Discussing the strategy VECTORIAL DAX (M5)

• 11/10/2020 at 9:29 AM #149987
  Alfred

  This version is DJI 1H and 24H.

  The graph is good, but it can’t run in live.

  The stop notice said negative or zero parameter and attached.

  Anyone can help?

  Thanks.

  1 user thanked author for this post.

  LaurentBZH35

  

  Alfred

  Participant

  Topics: 14

  Replies: 30

  Been thanked: 3 times
  11/10/2020 at 10:42 AM #150000
  Nicolas

  Line 241:

  tsatr=averagetruerange[tsatrperiod]((close/4.8))/1000

  1	tsatr=averagetruerange[tsatrperiod]((close/4.8))/1000

  tsatrperiod is equal to 0 at line 204:

  once tsatrperiod = 0 // ts atr parameter

  1	once tsatrperiod    = 0         // ts atr parameter

  You should set a period of calculation for this indicator 🙂

  2 users thanked author for this post.

  Alfred, swedshare

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  11/10/2020 at 7:53 PM #150062
  Fran55

  I integrate the ML code and open this error… Paul

  

  Fran55

  Participant

  Topics: 34

  Replies: 210

  Been thanked: 7 times
  11/10/2020 at 9:02 PM #150068
  Francesco

  Fran55 wrote:

  I integrate the ML code and open this error… Paul

  It’s not an error, you just have to define those variables.

  

  Francesco

  Participant

  Topics: 32

  Replies: 439

  Been thanked: 200 times
  11/10/2020 at 10:40 PM #150075
  Fran55

  Yes, i see.

  But, what define this variables??

  

  Fran55

  Participant

  Topics: 34

  Replies: 210

  Been thanked: 7 times
  11/11/2020 at 4:39 AM #150088
  Paul

  Fran55, better use the code posted in the Machine Learning topic on page one for one variable and see how that works.

  https://www.prorealcode.com/topic/machine-learning-in-proorder/#post-121059

   

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  11/24/2020 at 4:09 PM #151441
  Alfred

  Hi, All

  Recently the result is not good in DAX, DJI market 🙁

  how about you?

  

  Alfred

  Participant

  Topics: 14

  Replies: 30

  Been thanked: 3 times
  11/25/2020 at 10:05 AM #151490
  flipcash

  Alfred wrote:

  Hi, All

  Recently the result is not good in DAX, DJI market 🙁

  how about you?

  I’m still testing it in demo but the results in DJ are very good last 10 days

  

  flipcash

  Participant

  Topics: 1

  Replies: 4

  Been thanked: 0 times
  11/25/2020 at 10:10 AM #151494
  Matriciel

  I think this is normal as the price is in full bullish divergence.

  

  Matriciel

  Participant

  Topics: 25

  Replies: 110

  Been thanked: 24 times
  12/14/2020 at 11:09 PM #153772
  Tanou

  Hello guys,

   

  Lets’ make this discussion active again! 😀

   

  As I now have 1M candles available for the backtest I’ve optimised it and changes few settings and here is where I am currently.

   

  I am trying to get the curve as clean as possible since mid-june 2016 as it is (in my opinion) enough to optimise and represents well enough the market conditions with the volumes that we have nowadays.

   

  Here is the code where it stand at the moment, could you test it on your side and tell me what you think that could be change / improve / optimise? I ran out of idea and I’ve worked quite a long time on it so I need an exterior opinion I guess 😉

   

  Feel free to tell what you think and what’s you have in mind! It could be a good path to explore! 😀

   

  PS. I am working on another code that I’ll released when it’ll be ready in my opinion based on ichimoku quite only 😉

   

  THANKS GUYS! 😀

   

  DJI Tanou V13

  //------------------------------------------------------------------------- // Code principal : DJI Tanou V13 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //-------------------------------------------------------------------------------------------------------------------------------------------------- //Money Management positionsize=1 //-------------------------------------------------------------------------------------------------------------------------------------------------- //HORAIRES DE TRADING Ctime = time >= 153000 and time < 220000 //-------------------------------------------------------------------------------------------------------------------------------------------------- //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE //i1 = HistoricVolatility[10](close) //c1 = (i1 >= 0.06) ONCE PeriodeA = 3 ONCE nbChandelierA= 30 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CB1 = ANGLE >= 37 CS1 = ANGLE <= - 47 //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]) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CB2 = (pente > trigger) AND (pente < 0.4) CS2 = (pente CROSSES UNDER trigger) AND (pente > -0.9) mx = average[41,0](close) CB3 = mx > mx[1] mx2 = average[58,0](close) CS3 = mx2 < mx2[1] // ichimoku //Tenkan = (highest[9](high)+lowest[9](low))/2 Kijun = (highest[26](high)+lowest[26](low))/2 SSpanB = (highest[52](high[26])+lowest[52](low[26]))/2 ////chikou=close If Kijun[1] = Kijun then Condichi2 = 0 Else Condichi2 = 1 Endif //-------------------------------------------------------------------------------------------------------------------------------------------------- //ENTREES EN POSITION VarDistIchiBuy = 14 VarDistIchiSell = 1 DistIchiSSB = Open - SSpanB If DistIchiSSB >= VarDistIchiBuy then CondDistIchil = 1 Else CondDistIchil = 0 Endif If DistIchiSSB <= VarDistIchiSell then CondDistIchis = 1 Else CondDistIchis = 0 Endif //RSI Dynamic //RSIDyna1 = RSI[14](close) //RSIDyna2 = DynamicZoneRSIUp[14,20](close) //RSIDyna3 = DynamicZoneRSIDown[14,20](close) //RSIDL1 = RSIDyna1 <= 61.5 //RSIDL2 = RSIDyna2 <=58 //RSIDL3 = RSIDyna3 <= 53.8 //RSIDL4 = RSIDyna1>RSIDyna2 //RSIDL5 = RSIDyna2>RSIDyna3 //RSIDL = RSIDL3 //RSIDS1 = RSIDyna1 <= 30.15 //RSIDS2 = RSIDyna2 >=49 //RSIDS3 = RSIDyna3 >= 38 //RSIDS4 = RSIDyna2>RSIDyna3 //RSIDS5 = RSIDyna3>RSIDyna1 //RSIDS = RSIDS4 and RSIDS5 CONDBUY = CB1 and CB2 and CB3 and CTime and CondDistIchil and condichi2 CONDSELL = CS1 and CS2 and CS3 and Ctime and CondDistIchis and condichi2 //-------------------------------------------------------------------------------------------------------------------------------------------------- //Entrée en position //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 2.4 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort positionsize contract at market SET STOP %LOSS 0.8 ENDIF //-------------------------------------------------------------------------------------------------------------------------------------------------- //SET TARGET %PROFIT 2 //Break even breakevenPercent = 0.19 PointsToKeep = 4 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 THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep 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 THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif //-------------------------------------------------------------------------------------------------------------------------------------------------- //SL above 0 if more than X hours and positive //if longonmarket and barindex-tradeindex>60 then //if close-tradeprice(1)>=2 then //sell at tradeprice(1) STOP //endif //endif // //if shortonmarket and barindex-tradeindex>40 then //if tradeprice(1)-close>=2 then //EXITSHORT at tradeprice(1) STOP //endif //endif //-------------------------------------------------------------------------------------------------------------------------------------------------- // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once tsincrements = 0.19 // set to 0 to ignore tsincrements once tsminatrdist = 5 once tsatrperiod = 14 // ts atr parameter once tsminstop = 12 // ts minimum stop distance once tssensitivity = 1 // [0]close;[1]high/low if trailingstoptype then if barindex=tradeindex then trailingstoplong = 3 // ts atr distance trailingstopshort = 3 // 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))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (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 endif 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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293

  //------------------------------------------------------------------------- // Code principal : DJI Tanou V13 //-------------------------------------------------------------------------     DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000   //--------------------------------------------------------------------------------------------------------------------------------------------------   //Money Management positionsize=1   //--------------------------------------------------------------------------------------------------------------------------------------------------   //HORAIRES DE TRADING Ctime = time >= 153000 and time < 220000   //-------------------------------------------------------------------------------------------------------------------------------------------------- //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE   //i1 = HistoricVolatility[10](close) //c1 = (i1 >= 0.06)   ONCE PeriodeA = 3 ONCE nbChandelierA= 30 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CB1 = ANGLE >= 37 CS1 = ANGLE <= - 47   //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]) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CB2 = (pente > trigger) AND (pente < 0.4) CS2 = (pente CROSSES UNDER trigger) AND (pente > -0.9)   mx = average[41,0](close) CB3 = mx > mx[1] mx2 = average[58,0](close) CS3 = mx2 < mx2[1]     // ichimoku //Tenkan = (highest[9](high)+lowest[9](low))/2 Kijun = (highest[26](high)+lowest[26](low))/2 SSpanB = (highest[52](high[26])+lowest[52](low[26]))/2   ////chikou=close If Kijun[1] = Kijun then Condichi2 = 0 Else Condichi2 = 1 Endif     //--------------------------------------------------------------------------------------------------------------------------------------------------   //ENTREES EN POSITION     VarDistIchiBuy = 14 VarDistIchiSell = 1   DistIchiSSB = Open - SSpanB   If DistIchiSSB >= VarDistIchiBuy then CondDistIchil = 1 Else CondDistIchil = 0 Endif   If DistIchiSSB <= VarDistIchiSell then CondDistIchis = 1 Else CondDistIchis = 0 Endif   //RSI Dynamic   //RSIDyna1 = RSI[14](close) //RSIDyna2 = DynamicZoneRSIUp[14,20](close) //RSIDyna3 = DynamicZoneRSIDown[14,20](close) //RSIDL1 = RSIDyna1 <= 61.5 //RSIDL2 = RSIDyna2 <=58 //RSIDL3 = RSIDyna3 <= 53.8 //RSIDL4 = RSIDyna1>RSIDyna2 //RSIDL5 = RSIDyna2>RSIDyna3 //RSIDL = RSIDL3   //RSIDS1 = RSIDyna1 <= 30.15 //RSIDS2 = RSIDyna2 >=49 //RSIDS3 = RSIDyna3 >= 38 //RSIDS4 = RSIDyna2>RSIDyna3 //RSIDS5 = RSIDyna3>RSIDyna1 //RSIDS = RSIDS4 and RSIDS5   CONDBUY = CB1 and CB2 and CB3 and CTime and CondDistIchil and condichi2 CONDSELL = CS1 and CS2 and CS3 and Ctime and CondDistIchis and condichi2     //--------------------------------------------------------------------------------------------------------------------------------------------------   //Entrée en position   //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 2.4 ENDIF   //POSITION COURTE IF CONDSELL THEN Sellshort positionsize contract at market SET STOP %LOSS 0.8 ENDIF   //--------------------------------------------------------------------------------------------------------------------------------------------------   //SET TARGET %PROFIT 2   //Break even breakevenPercent = 0.19 PointsToKeep = 4 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 THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep 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 THEN   //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif   //--------------------------------------------------------------------------------------------------------------------------------------------------   //SL above 0 if more than X hours and positive       //if longonmarket and barindex-tradeindex>60 then //if close-tradeprice(1)>=2 then //sell at tradeprice(1) STOP //endif //endif // //if shortonmarket and barindex-tradeindex>40 then //if tradeprice(1)-close>=2 then //EXITSHORT at tradeprice(1) STOP //endif //endif //--------------------------------------------------------------------------------------------------------------------------------------------------   // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on   once tsincrements = 0.19         // set to 0 to ignore tsincrements once tsminatrdist = 5   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 1    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 3   // ts atr distance trailingstopshort    = 3   // 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))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (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 endif   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

   

  5 users thanked author for this post.

  Idefix, Paul, GraHal, nonetheless, Balmora74

  

  Tanou

  Participant

  Topics: 18

  Replies: 153

  Been thanked: 29 times
  12/14/2020 at 11:37 PM #153774
  Monochrome

  Is that with walk forward testing?

  I feel having distance variables on top of angle and slope variables(which are already prone to cruve fitting)  are too many entry variables.

  

  Monochrome

  Participant

  Topics: 17

  Replies: 116

  Been thanked: 56 times
  12/15/2020 at 12:09 AM #153776
  Tanou

  Hello @mononochrome, it’s not forward testing, you can do it if you’d like to!

  I don’t get what you mean the rest of your message sorry…

  

  Tanou

  Participant

  Topics: 18

  Replies: 153

  Been thanked: 29 times
  12/15/2020 at 1:11 AM #153782
  Monochrome

  If you look at most of the trades they dont follow the immediate direction of the entries, esp since this is a short time frame.

  Having a wide stoploss in an upward trending market you could potentially enter anywhere with the same exit strategy and seem profitable on a backtest.

  Maybe using volume couldhelp to catch those short term direction movements?

  I thank balmora for the angle code. I know its very useful but i just dont know yet how to use it!

   

  

  Monochrome

  Participant

  Topics: 17

  Replies: 116

  Been thanked: 56 times
  12/15/2020 at 8:40 AM #153793
  GraHal

  Tanou wrote:

  I’ve worked quite a long time on it

  Nice one Tanou, thank you for sharing!

  I’ve set your version going on Demo Forward Test.

  I will report back with any improvements.

  Nice one re your Dashboard layout! 🙂

  I’m going to try out your layout in place of mine as yours looks easier / quicker to adapt from the standard PRT PreDefined settings.

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2175 times
  12/15/2020 at 10:00 AM #153804
  Paul

  hi Tanou  thnx for sharing.

  Maybe there is some gain to be made when the breakeven is never triggered. Because then,  the market could reverse and hit a big stoploss. It’s something i’am testing. Maybe channels.

  There’s an unbalance for long & short trades, as long is hit more that short.

  I”ve mentioned it before somewhere,

  CB2 = (pente > trigger) AND (pente < 0.4)

  1	CB2 = (pente > trigger) AND (pente < 0.4)

  replaced with, similar as to short,

  CB2 = (pente crosses over trigger) AND (pente < 0.4)

  1	CB2 = (pente crosses over trigger) AND (pente < 0.4)

  winratio goes over 90%(100k) but total results go down a bit, equitycurve looks sweet 500k bars.

  2 users thanked author for this post.

  Idefix, GraHal

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
• Author
  Posts