close[2]<open[2] cl2b=(close=low or close[1]=low[1] or close[2]=low[2]) cl3b=(range>(close/1000)*minrangedistL3 or range[1]>(close[1]/1000)*minrangedistL3 or range[1]>(close[1]/1000)*minrangedistL3) if  cl1b and cl2b and cl3b and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then sell at market endif endif endif   if shortexit then if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex](low)<25 then minrangedistS1=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)*minrangedistS1 or range[1]>(close[1]/1000)*minrangedistS1 or range[1]>(close[1]/1000)*minrangedistS1) if  cs1 and cs2 and cs3 and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif if shortonmarket and (tradeprice(1)-lowest[barindex-tradeindex](low)>=25 and tradeprice(1)-lowest[barindex-tradeindex](low)-tradeprice(1)<50) then minrangedistS2=1.5 cs1a=close>open and close[1]>open[1] and close[2]>open[2] cs2a=(close=high or close[1]=high[1] or close[2]=high[2]) cs3a=(range>(close/1000)*minrangedistS2 or range[1]>(close[1]/1000)*minrangedistS2 or range[1]>(close[1]/1000)*minrangedistS2) if  cs1a and cs2a and cs3a and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif if shortonmarket and tradeprice(1)-lowest[barindex-tradeindex](low)>=50 then minrangedistS3=1.5 cs1b=close>open and close[1]>open[1] and close[2]>open[2] cs2b=(close=high or close[1]=high[1] or close[2]=high[2]) cs3b=(range>(close/1000)*minrangedistS3 or range[1]>(close[1]/1000)*minrangedistS3 or range[1]>(close[1]/1000)*minrangedistS3) if  cs1b and cs2b and cs3b and (high>high[1] or low<low[1]) and barindex-tradeindex>=3 then exitshort at market endif endif endif   if onmarket then if dayofweek=0 and (hour=0 and minute>=57)  then if shortonmarket and close>dopen(0) and dopen(0)-dclose(1)>50 then exitshort at market endif if longonmarket and close<dopen(0) and dclose(1)-dopen(0)>50 then sell at market endif endif endif

   

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  Paul

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  10/22/2020 at 9:20 AM #148058
  Tanou

  That looks promising 🙂

   

  Can you update us with the .itf file @Paul? 😉

  

  Tanou

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  10/22/2020 at 11:29 AM #148075
  VinzentVega

  This setup is working very unklucky the last 7 days. Every time switching the position on low/high and turn into the other side. 9 SL in a row is not normal for that strategy. Hope it will work  better the next days.

  Attached the new itf.

  

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  10/22/2020 at 1:54 PM #148086
  Paul

  @Tanou not as this moment, the posted v5b is fine.

  

  Paul

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  10/22/2020 at 2:07 PM #148088
  volpiemanuele

  Hi, I have added a routine that close position if loss or profit aftert X bar and I have optimize the variable longexit (for reversal)…it seems to have some improvement. Thanks

  

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  10/22/2020 at 2:30 PM #148091
  Paul

  funny, by mistake I’ve loaded up v5p on the dax 10s

  with these settings ;

  once tradetype = 1 // [1]long/short [2]long [3]short once reenter = 1 // [1]on [0]off (off ignores positionperftype/value below) once positionperftype = 1 // [0]loss/gain [1]loss [2]gain once positionperfvalue = 0 // % (0 or higher)

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  once tradetype         = 1 // [1]long/short [2]long [3]short once reenter           = 1 // [1]on [0]off (off ignores positionperftype/value below) once positionperftype  = 1 // [0]loss/gain [1]loss [2]gain once positionperfvalue = 0 // % (0 or higher)

   

  

  Paul

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  10/22/2020 at 2:44 PM #148094
  boonet

  @Paul

  Its 10s yes, but on DJ, not DAX right?

  

  boonet

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  10/22/2020 at 2:55 PM #148095
  VinzentVega

  boonet wrote:

  @Paul

  Its 10s yes, but on DJ, not DAX right?

  It´s DAX

  

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  10/22/2020 at 2:56 PM #148096
  Paul

  no loaded on the dax 10s, the dj version for 3 min v3p5

  

  Paul

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  10/22/2020 at 3:04 PM #148097
  eckaw

  Interesting Paul! If one were to optimise this strategy weekly / monthly, which parameters would you then optimise? I had a pretty bad week recently and wondering if it would be better to run it with weekly / monthly optimisations?

  

  eckaw

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  10/22/2020 at 4:48 PM #148107
  Nicoeni1

  @volpiemanuele, thanks for all yours algos. I launch the DJ-3m-Vectorial-V3p5_v1, but it crashed.

  

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  10/22/2020 at 8:33 PM #148127
  ichimoku18

  Hi @Paul, shouldn’t the code:

  (range>(close/1000)*minrangedist– or range[1]>(close[1]/1000)*minrangedist– or range[1]>(close[1]/1000)*minrangedist–)

  be

  (range>(close/1000)*minrangedist– or range[1]>(close[1]/1000)*minrangedist– or range[2]>(close[2]/1000)*minrangedist–)

  on all occurences (–) in the code you posted?

  

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  10/23/2020 at 6:51 AM #148146
  volpiemanuele

  @Nicoeni1: I was wrong to share the file … this is the correct one that I also use in real. Thanks

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  volpiemanuele

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