Wanted: small code snippet for reinvestment

JohnScher · Sun, 31 Dec 2017 10:25:43 +0000

Hello. Who can help out with a surely simple code? The following strategy is to be extended by a re-investment strategy in the sense, so that the size of the position changes based on the initial capital. capital = 10000 for Trade 1 Position = capital/capital for all following trades if capital (new) <= 10000 then position = 1 if capital (new) >10000 then position = capital (new) / 10000 How can integrate this in the maincode? Attached the maincode // MainCode : DailyOpenlong // Dax 1 Euro // TimeFrame4H // created by JohnScher //.............................................................. // maincode //.............................................................. defparam cumulateorders = false position = 1 TradingDayLong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayofweek = 5 TradingtimeLong = time = 090000 //or time = 130000 or time = 170000 c1 = TR (close) > 25 c2 = TEMA [4] (close) > ExponentialAverage [4] (close) IF TradingDayLong and TradingTimeLong Then If c1 and c2 THEN buy position CONTRACT AT MARKET Endif ENDIF // set stop loss IF time = 090000 or time = 130000 or time = 170000 or time = 210000 then If Repulse[3](close)< -0.3 Then sell at market Endif ENDIF // set target profit set target %profit 3 //.............................................................. // end maincode

This topic has 68 replies, 7 voices, and was last updated 7 years ago by Nicolas.

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01/12/2018 at 8:33 PM #59285

verdi55

I stripped this of everything that does not appear to be necessary (no seasonal stuff, no order cumulation, position size always = 1), and the results still look almost to good to be true. Backtest done in tick-by-tick mode.

defparam flatafter = 210000
defparam flatbefore = 090000

cx1 = cci[11]<80
cx2 = cci[21]>-90
cx3 = Momentum[6](close)>0
cx6 = TR(close) >25
cx8 = EaseOfMovement[14]<95
cx9 = SmoothedStochastic[14,3](close)<95
cx10 = PriceOscillator[5,25](close)<0.5
cx11 = LinearRegressionSlope[10](close)>-14
cx12 = AccumDistr(close)>-0.1
cx13 = Chandle [20](close)>-51
cx15 = DPO[21](close)>-50
cx16 = DPO[21](close)<50

IF cx1 and cx8 and cx9 and cx10 and cx12 and cx15 and close < ExponentialAverage[8](close) and (not shortonmarket) Then
sellshort 1 CONTRACTS AT MARKET
ENDIF
  
IF cx2 and cx3 and cx6 and cx11 and cx13 and cx16 and close  >  ExponentialAverage[8](close) and (not longonmarket) Then
buy 1 CONTRACT AT MARKET
ENDIF

Set Stop %Loss 1.7
Set Target %profit 1.7

defparam flatafter = 210000

defparam flatbefore = 090000

cx1 = cci[11]<80

cx2 = cci[21]>-90

cx3 = Momentum[6](close)>0

cx6 = TR(close) >25

cx8 = EaseOfMovement[14]<95

cx9 = SmoothedStochastic[14,3](close)<95

cx10 = PriceOscillator[5,25](close)<0.5

cx11 = LinearRegressionSlope[10](close)>-14

cx12 = AccumDistr(close)>-0.1

cx13 = Chandle [20](close)>-51

cx15 = DPO[21](close)>-50

cx16 = DPO[21](close)<50

IF cx1 and cx8 and cx9 and cx10 and cx12 and cx15 and close < ExponentialAverage[8](close) and (not shortonmarket) Then

sellshort 1 CONTRACTS AT MARKET

ENDIF

IF cx2 and cx3 and cx6 and cx11 and cx13 and cx16 and close > ExponentialAverage[8](close) and (not longonmarket) Then

buy 1 CONTRACT AT MARKET

ENDIF

Set Stop %Loss 1.7

Set Target %profit 1.7

So, probably it is just a matter of overfitting, because so many different parameters and conditions are used. Stop loss and target profit are both 1.7 % (percent !), so I don’t see a problem here. Short average duration of positions may be a problem, but I am not sure,

verdi55

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01/12/2018 at 8:45 PM #59291

Vonasi

verdi55 wrote:

Stop loss and target profit are both 1.7 % (percent !)

Aaaah! Well spotted. I need new glasses as I didn’t see the %! Still how often does the market move 1.7% in 7 seconds? Aaaaah! Just spotted my second error – it is a German screen and an s in German is an h in English!

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01/12/2018 at 8:47 PM #59292

verdi55

Vonasi wrote:

verdi55 wrote:

Stop loss and target profit are both 1.7 % (percent !)

Aaaah! Well spotted. I need new glasses as I didn’t see the %! Still how often does the market move 1.7% in 7 seconds?

This is on a 4 hour chart, and stops or targets are rarely reached.

verdi55

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01/12/2018 at 9:14 PM #59294

Vonasi

I’ve just tested it (after putting my glasses on) and it does seem incredible – but so many different indicators for longs and so many totally different indicators for shorts rings alarm bells for curve fitting and also the quarterly graph is a lovely bell curve which also rings alarm bells. I’ll shove it on demo as a ‘fun to watch’ I think.

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01/12/2018 at 9:19 PM #59297

verdi55

Vonasi wrote:

but so many different indicators for longs and so many totally different indicators for shorts rings alarm bells

I guess that’s the point.

verdi55

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01/12/2018 at 9:20 PM #59298

Vonasi

Vonasi wrote:

I’ll shove it on demo as a ‘fun to watch’ I think.

No I won’t as the DPO indicator is not allowed in automatic trading.

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01/12/2018 at 9:26 PM #59299

verdi55

Vonasi wrote:

No I won’t as the DPO indicator is not allowed in automatic trading.

Ahh, so this is another point. DPO is like zig zag, it repaints the past, and cannot be used for trading therefore. So forget about the strategy.

https://www.prorealcode.com/topic/detrend-price-oscillator/

verdi55

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01/12/2018 at 9:29 PM #59300

verdi55

Here you have the comparison with and without DPO. Upper curve is without DPO, everything else the same.

verdi55

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01/12/2018 at 9:34 PM #59303

Nicolas

English speaking here please!

DPO use future datas, that’s why the equity curve looks so good. We all want to know what the future will be like.

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immo_vienna

Nicolas

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