VUSA daily Buy and hold v2.0

Elsborgtrading · Fri, 14 Apr 2017 11:51:18 +0000

//------------------------------------------------------------------------- // Main code : VUSA daily Buy and hold v2.0 //Timeframe 1 Day //Posiitonsize 10 // Kasper Elsborg @Elsborgtrading //------------------------------------------------------------------------- //==========Parameters=============================== DEFPARAM CumulateOrders = true // Cumulating position DEFPARAM PRELOADBARS = 500 //====================Define Tradetime=============== IF (Time >= 090000 AND Time <= 1730000) THEN //VUSA Tradetime GMT+1 Tradetime=1 else Tradetime=0 endif //=================================================== //==================Define ONCE's==================== ONCE entertrade=1 ONCE CountOfTrades=0 ONCE mypos=10 //ONCE dailyHigh = 0 ONCE dailyLow = 0 //ONCE weeklyHigh = 0 //ONCE monthlyHigh = 0 ONCE monthlyLow = 0 ONCE lastWeekBarIndex = 0 ONCE lastMonthBarIndex = 0 //================== positionsize = mypos //==================Indicators==================== lastInPeriod=currentDayOfTheMonth = 14 or currentDayOfTheMonth = 30 and entertrade and tradetime//NEED CHECK for ending dates in weekends!!! Myema=ExponentialAverage[10](close)//34 // calculate daily high/low (include sunday values if available) //dailyHigh = DHigh(1) dailyLow = DLow(1) OnMarketBarCount=barindex-tradeindex //============================================================================================== //NOT IN USE, but implemented in a strategy that is a non buy and hold // it will accumulate position counts and enter OnMarketBarCount with the number of positions you sold //NOT WORKING ATM!! //============================================================================================== //Once Test1=1 //if not onmarket and test1 then //test1=0 //mypos=countofposition[1] //elsif onmarket then //positionsize=mypos //test1=1 //else //mypos=mypos //endif //====================================================================================================== //Accumilate Positions if no trades in the 14 days period- an alternative to lastinperiod if OnMarketBarCount>17 then factor=2 //elsif OnMarketBarCount>=32 then //factor=3 else factor=1 endif //===================================================================================================== // calculate weekly high/low If DayOfWeek < DayOfWeek[1] then //weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) weeklylow = lowest[BarIndex - lastWeekBarIndex](dailylow) lastWeekBarIndex = BarIndex ENDIF // calculate monthly high/low If Month <> Month[1] then //monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF //monthbuy=open>monthlyHigh //weekbuy=open>weeklyHigh //Myema50=ExponentialAverage[x1](close)//30 //Myema200=ExponentialAverage[x2](close)//90 // //bull=1//myema50>myema200 //bear=myema50<myema200 //=====================================Trade Conditions==================================================== //==============================Limmit Trades to one every 14th day=========== currentDayOfTheMonth = Date - ((CurrentYear * 10000) + CurrentMonth * 100) midOfMonth = 15 if currentDayOfTheMonth= 15 then entertrade=1 elsif currentDayOfTheMonth = 14 and dayofweek=5 then entertrade=1 elsif currentDayOfTheMonth = 13 and dayofweek=5 then entertrade=1 else entertrade=entertrade endif if currentDayOfTheMonth = 1 then entertrade=1 if currentMonth = 2 or 4 or 6 or 9 or 11 then//30 days months if currentDayOfTheMonth = 29 and dayofweek=5 then entertrade=1 elsif currentDayOfTheMonth = 30 and dayofweek=5 then entertrade=1 else entertrade=entertrade endif if currentMonth = 1 or 3 or 5 or 7 or 8 or 10 or 12 then//31 days months if currentDayOfTheMonth = 29 and dayofweek=5 then entertrade=1 elsif currentDayOfTheMonth = 30 and dayofweek=5 then entertrade=1 elsif currentDayOfTheMonth = 31 and dayofweek=5 then entertrade=1 else entertrade=entertrade endif endif endif endif IF CurrentMonth = 1 or 2 or 3 or 4 or 5 or 6 or 7 or 8 or 9 or 10 or 11 or 12 THEN IF OnMarketBarCount[1]<OnMarketBarCount and currentDayOfTheMonth <= midOfMonth and entertrade THEN entertrade=1 CountOfTrades=CountOfTrades elsif OnMarketBarCount[1]>OnMarketBarCount and currentDayOfTheMonth <= midOfMonth and entertrade THEN entertrade=0 CountOfTrades=CountOfTrades+1 endif IF OnMarketBarCount[1]<OnMarketBarCount and currentDayOfTheMonth >= midOfMonth and entertrade THEN entertrade=1 CountOfTrades=CountOfTrades elsif OnMarketBarCount[1]>OnMarketBarCount and currentDayOfTheMonth >= midOfMonth and entertrade THEN entertrade=0 CountOfTrades=CountOfTrades+1 ENDIF endif //============================================================================================================= conditionEMA=low crosses under myema and entertrade and tradetime //and bull conditionMonthlylow=low crosses under monthlylow and entertrade and tradetime //and bull conditionWeeklyLow= low crosses under weeklylow and entertrade and tradetime lastInPeriod=(currentDayOfTheMonth = 14 or currentDayOfTheMonth = 30) and entertrade and tradetime//NEED CHECK for ending dates in weekends!!! //lastInPeriod=currentDayOfTheMonth = 14 and entertrade and tradetime or currentDayOfTheMonth = 13 and dayofweek=5 and entertrade and tradetime or currentDayOfTheMonth = 30 and entertrade and tradetime or currentDayOfTheMonth = 29 and dayofweek=5 and entertrade and tradetime or currentDayOfTheMonth = 28 and dayofweek=5 and entertrade and tradetime //conditionMonthlyHigh=high>MonthlyHigh and entertrade //ConditionWeekleyHigh= high>weeklyHigh and entertrade and tradetime //=======================================Enter LONG Position======================================== if conditionEMA or conditionMonthlylow or conditionWeeklylow or lastinperiod then//or conditionMonthlyHigh or ConditionWeekleyHigh then buy Positionsize*factor shares at market //if not conditionEMA and not conditionMonthlylow and not conditionWeeklylow and ConditionWeekleyHigh then //buy Positionsize*factor shares at market //endif endif //===================================================================================================================================== //=============================================================GRAPH SECTION========================================================== //===================================================================================================================================== //========================================== rem out all lines from GRAPH SECTION to live trade the code===================================== //once tradepricetest=1 //ONCE BrokerProfit=0 //once countofdays=0 //once AccumulatedTradeCost=tradeprice*mypos //Comission from IG- given: the commission charge is 0.10% of total tradeprice or $10, whichever is higher //comissiontest=0.001*tradeprice*positionsize //IF OnMarketBarCount[1]<OnMarketBarCount then //AccumulatedTradeCost=AccumulatedTradeCost //if tradepricetest then //AccumulatedTradeCost=AccumulatedTradeCost+tradeprice*mypos //tradepricetest=0 //endif //if comissiontest<10 then //comission=10 //endif //elsif OnMarketBarCount[1]>OnMarketBarCount then //tradepricetest=1 //comission=comissiontest //endif //Capital = 500 // initial capital of account // //equity = Capital + StrategyProfit //overnight fee from IG- given: (5 x 35.6425 x (2.5% + 0.25%))/365. This would give a total of £.0.0134 per evening. //interestrate=0.025//2.5% //adminfee=0.0025//0.25% //overnightfee = (countofposition*tradeprice*(interestrate+adminfee))/365*countofdays //0.8 //broker overnight fee of a position (in money) // ---equity = Capital + StrategyProfit //DayChart=1 //can be set to bar qu // //if not onmarket then //countofdays=0 //elsif onmarket and DayOfWeek[1]<DayOfWeek then// = DayChart then //countofdays=countofdays+1 //else //countofdays=countofdays //endif //floatingprofit = ((((close-positionprice)*pointvalue)*countofposition)/pipsize)-(overnightfee+comission)//+(overnightfee+comission) //actual trade gains //Brokerprofit=((((close-positionprice)*pointvalue)*countofposition)/pipsize)-Floatingprofit //BrokerProfitinProcent=(((floatingprofit-Brokerprofit)/floatingprofit)-1)*100 //TrueEquity=AccumulatedTradeCost+floatingprofit+capital //TrueProfitInProcent=((TrueEquity/AccumulatedTradeCost)-1)*100 //graph conditionMonthlyHigh COLOURED(0,0,255) AS "conditionMonthlyHigh" //graph ConditionWeekleyHigh COLOURED(0,255,0) AS "ConditionWeekleyHigh" //graph TrueEquity COLOURED(0,0,255) AS "trueEquity" //graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" //graph countofdays COLOURED(0,0,0) AS "countofdays" //graph entertrade COLOURED(255,255,0) AS "entertrade" //graph conditionWeeklyLow COLOURED(0,0,0) AS "conditionWeeklyLow" //graph conditionEMA COLOURED(255,0,0) AS "conditionEMA" //graph lastinperiod COLOURED(255,0,255) AS "lastinperiod" //graph conditionMonthlylow COLOURED(0,255,255) AS "conditionMonthlylow" //graph tradetime COLOURED(0,255,0) AS "tradetime" //graph overnightfee COLOURED(0,0,0) AS "overnightfee" //graph floatingprofit+capital COLOURED(0,0,0) AS "floatingprofit" //graph BrokerProfit COLOURED(0,0,0) AS "BrokerProfit" //graph countofdays COLOURED(255,255,255) AS "countofdays" //graph OnMarketBarCount COLOURED(0,255,255) AS "OnMarketBarCount" //graph CountOfTrades COLOURED(255,255,255) AS "CountOfTrades" //graph comission COLOURED(255,0,255) AS "comission" //graph AccumulatedTradeCost COLOURED(0,255,0) AS "AccumulatedTradeCost" //graph tradeprice COLOURED(255,0,255) AS "tradeprice" //graph TrueProfitInProcent COLOURED(255,0,255) AS "TrueProfitInProcent" //graph BrokerProfit COLOURED(255,0,0) AS "BrokerProfit" //graph BrokerProfitinProcent COLOURED(255,255,0) AS "BrokerProfitinProcent" //graph marketchange COLOURED(255,0,0) AS "marketchange" //===================================================================================================================================== //=============================================================GRAPH SECTION END====================================================== //===================================================================================================================================== //=================================EXIT and QUIT if market falls below 25% within a 365 days period yearhigh =highest[365](high) marketchange=((close/yearhigh)-1)*100 if onmarket and marketchange<-25 then sell at market elsif countofposition[1]>countofposition then quit endif Here is a Buy and hold strategy on Vanguard Funds Public Limited Companey – Vanguard S&P 500 UCITS ETF Remeber you and you only are entirely responsible for: what and how you invest your money, your risk, you gain, your losses. So do you homework an research before venturing into investing and trading. This is just an example on how it could have been if you invested 4,7 years ago, not guarantee for the future. Cheers Kasper

This topic has 19 replies, 6 voices, and was last updated 7 years ago by Elsborgtrading.

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04/18/2017 at 11:22 AM #32421

Nicolas

I believe great things will happen here! Thanks Kasper, looking forward to read more from your new project 🙂

Nicolas
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04/29/2017 at 2:08 PM #33962

Andre Vorster

Great work.!
You are realistically thinking of the bigger picture. A lot of facts in your thinking and reason for this code.
Points to ponder. Also making one also re-evalute one’s own strategy…

My brain ishurting now.! Slowly trying to process and digest your code then reading it again…

Thank you.

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05/12/2017 at 10:37 PM #35377

Derek

@Kasper:

I will do some tests when my internet is back on. Sorry for the delay.

Maybe you want try this strategy on a robotics/automation etf.

Have you been able to look into different exit strategies? Or adding other timing models to avoid DD?

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05/13/2017 at 10:50 AM #35399

GraHal

Great work Kasper, as always.

At what point should Buy & Hold consider exiting? >38% DD? Never … just hang on? If there is a clear economic turn-down?

I can’t help thinking that whatever Fund, Index etc regular Buys are made then an Elliott Wave Cycle will be in play and better returns would result by reading the Major Wave.

Exit after early signs of retrace (on major Wave only) or even after a strong run up (>x% over x weeks – often a sign trend is near exhausted) and buy in to another Fund (or several / diversify) at a more favourable point on a major Wave.

But then above is not the point of your study and is no different than a normal Strategy?

But then maybe it’s the Time frame of Months / Years on a Major Elliott Wave and monthly Buys that make your Strategy different than normal??

Consideration of the right time to Exit has to be part of any Investment? Doesn’t even have to be in the Code … could be a manual / visual check weekly or monthly?

Just a few thoughts anyway
GraHal

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05/14/2017 at 7:22 PM #35500
Elsborgtrading
Hi Grahal.

The books I’v read had 3 overall exits strategies. They were all in case of you needed to protect your equity. So one has to determine how much he’s willing to loose in %DD pr year. 20, 25 or 33%. I’d pick 25%- Then hold until you grow old- exit when going on pension 🙂

You could argue of any indicator entry strategies, but over the period of 25 years, just buy 1 or 2 times a year- it will avenging it self out. I played with a simple EMA, so just entry when it has a small retracement.

But don’t go and buy DAX etf- the strategy will never hold (use pathfinder for that- it was developed for Etf and not leveraged CFD). Buy Russel3000 or All world stocks etf- so you you have as much spread of the underlying market. for me I’d pick a steady growing ETF- 10-12% a year in average, and no more that 0.25% commission a year. morningstar.co.uk may be a good place to research your ETF’s

also take in consideration your pension benefits. I created a pension account where I put in 100 euro a month. and the plan is to trade once or twice a year. Take in consideration the commission for the trade.

The main reason I did this analysis was to shine some light upon overnight fees. The conclusion was sadly that IG takes 40% of your gains with their overnight fees. Other brokers don’t have overnight fees, but they might not have the ability to back test or automate your system. But hey, I don’t need that for 1-2 trades a year

I discussed with IG about not having a CFD account for ETF’s because that’s what making the overnight fees, though I don’t see any difference in the IG’s ETF- it not leveraged in their CFD account- it pays the same as a normal ETF. Maybe I missed out the point here?!? anyway IG was looking into offering non CFD accounts for ETF’s. I also see the same with all the major banks here in DK- they are offering the ETF account and possibility for trading this. Simply because many traders are going this way- they want a peace of the action, even if it a small commission of 0.25% to pay.

The whole buy and hold strategy is derived in keeping your cost at a minimum. and then rely on the greatest power in the universe- Compounding interests! just do the math, even 1% in cost a year, will have a greater impact in 35 years that you can imagine

These are the ETF i’v found interesting:

Total U.S Stock market

db x-trackers S&P 500 Equal Weight UCITS ETF (DR) 1C (XDEW)

SPDR® Russell 3000 US Total Market UCITS ETF (EUR) | ZPR3

Total World Ex-U.S

Vanguard All-World ex-US Shares Index ETF (AUD) | VEU

SPDR® MSCI ACWI ex-US ETF (USD) | CWI

Total world Including U.S

Vanguard Total World Stock Index Fund ETF Shares (MXN) | VT

SPDR® MSCI ACWI UCITS ETF (GBP) | ACWI

Total Bond Market U.S

Vanguard Total Bond Market Index Fund ETF Shares (USD) | BND

iShares Core U.S. Aggregate Bond ETF (USD) | AGG

Cheers Kasper

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VUSA daily Buy and hold v2.0

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