Breakout DAX 15Min

Breakout DAX 15Min

Firstly, a big thank you to Nicolas for this great site and for originally introducing us to the CAC Breakout using the same code here.

I set about testing this strategy on other markets due to the fact you can backtest 8 years of data with 200,000 units on the 15Min time-frame. The other massive plus is no fake profits and only 26, 0 bars in 1500 trades! 🙂

In this version I am using a fixed position size but you can activate the re-invest system if you are happy with that. It makes for an interesting ride!

I stuck to the rules of not over optimising/curve fitting by using an IN/OUT sample as documented here. This ran from July 2008 – Jan 2014.

The results above are £1 Per Point, £1000 Start and 1.5 Spread.

I am live trading this with real money with minimum stakes to test. IG have now reduced the PPP from £2 to £1 just recently. This is very handy for forward live testing.

All times in the code are UK so please adjust to your timezone.

I have some more of these ported to other markets but need to spend a little more time getting them right before posting in the library. Expect them soon.

I have not had enough time to test different time frames. Maybe I will try that next if time allows.

Good luck and enjoy your weekend.

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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.

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  1. criscolci • 09/04/2016 #

    Great work! thanks for sharing

  2. Pjotterd • 09/04/2016 #

    Just asking, do I have to set a profit stop?

  3. Cosmic1 • 09/04/2016 #

    @Pjotterd You don’t have to but you can uncomment that part, Line 112. I am not running it with one.
    @GraHal Yes all Nicolas’ hard work. Simply a port from me.

  4. Cosmic1 • 09/04/2016 #

    A shame today’s fall was not captured but it fell outside of spec. Must be trusting in the backtest and IN/OUT sample. A good week overall for this strat though so cannot complain.

  5. traderollie • 09/04/2016 #

    Hi, I am going to use this system tomorrow with £1 trades. I’ll post my results. Do you have a direct email by any chance?
     
    Ollie

  6. Vish • 09/04/2016 #

    Hi … Thanks a lot for sharing this strategy. I have backtested this and works fine on DAX. Only concern is bigger position size. It does not seem to behave well if I have a position size of 10 (for e.g.) Can you suggest if this strategy is supposed to work only with small position sizes ? 

  7. Cosmic1 • 09/04/2016 #

    Hi Vish,
    All works ok here.  I started it just now with 10k starting pot and £10pp. Ends up at £104,000 from Sept 2008 to present day.

  8. Vish • 09/04/2016 #

    Thanks Cosmic. It works for me too. That was a silly mistake. Last week went quite well with this strategy on live trading. Anyone here likes to share to share results how they are getting on with it in live environment.

  9. Cosmic1 • 09/04/2016 #

    Hi Vish, Yes it was a good Thursday and Friday where between DAX and DOW breakout +800 points were added. As we know there could be drawdown but it’s nice to have a bit of a buffer built up now.

  10. JakeDB • 09/04/2016 #

    I cannot get my time conversions correct for Sydney Australia to get any data for this code. 
    Not sure what i am doing wrong

  11. Cosmic1 • 09/04/2016 #

    @JadeDB What times are you putting in?

  12. sincitytrader • 09/04/2016 #

    I tried this one out recently,  and wasn’t profitable for me.

  13. Cosmic1 • 09/04/2016 #

    Yes, not great lately. I stopped this live at the end of last year. Will wait to see when the right time is to put it back on. Just shows you that even following all the rules to avoid curve fitting etc, algo’s can still bite you!

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