The “DAX Donchian Breakout” strategy

The “DAX Donchian Breakout” strategy

Hi all,

Here is one of my simple strategies. With a little help from someone, here is the code with optimization.

The strategy is using Donchian breakout, with MACD, RSI and moving average as trending indicators.

The code is so simple that I won’t write a long description.
Seems to be effective !

Best regards,

This strategy is suitable for : DAX, H1 (1 point spread, tick by tick)

 

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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. Daniel da Costa • 03/18/2018 #

    Thanks Doc! Where can you find a service for Dax with a 1 point spread?

    • Doctrading • 03/18/2018 #

      Hello. I suggest you : ProRealTime CFD, or IG.
      Best regards,

  2. JanWd • 03/18/2018 #

    Hey Doctrading,

    I tried your code, optimising the A and V and the RSI period, see below.
    Seem to work very promising, but only for one year, from april 2017 to april 2018 It does NOT gain a profit for a period before that period, from april 2016 to april 2017 the net result is zero (1,8 point spread)

    This poverly performance further back in the past happen very often with my algo models as well, —> how do you deal with this phenomenon ?
    Looking forward for your thoughts,
    Thanks, Jan
    ===============================
    Your code optimised with 3 variables, speaks for itself:
    //https://www.prorealcode.com/prorealtime-trading-strategies/dax-donchian-breakout-strategy/
    // ALLEMAGNE 30
    // H1
    DEFPARAM CumulateOrders = False

    // TAILLE DES POSITIONS
    N = 1

    // MACD histogramme
    iMACD = MACD[12,26,9](close)

    // Donchian
    // Pour le DAX : A = 9 et V = 7
    A= a1//9 default, variable optimization
    V = v1//7default, variable optimization

    DonchianSupA = highest[A](high)
    DonchianInfA = lowest[A](low)
    DonchianSupV = highest[V](high)
    DonchianInfV = lowest[V](low)
    iRSI= RSI[R](close) //4 default, variable optimization
    OneTradePerDay = IntradayBarIndex iMACD[1]
    ca2 = iMACD >= 0
    ca3 = close crosses over DonchianSupA[1]
    ca4 = iRSI > 63
    ca5 = close >= average[50]
    IF ca1 AND ca2 AND ca3 and ca4 and ca5 and OneTradePerDay THEN
    buy N shares at market
    ENDIF

    sell at DonchianInfA stop

    // VENTE
    cv1 = iMACD < iMACD[1]
    cv2 = iMACD <= 0
    cv3 = close crosses under DonchianInfV[1]
    cv4 = iRSI < 31
    cv5 = close <= average[500]

    IF cv1 AND cv2 AND cv3 and cv4 and cv5 and OneTradePerDay THEN
    sellshort N shares at market
    ENDIF

    exitshort at DonchianSupV stop

  3. Glen Marquis • 270 days ago #

    This will work as there is plenty of room for the Target before the Stop, yet the Stop would be hit first far more frequently, hence the equity curve nothing at all as per real time.

  4. magicT • 268 days ago #

    I did a copy and paste of this code and PRT 10.3 returns a synthax mistake:

    OneTradePerDay = IntradayBarIndex iMACD[1]

    Can you clean this error please ?

    Thanks.

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