BLUSTER DAX intraday trading strategy

BLUSTER DAX intraday trading strategy
Simple trading strategy also made with the help of the signals given by the super smoother filter indicator, this time in intraday, on 15 minutes timeframe. Previous strategy made with this indicator is located here: http://www.prorealcode.com/prorealtime-trading-strategies/bund-cfd-strategy-4/

Test were made with mini CFD contracts, 1 point spread.

The strategy trade long and short positions, but long positions are much more triggered.

// THIS SIMPLE STRATEGY CATCH PROFIT BY UNIVERSAL INDICATOR
// IG MARKET GERMANY CASH 1 EUR MINI - SPREAD 1 - 15 M
DEFPARAM CumulateOrders = FALSE
DEFPARAM FlatBefore = 080000
DEFPARAM FlatAfter = 212900
if (time >=080000 and time < 110000) or (time >= 134500 and time <181400) then

 indicator1, ignored = CALL "BLUSTER DAX"
 c1 = (indicator1 >= 1)

 IF c1 AND CurrentDayOfWeek <> 1 THEN
  BUY 1 CONTRACT AT MARKET
 ENDIF

 indicator2, ignored = CALL "BLUSTER DAX"
 c2 = (indicator2 <= -1)

 IF c2  THEN
  SELL  AT MARKET
 ENDIF

 indicator3, ignored = CALL "BLUSTER DAX"
 c3 = (indicator3 <= -1)

 IF c3 AND  CurrentDayOfWeek <> 1  THEN
  SELLSHORT 1 CONTRACT AT MARKET
 ENDIF

 indicator4, ignored = CALL "BLUSTER DAX"
 c4 = (indicator4 >= 1)

 IF c4 THEN
  EXITSHORT  AT MARKET
 ENDIF

 // TRAILING STOP LOGIK BY KENNETH KVISTAD MODIFIED FOR LONG AND SHORT POSITION
 TGL =47
 TGS= 41

 if not onmarket then
  MAXPRICE = 0
  MINPRICE = close
  PREZZOUSCITA = 0
 ENDIF

 if longonmarket then
  MAXPRICE = MAX(MAXPRICE,close)
   if MAXPRICE-tradeprice(1)>=TGL*pointsize then
    PREZZOUSCITA = MAXPRICE-TGL*pointsize
   ENDIF
 ENDIF

 if shortonmarket then
  MINPRICE = MIN(MINPRICE,close)
   if tradeprice(1)-MINPRICE>=TGS*pointsize then
    PREZZOUSCITA = MINPRICE+TGS*pointsize
   ENDIF
 ENDIF

 if onmarket and PREZZOUSCITA>0 then
  EXITSHORT AT PREZZOUSCITA STOP
  SELL AT PREZZOUSCITA STOP
 ENDIF

 SET STOP PLOSS 70
 SET TARGET PPROFIT 87
ENDIF

// REGARDS ALE
Indicator needed to run the strategy : ("BLUSTER DAX")
//-------------------------------------------------------------------------
// UNIVERSAL CODE POSTED BY NICOLAS
// SET TO RUN BLUSTER DAX STRATEGY
//-------------------------------------------------------------------------
bandedge=40

whitenoise= (Close - Close[1])
if barindex>bandedge then
 // super smoother filter
 a1= Exp(-1.414 * 3.14159 / bandedge) 
 b1= 2*a1 * Cos(1.414*180 /bandedge)
 c2= b1
 c3= -a1 * a1
 c1= 1 - c2 - c3
 filt= c1 * (whitenoise + whitenoise[1])/2+ c2*filt[1] + c3*filt[1]

 filt1 = filt

 if ABS(filt1)>pk[1] then
  pk = ABS(filt1)
 else
  pk = 0.99* pk[1]
 endif

 if pk=0 then
  denom = -1
 else
  denom = pk
 endif

 if denom = -1 then
  result = result[1]
 else
  result = filt1/pk
 endif
endif

RETURN result COLOURED(66,66,255) as "PRICE ACTION", 0 as "0"
 
Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. Nicolas • 98 days ago #

    Thank you ALE for this new contribution. Here are my thoughts about this strategy (please don’t be offended):

    1/ about the code, you don’t need to CALL your indicator multiple times, you can call it once and code your conditions within the same variable name. It can work like this, but you consume memory for nothing.

    2/ trades symmetry is good (almost same number of long and short positions), but the long positions are much more winning than the short ones, seems to be something to investigate why?

    3/ the strategy result is not so good before 2013, so I guess you have optimised the values a bit starting from 2013 to now?

  2. ALE • 98 days ago #

    1/ ūüôā Yes could be optimized off course, but there is not difference¬†to execute orders
    2/ The market moves down quickly than when it rises, the bounces are different.  When the market goes down the trailing stop can be more small and trap more winning positions.
    3/ The Germany cash CFD of IG markets close at 23.00 or 22.45 on friday, the historical data start from 10 settembre 2014.  Do you have different Historical data on IG market?
    Thanks

    • Nicolas • 98 days ago #

      3/ I’m with PRT_CFD with more much more history¬†

  3. ALE • 98 days ago #

    I hope that someone could optimized strategy in 4 h to have more profits and more historical data. In my opinion this strategy is not bad, but It must optimized in the Ratio Gain/loss and percentage of wins. Obviusly the strategy is very Basic.

  4. ALE • 98 days ago #

    @Nicolas 2/ The more winning trade are short

  5. stratus • 98 days ago #

    Thank you for your contribution.

    1. I agree that 4 calls to the same function with no change in variables is not optimum for code execution

          2. I dont understand why the function called return always 0 as second result even if the returned value is ignored

          3. How are defined the pLoss and Pprofit values , by strategy optimization with ProRealTime Simulation ?

     

    Pierre

    • ALE • 97 days ago #

      HELLO

      3. observing the positions, and testing very times the strategy.

  6. ALE • 98 days ago #

    HI Pierre
    I don’t understand your third comment.
    Thanks

    • stratus • 97 days ago #

      Cio ALE,

      How did you get those 2 values ?

      Pierre

  7. Ernesto1 • 98 days ago #

    Ciao ALE,

    Thanks for your good job !!

     

  8. ALE • 98 days ago #

    Grazie Ernesto, prima o poi troveremo delle strategie imbattibili!!

  9. reb • 97 days ago #

    Hello all

    Thanks for this strategy ALE.

    Small question, if the strats works between 8am and 21h29 , why do you use a spread of 1 ?

    By IG, spread is 2 between 8 and 9am and after 17h30

    Reb

  10. ALE • 97 days ago #

    Hello Reb,

    You’re right, it’s just a approximation.

    You can consider 1.5 to spread  but you must also consider that the slippage factor often measuring 2/3 Also points.

    Thanks

     

  11. Pablo Carmona del Moral • 97 days ago #

    Thanks for this strategy ALE. good job.

  12. Abz • 93 days ago #

    hello

    is this tested in tick mode?

    • ALE • 82 days ago #

      Hello Abz

      it’s not in Tick mode.

      This strategy must be improved, it’s an idea only!¬†

  13. luigi • 79 days ago #

    Ciao Ale,

    ho provato ad eseguire il test usando la piattaforma t3 di webank ma mi da una serie di errori. E’ possibile apportare qualche modifica?

    Grazie.

  14. ALE • 78 days ago #

    Ciao

    certo ! come posso aiutarti?

  15. luigi • 77 days ago #

    Allora il primo errore me lo da su cumulate orders

    Errore di sintassiLinea3, Colonna10
    Una delle espressioni seguenti sarebbe pi√Ļ appropriata di”CumulateOrders”:
    “,”
    “=”

     

  16. luigi • 77 days ago #

    Allora il primo errore me lo da su cumulate orders

    Errore di sintassiLinea3, Colonna10
    Una delle espressioni seguenti sarebbe pi√Ļ appropriata di”CumulateOrders”:
    “,”
    “=”

    Se metto “=” mi fa andare avanti e mi porta altro errore:

    ¬†if MAXPRICE-tradeprice(1)>=TGL*pointsize then (l’errore che mi riporta √®¬†Errore di sintassiLinea46, Colonna26
    Una delle espressioni seguenti sarebbe pi√Ļ appropriata di”(“:
    “[“
    “=”
    “+”
    “-“
    “*”
    “/”
    “mod”
    “<“
    “>”
    “<>”
    “or”
    “and”
    “xor”
    “then”

  17. ALE • 77 days ago #

    Ciao

    √ą strano hai provato ad aprire una nuova creazione di Trading sistem e reincollare il codice?

  18. luigi • 76 days ago #

    Ciao Ale, si ho provato pi√Ļ volte ma niente. E’ chiaro che ho inserito l’indicatore da te creato gi√† nella lista degli indicatori. Per√≤ proprio il codice mi da problemi.

    Visto che tu con i codici sei un drago, per caso sai se esiste qualcosa sul volume profile da far girare sulla piattaforma T3?

    Davvero grazie Ale per le risposte.

  19. ALE • 76 days ago #

     ahaaha, un Drago non direi.. sono un appassionato.. quello si!!
    Il Market Profile √® ¬†una delle strategie pi√Ļ interessanti da automatizzare, ma non me ne sono pi√Ļ interessato. Chiedo a Nicolas

    Hai provato a scaricare i file .itf qui sopra e richiamarli con la piattaforma?

     

  20. luigi • 76 days ago #

    Il bello è che la piattaforma non mi fa richiamare i file. T3 è molto diversa da prorealtime, anche se sembrano la stessa cosa. La versione di T3 sta molto indietro a quanto pare. 

    Quello che ti chiedevo √® il volume profile, molto diverso dal market profile. Infatti il volume profile calcola su quali livelli sono concentrati i maggiori volumi a differenza del market che calcola quali sono i livelli pi√Ļ scambiati.

    Grazie ūüėČ

  21. ALE • 76 days ago #

    Intendevo dire la strategia basata sul market profile  + volme profile 

  22. luigi • 75 days ago #

    L’indicatore plotta il volume profile sul grafico con delle barre laterali. Su PRT versione end of day mi pare esista gi√†. NOn ho abbonamento e quindi non posso testarla su time frame pi√Ļ bassi. Magari si riuscisse ad avere codice ūüėČ

  23. enzo_52 • 70 days ago #

    CIAO aLE, GRAZIE PER AVER CONDIVISO, VOLEVO SAPERE COME MAI NON MI TROVO CON I RISULTATI CHE SONO NELL IMMAGINE , IO MI  TROVO UN 27% DI GAIN  DALL 8 OTT 2014 AL 7 NOV 2016,  dAX tf 15 MIN  1 P SPREAD    (ANCHE SE NON è CFD ,NON CREDO CI SIA TUTTA QUESTA DIFFERENZA CON IL 295% CHE VEDO NELLA FOTO)

    GRAZIE

  24. ALE • 70 days ago #

    Ciao Enzo,

    No purtroppo c’√® una grossa differenza, i CFD hanno delle quotazioni specifiche, √® per questo motivo che nelle strategie pubblicate che trovi su questo sito, √® indicato il codice dell’asset.
    DAX tf cos’√®?
    PS: Scrivi in inglese cosi tutti possono comprendere domanda e risposta, grazie 

    • enzo_52 • 68 days ago #

      Grazie Ale, ma sai dirmi quali parametri cambiare per avere la.stessa equity anche sul  mini cash?  

      Grazie 

      Vincenzo 

  25. enzo_52 • 68 days ago #

    Thanks Ale, TF is time frame  , 

    So, can you tell me the set -up for to have the same results on mini Dax cash?  

    Thanks

    Vincenzo 

    • ALE • 68 days ago #

      ps: I’m not using this strategy on real account because It must be optimized.

  26. ALE • 68 days ago #

    Ciao Enzo,

    non ho ben capito quale strumento stai utilizzando. Mi copieresti il nome di IG su PRT?

    Grazie

    Ale
    PS: io non la sto usando in reale, perche vorrei modificarla, mentre sono in reale su qu_dax1h

     

    • enzo_52 • 67 days ago #

      Hi Ale,  german 30 cash mini 1E    ,  

      Thanks a lot 

  27. ALE • 67 days ago #

    I don’t know why do you have different result, may be that the picture is hold.

    Variables to set:

    -Strategy
    Window time trading
    Tgl/Tgs

    Stop & Profit

    -Indicator
    Bandedge
    Whitenoise

  28. enzo_52 • 67 days ago #

    Hi Ale, german 30 mini 1E 

    Thanks 

     

  29. enzo_52 • 66 days ago #

    Hi Ale, so you have the same results with german 30 mini 1e cash TF 1h?  

  30. ALE • 66 days ago #

    no, only with TF 15m

    • enzo_52 • 65 days ago #

      Grazie tante, Thanks so much 

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