Discussing the strategy VECTORIAL DAX (M5)

• 10/27/2020 at 11:39 AM #148647
  paisantrader

  Artemois wrote:

  The “DAX 10s -vectoril v3p5 v2” is crashing for me when it takes a position, it just did. Does anyone else encounter the same problem ?

  Mine says running and the last was position took was at 9:13 that exited at 9:59.

  

  paisantrader

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  10/27/2020 at 11:43 AM #148648
  Nicoeni1

  @Artemois,
  mine is running, but it didn’t take a position. The last one exited at 10h18 (french time)

  

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  10/27/2020 at 12:03 PM #148650
  paisantrader

  Paul wrote:

  @paisantrader Thnx I see you left the stop-loss at 2%. That’s too much for a 10s timeframe I think.

  Fortunately if it’s changed to 0.4 or 0.5% it has no or very minimal impact on results, that’s on the dow version.

  I realize that I was too focused on the trailing stop and wasn’t 100% how it worked. Thought it set it already from the start and the regular SL was there just to set a default value. But after a test, I see a big difference. Thank you for pointing out our mistakes, much appreciated!

  2% -> 0.4% doubled the profit.

  

  paisantrader

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  10/27/2020 at 1:16 PM #148652
  Tanou

  @Paisantrader can you post your itf files? 🙂

  

  Tanou

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  10/27/2020 at 3:26 PM #148673
  paisantrader

  Tanou wrote:

  @Paisantrader can you post your itf files? 🙂

  What I posted above was just sll and sls. Changed it from 2 to 0.4.

  I’m running 3 version on Dow today, since I’m quite sure that what worked yesterday, will not work today or at least far from yesterdays numbers.

  1. The one already posted here
  2. Optimized before opening today and 100k bars
  3. Optimized before opening today and 5k bars, roughly 22:00 – before opening

  Just a little testing for my own sake 🙂

  

  paisantrader

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  10/27/2020 at 4:12 PM #148680
  Paul

  Hi, so if there’s a stoploss of 0.4 or 0.5% why not use as backup an atr stoploss or/and profit target.

  I prefer to leave the original setting for the % stoploss with set the set command intact

  Here’s a quick code.  I’ve doubt if it should close[0] or close[1].

  // ATR Stops and targets IF LONGONMARKET THEN atrstop = positionprice - (10* AverageTrueRange[14](CLOSE)[0]) atrtarget = positionprice +(10* AverageTrueRange[14](CLOSE)[0]) Endif if shortonmarket then atrstop = positionprice + (10* AverageTrueRange[14](CLOSE)[0]) atrtarget = positionprice -(10* AverageTrueRange[14](CLOSE)[0]) endif if longonmarket then if high crosses over atrtarget then sell at market endif if low crosses under atrstop then sell at market endif graphonprice atrstop graphonprice atrtarget endif if shortonmarket then if low crosses under atrtarget then exitshort at market endif if high crosses over atrstop then exitshort at market endif graphonprice atrstop graphonprice atrtarget endif

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  // ATR Stops and targets IF LONGONMARKET THEN atrstop = positionprice - (10* AverageTrueRange[14](CLOSE)[0])   atrtarget = positionprice +(10* AverageTrueRange[14](CLOSE)[0]) Endif   if shortonmarket then atrstop = positionprice + (10* AverageTrueRange[14](CLOSE)[0]) atrtarget = positionprice -(10* AverageTrueRange[14](CLOSE)[0]) endif   if longonmarket then if high crosses over atrtarget then sell at market endif if low crosses under atrstop then sell at market endif graphonprice atrstop graphonprice atrtarget endif   if shortonmarket then if low crosses under atrtarget then exitshort at market endif if high crosses over atrstop then exitshort at market endif graphonprice atrstop graphonprice atrtarget endif

   

  

  Paul

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  10/27/2020 at 7:23 PM #148715
  paisantrader

  Paul wrote:

  Hi, so if there’s a stoploss of 0.4 or 0.5% why not use as backup an atr stoploss or/and profit target.

  I prefer to leave the original setting for the % stoploss with set the set command intact

  Here’s a quick code. I’ve doubt if it should close[0] or close[1].

  Thank you, much appreciated. I see there’s similarities to the one in use right now . I’ll test them side by side to compare.

  // trailing atr stop once trailingstoptype1 = 1 // trailing stop - 0 off, 1 on if trailingstoptype1 then //======================== once tsatrdistlong = 2.3 //3 // ts atr distance once tsatrdistshort = 2.3 //3 // ts atr distance once tsincrements = 0.05 // set to 0 to ignore tsincrements once tsminatrdist = 2 once tsatrperiod = 14 //14 // ts atr parameter once tsminstop = 10 //10 // ts minimum stop distance once ts1sensitivity = 2 // [0]close;[1]high/low;[2]low;high //======================== if barindex=tradeindex then trailingstoplong = tsatrdistlong trailingstopshort = tsatrdistshort 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 ts1sensitivity=1 then ts1sensitivitylong=high ts1sensitivityshort=low elsif ts1sensitivity=2 then ts1sensitivitylong=low ts1sensitivityshort=high else ts1sensitivitylong=close ts1sensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,ts1sensitivitylong) 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,ts1sensitivityshort) 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 barindex-tradeindex>1 then 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 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 endif endif endif endif endif

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  // trailing atr stop once trailingstoptype1 = 1 // trailing stop - 0 off, 1 on   if trailingstoptype1 then //======================== once tsatrdistlong  = 2.3 //3 // ts atr distance once tsatrdistshort = 2.3 //3 // ts atr distance   once tsincrements = 0.05 // set to 0 to ignore tsincrements once tsminatrdist = 2   once tsatrperiod    = 14 //14 // ts atr parameter once tsminstop      = 10 //10 // ts minimum stop distance   once ts1sensitivity = 2  // [0]close;[1]high/low;[2]low;high //======================== if barindex=tradeindex then trailingstoplong = tsatrdistlong trailingstopshort = tsatrdistshort 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 ts1sensitivity=1 then ts1sensitivitylong=high ts1sensitivityshort=low elsif ts1sensitivity=2 then ts1sensitivitylong=low ts1sensitivityshort=high else ts1sensitivitylong=close ts1sensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,ts1sensitivitylong) 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,ts1sensitivityshort) 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 barindex-tradeindex>1 then 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 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 endif endif endif endif endif

   

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  paisantrader

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  10/28/2020 at 11:27 AM #148769
  Tanou

  I haven’t put the ones in 10s in demo or live, please keep me updated 😉

  

  Tanou

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  10/31/2020 at 4:18 PM #149088
  Nicoeni1

  I stopped the 10s strategies on wenesday. The algos take too many positions and i can’t understand some of them.
  I prefer launch algos wich run on 5min or 3min timeframes.

  

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  11/07/2020 at 12:09 AM #149735
  BobOgden

  Hey @Tanou I haven’t put any of the systems live though I have compiled the last 12 trading days backtest if it can help. Here’s the file

  

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  11/07/2020 at 12:17 AM #149737
  Tanou

  @BobOgden, that’s a fantastic job! 😃

   

  However, this system doesn’t seems to perform well on 10s for now.. I optimised it for 3 minutes at the enhance.

  on what schedule did you ran it as I see that you’ve wrote 15/15:30 to 22?

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  Tanou

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  11/07/2020 at 7:08 PM #149794
  BobOgden

  @Tanou it should be the same as the original code, only changed to fit EU time (well, at least I think, I’m not even sure it does fit EU time now).

  I’ll try and update it in two week’s time to get a full month or so. As you said, it has performed pretty baldy lately, especially on US election day

  The text box is just to remind me to check whether DJ opening hours wouldn’t be better than from 5:00 to 23:00

  Positionsize is 0.2 btw

  I’ve been running the 3min version, hopefully it does well 🙂

  

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  11/07/2020 at 9:53 PM #149806
  Monochrome

  Has anyone tried using this as a mean reversing strategy?

  

  Monochrome

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  11/09/2020 at 6:50 PM #149937
  Paul

  Here’s a version which uses the heuristics engine, but not aggressively.

  The way I used the heuristics engine & modified it, while it works in the backtest, i’am not convinced about using it. The engine can easily be switched off.

  I had it with he on/off running side by side for a short while and results were identical,  but didn’t look into it too much.

  Actually I had already deleted this version because it grew too big and curvefitted.

   

   

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  Paul

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  11/09/2020 at 9:12 PM #149947
  boonet

  @Paul:

  That’s amazing.
  Appreciate the tremendous amount of effort you into it.

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  Paul

  

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