Hi guys,
Let me show you this simple strategy using SAR. It use a simple SAR with two filters (stochastic and macd) to select better operations.
I have a lot of fake signals but anyway winners are better than lossers so it make money.
Any idea to improve this strategy? Discussion about the system in the forum: https://www.prorealcode.com/topic/dax-parabolic-system/
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// Definición de los parámetros del código DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada // Condiciones para entrada de posiciones largas parabolic = SAR[0.02,0.02,0.2] sto = Stochastic[5,3](close) signal = average[3](sto) mac = MACD[12,26,9](close) c1 = (parabolic < close) c2 = (signal > 50) c3 = (parabolic[1] > close[1]) IF c1 AND c2 AND c3 and mac >0 THEN BUY 1 CONTRACT AT MARKET ENDIF // Condiciones de salida de posiciones largas c4 = (close < parabolic) IF c4 THEN SELL AT MARKET ENDIF c5 = (parabolic > close) c6 = (parabolic[1] < close[1]) if not c2 and c5 and c6 and mac < 0 then Sellshort 1 contract at market endif c7 = (close > parabolic) IF c7 THEN EXITSHORT AT MARKET ENDIF SET STOP pTRAILING 55 |
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Thanks for sharing !
The Gain/Loss ratio is a bit low, 1,16, hardly offset the risks taken by trading. Did you try for the period presented an InSample/Out of Sample test, eg like 66% IS and 34% OOS ?
whats the period ?