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.
//------------------------------------------------------------------------- // Main code : Breakout ProOrder EN DAX //------------------------------------------------------------------------- // We do not store data until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will wait until the next day for defining sell and buy orders. //All times are UK Time Zone DEFPARAM PreLoadBars = 0 // Position is closed at 20h00 PM DEFPARAM FlatAfter = 200000 // No new position will be initiated after the 16:00PM candlestick. Any existing orders cancelled at 16:30pm LimitHour = 161500 // Market scan begin with the 15 minute candlestick that closed at 8:30AM StartHour = 081500 // The 24th-31st days of December will not be traded because the market closes early. IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 074500 then //PositionSize = max(1,1+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume PositionSize = 1 //constant trade volume over the time endif MaxAmplitude = 170 MinAmplitude = 22 OrderDistance = 9 PourcentageMin = 19 // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude //SET TARGET PPROFIT 190
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