Discussing the strategy VECTORIAL DAX (M5)
- This topic has 1,260 replies, 124 voices, and was last updated 2 months ago by
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Not even your name!
Hey – if it makes a million then by all mean put my name on it. If not then I’ve got my name on enough of my own rubbish strategies and I really don’t need another one.
1 user thanked author for this post.
Better 🙂
Possibly over op.
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104// ROBOT VECTORIAL DAX v2// M5// SPREAD = 1// by BALMORA 74 - APRIL 2019DEFPARAM CumulateOrders = falseDEFPARAM Preloadbars = 50000//TRADING TIMECtimeA = time >= 150000 and time <= 220000CtimeB = time >= 150000 and time <= 220000//POSITION SIZEPositionSize = 1//STRATEGYONCE PeriodeA = 10ONCE nbChandelierA= 15ONCE PeriodeB = 20ONCE nbChandelierB= 35ONCE lag = 1.5MMA = Exponentialaverage[PeriodeA](close)ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierAANGLE = (ATAN(ADJASUROPPO))MMB = Exponentialaverage[PeriodeB](close)pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierBtrigger = Exponentialaverage[PeriodeB+lag](pente)//BUY CONDITIONSCondBuy1 = ANGLE >= 4CondBuy2 = (pente > trigger) AND (pente < 0)CondBuy3 = average[100](close) > average[100](close)[1]CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA//SHORT CONDITIONSCondSell1 = ANGLE <= - 55CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1)CondSell3 = average[20](close) < average[20](close)[1]CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB//POSITION LONGUEIF CONDBUY THENbuy PositionSize contract at marketSET STOP %LOSS 2ENDIF//POSITION COURTEIF CONDSELL THENSellshort PositionSize contract at marketSET STOP %LOSS 2ENDIF//TRAILING STOPONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ONONCE trailingstoplong = 8 // Trailing Stop Atr Relative DistanceONCE trailingstopshort = 5 // Trailing Stop Atr Relative DistanceONCE atrtrailingperiod = 30 // Atr parameter ValueONCE minstop = 0 // Minimum Trailing Stop Distance// TRAILINGSTOP//----------------------------------------------atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000trailingstartl = round(atrtrail*trailingstoplong)trailingstartS = round(atrtrail*trailingstopshort)if trailingStopType = 1 THENTGL =trailingstartlTGS=trailingstartsif not onmarket thenMAXPRICE = 0MINPRICE = closePREZZOUSCITA = 0ENDIFif longonmarket thenMAXPRICE = MAX(MAXPRICE,close)if MAXPRICE-tradeprice(1)>=TGL*pointsize thenif MAXPRICE-tradeprice(1)>=MINSTOP thenPREZZOUSCITA = MAXPRICE-TGL*pointsizeELSEPREZZOUSCITA = MAXPRICE - MINSTOP*pointsizeENDIFENDIFENDIFif shortonmarket thenMINPRICE = MIN(MINPRICE,close)if tradeprice(1)-MINPRICE>=TGS*pointsize thenif tradeprice(1)-MINPRICE>=MINSTOP thenPREZZOUSCITA = MINPRICE+TGS*pointsizeELSEPREZZOUSCITA = MINPRICE + MINSTOP*pointsizeENDIFENDIFENDIFif onmarket and PREZZOUSCITA>0 thenEXITSHORT AT PREZZOUSCITA STOPSELL AT PREZZOUSCITA STOPENDIFENDIF1 user thanked author for this post.
I post here the last version of the code :
Vectorial DAX v2 (WFE) //with Paul contribution
Vectorial US100 v2(WFE) // with bullbear contribution
I think it is also possible to have good results on CFD Wall Street (DJIA)
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an optimisation does already exist on DJIA?
Yes i forgot it 🙂
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I started a Forward Test Log on the Thread link below.
The Vectorial strategy has lots of interest and good performance (thank you for sharing @Balmora74) so I decided to log my Forward Tests in this spreadsheet Forward Test – Sys Perf.
Feel free anybody to log your Forward Test performance as described in the link below.
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Thanks for sharing your spreadsheet @Grahal.
I have questions :
- For the column “Average Gain per Trade” do you use the Vonasi code “Average Gain per 1” ?
- On the column Market we can see “DAX” but on your attachement pictures we can see the test on Wall Street (DFB) ?
- With timeframe M1 and not M5 ? In all my backtest it seems to works well in M5 and H4 for information…
Thanks.
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I have questions :
Well spotted! It’s good to share cos others help to get it right! 🙂
- Yes I would always base my Av per trade on 1 Lot, but by checking the Orders tab, column Qty and do a calc in my head. I always only trade 1 lot on Fwd Test (unless market forces me to do otherwise) for equal comparison etc. So no I don’t use Vonasi code “Average Gain per 1” .
- My mistake, the Fwd Test was on DJI / Wall Street (I corrected the Log, thanks). I left your filename as DAX by mistake.
- Yes 1 min on DJI, but I also have 2 other versions running on 5 min on DAX, I will add the performance of these later.
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Is there any version on five minutes on DJIA or Cac for example ?
This was part of my reason for proposing that we enter performance on here
Forward Test – Sys Perf then we easily see what versions are being Forward Tested by readers of this Topic.
This is a good strategy, but there are so many versions it is not easy to see from reading the text / comments which versions have been superseded?
If anybody has a better idea for an easy way for us all to know which versions are good then I’d be all for it.
1 user thanked author for this post.
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