Dax Short only – intraday trading strategy – timeframe 15 minutes

Dax Short only – intraday trading strategy – timeframe 15 minutes

Dear All,

I think it is the good timing to share with you the following strategy.

“Dax Short 15′” is nothing really complicated but works fairly.

  • TF 15′
  • Instr. DAX
  • Tested on “tick by tick”
  • Tested with 200k bars.
  • 1 pt spread.
  • WF hasn’t been done.

Kindly note that I am not the coder of the century 😉 however I’ll be delighted to help as much as I can.

Thank you.

 

Share this

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?

New! PRC is also now on YouTube, subscribe to our channel for exclusive content and tutorials

  1. jebus89 • 311 days ago #

    what timezone? not getting similar results 🙂

  2. JR1976 • 307 days ago #

    Hi Inertia ,
    first of all , congrats for the good strategy
    one questions : the average 2000 in the code Time frame 15min, rapresent the Average 100 in Daily Time frame ?

    thanks

  3. Inertia • 307 days ago #

    Thank you JR1976.
    It was not meant to be a conversion from a daily TF but mostly a “larger and round” filter for this 15’TF.
    However, i did an excel breakdown as attached (fyi)…

  4. lysan2 • 306 days ago #

    Thank you Inertia.
    Can you think if it’s possible to applicate this strategy (Long Only) ?

  5. Inertia • 306 days ago #

    Sorry lysan2, the exact one for long only doesn’t work well.
    Perhaps, you may have to look with roughly the same trigger for entries but on a smaller TF to possibly find an edge.
    thx.

  6. andreag76 • 304 days ago #

    Long version… not very good

    //DEFPARAM Preloadbars = 3000
    DEFPARAM CumulateOrders = False
    DEFPARAM FLATBEFORE = 090000
    DEFPARAM FLATAFTER = 210000
    noEntryBeforeTime = 090000
    timeEnterBefore = time >= noEntryBeforeTime
    noEntryAfterTime = 213000
    timeEnterAfter = time 2)
    indicator3 = ExponentialAverage[mafilter](close)
    c3 = (close > indicator3)
    indicator4 = ExponentialAverage[mafilter](close)
    indicator5 = ExponentialAverage[mafilter](close)
    c4 = (indicator4 > indicator5[1])

    IF (c1 AND c2 AND c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
    buy ordersize CONTRACT AT MARKET
    ENDIF

    //trailing stop
    trailingstop = TS//Best 30

    //resetting variables when no trades are on market
    if not onmarket then
    MINPRICE = close
    priceexit = 1
    endif

    //case long order
    if longonmarket then
    MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade
    if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
    priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
    endif
    endif

    //FINE LONG

    //exit on trailing stop price levels
    if onmarket and priceexit>0 then
    EXITSHORT AT priceexit STOP
    SELL AT priceexit STOP
    endif

    SET STOP Ploss SL
    Set Target PProfit TP

  7. Inertia • 304 days ago #

    @Andreag76
    Thank you but your code is broken.
    Variables are missing and the trailing stop, if long only should be MAXPRICE instead of MINPRICE.
    However, yes the long version on a TF 15′ doesn’t work well enough.
    Kind regards,

  8. Vieux Marin • 227 days ago #

    Hi,
    What do you think about this ?

    //————————————————————————-
    // Code principal : Dax Short 15′
    //————————————————————————-
    //———————————–
    // Code principal : Dax Short 15′
    //————————————————————————-
    // Définition des paramètres du code
    // From Inertia
    //Last optimization 26/07/2017

    DEFPARAM Preloadbars = 3000
    DEFPARAM CumulateOrders = False
    DEFPARAM FLATBEFORE = 100000
    DEFPARAM FLATAFTER = 180000
    noEntryBeforeTime = 100000
    timeEnterBefore = time >= noEntryBeforeTime
    noEntryAfterTime = 213000
    timeEnterAfter = time < noEntryAfterTime
    daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

    REM Variables
    // Taille des positions
    REINV = 1
    LEVIER = 5
    IF REINV = 0 THEN
    N = 1
    ELSIF REINV = 1 THEN
    capital = 500 + strategyprofit
    N = round(capital / 500)*LEVIER
    ENDIF
    ordersize = N

    mafilter = 250 // 2000
    TS = 30 // 30
    SL = 45 // 45
    TP = 110 // 110

    //MACD settings
    a = 12 // 12
    b = 26 // 26
    c = 9 // 9

    // Conditions pour ouvrir une position en vente à découvert
    indicator1 = MACD[a,b,c](close)
    c1 = (indicator1 CROSSES UNDER 0)
    indicator2 = MACDline[a,b,c](close)
    c2 = (indicator2 < 0)
    indicator3 = ExponentialAverage[mafilter](close)
    c3 = (close < indicator3)
    indicator4 = ExponentialAverage[mafilter](close)
    indicator5 = ExponentialAverage[mafilter](close)
    c4 = (indicator4 =trailingstop*pointsize then //if the MFE is higher than the trailingstop then
    priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
    endif
    endif

    //exit on trailing stop price levels
    if onmarket and priceexit>0 then
    EXITSHORT AT priceexit STOP
    SELL AT priceexit STOP
    endif

    SET STOP Ploss SL
    Set Target PProfit TP

  9. Inertia • 227 days ago #

    Thank you.
    Sorry, there is a bug on line 52…

  10. Vieux Marin • 224 days ago #

    //————————————————————————-
    // Code principal : Dax Short 15′
    //————————————————————————-
    //———————————–
    // Code principal : Dax Short 15′
    //————————————————————————-
    // Définition des paramètres du code
    // From Inertia
    //Last optimization 26/07/2017

    DEFPARAM Preloadbars = 3000
    DEFPARAM CumulateOrders = False
    DEFPARAM FLATBEFORE = 100000
    DEFPARAM FLATAFTER = 180000
    noEntryBeforeTime = 100000
    timeEnterBefore = time >= noEntryBeforeTime
    noEntryAfterTime = 213000
    timeEnterAfter = time < noEntryAfterTime
    daysForbiddenEntry = OpenDayOfWeek = 1 OR OpenDayOfWeek = 3 OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

    REM Variables
    // Taille des positions
    REINV = 1
    LEVIER = 3
    IF REINV = 0 THEN
    N = 1
    ELSIF REINV = 1 THEN
    capital = 500 + strategyprofit
    n = (capital / 500)*LEVIER
    N = round(n)
    ENDIF
    ordersize = N

    mafilter = 2000 // 2000
    TS = 30 // 30
    SL = 45 // 45
    TP = 110 // 110

    //MACD settings
    a = 12 // 12
    b = 26 // 26
    c = 9 // 9

    // Conditions pour ouvrir une position en vente à découvert
    indicator1 = MACD[a,b,c](close)
    c1 = (indicator1 CROSSES UNDER 0)
    indicator2 = MACDline[a,b,c](close)
    c2 = (indicator2 < 0)
    indicator3 = ExponentialAverage[mafilter](close)
    c3 = (close < indicator3)
    indicator4 = ExponentialAverage[mafilter](close)
    indicator5 = ExponentialAverage[mafilter](close)
    c4 = (indicator4 =trailingstop*pointsize then //if the MFE is higher than the trailingstop then
    priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
    endif
    endif

    //exit on trailing stop price levels
    if onmarket and priceexit>0 then
    EXITSHORT AT priceexit STOP
    SELL AT priceexit STOP
    endif

    SET STOP Ploss SL
    Set Target PProfit TP

  11. tecknozic • 132 days ago #

    Bonjour Inertia, cette sais-tu si cette stratégie fonctionne sur un compte IG à “risque limité” ? Car je crois qu’il y a une restriction sur le fonctionnement des trailing stops. Mais peut-être que ton code contourne cette restriction de par sa conception ? Merci.

    • Inertia • 130 days ago #

      Bonjour tecknozic…. Je ne sais pas… Désolé.
      Bonne chance 😉

  12. teddy58 • 74 days ago #

    This system is the only one running on my PC, which i didn´t developed my myself. My forcast was correct, the system makes money !! Gratulation, you understand the DAX.

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
TraderFelix
3 weeks ago
Nicolas Thank you Xusto. Thank you a lot for your contribution :) Since your code is a Pathfinder'...
Xusto Hello, Fully Agree, I will update it with your advice. Btw Can would you like share you co...
Petersson Kristian Hi when I do back test I get 0 results, what do I do wrong? Trade Well Chris
JohnScher Yes i did before, see library/strategys/repulse and dpo https://www.prorealcode.com/proreal...
JohnScher Don't know what you're doing wrong. Import ITF and observe time zone settings. This should...
osupero https://www.screencast.com/t/QmSXRbBR
osupero https://www.screencast.com/t/2fCW8fkGsOeZ....solo posiciones largas por ahora
osupero https://www.screencast.com/t/MIaSZ2PRg
Daniel da Costa Thanks Doc! Where can you find a service for Dax with a 1 point spread?
Doctrading Hello. I suggest you : ProRealTime CFD, or IG. Best regards,
JanWd Hey Doctrading, I tried your code, optimising the A and V and the RSI period, see below. ...
vlongobardo67 Ciao Fulvio, ho scaricato ed importato il file. m,a se lo faccio girare sul miniDax non ...
FULVIO09 Attualmente non c'è sufficiente volatilità : la condizione "C0 = AverageTrueRange[1500](Clos...
vlongobardo67 Ma io intendevo in backtest ! Scusa non l’ho menzionato.
Dominik // Stops und Targets SET STOP pLOSS 0 SET STOP PTRAILING 45 SET TARGET pPROFIT 55
beeb Hallo Dominik, das mit dem deutsch schreiben kommt mir sehr gelegen. Komme auch aus Deutschl...
vlongobardo67 hi Beeb, I imported the file in my platform but is does open any order. What is wrong , wha...
Yannick TradingDayLong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayof...
Marlon Hey JohnScher, your code works fine, but my results aren't as good as yours. Even if I use ...
DarioMazza Bha... this code dont work. gg
ALE
8 months ago
ALE P01 , it’s the first patner of the indicator, I hope to add others in future.
ALE We can discuss about the strategy here: https://www.prorealcode.com/topic/scalping-indicator/
settival CIAO ALE CREDO DI AVER SETTATO PER BENINO LO SCALPING INDICATOR MA NON VISUALIZZO I SEGNALI ...
Yannick Hello There is a mistake in trailing stop code, I think that this should fix the problem s...
Paul About the trailing-stop the way it's coded. That works for backtesting only, just look at th...
Jonny sorry paul, but system says that is not possible to put many stop order combined...what have...
BC
9 months ago
TempusFugit Thanks Bin, nice code, I can use several ideas of the way you build it
DarioMazza Thanks Bin, great concentration, i understand the first idea, but may u indicate me the asse...
Bin Hi Mazza This robot is optimized for DAX30.
TempusFugit Masala, thanks for your contribution. I don´t like the offmarket spreads neither ;) I unders...
Uveus Tempus, me da un error al validar el codigo, sobre la variable N. Al crear el indicador me ...
TempusFugit Hi Uveus, I am guessing you inserted the code of the indicator into the system code, is ...
JM David, Thanks a lot and next week I begin the test of this strategy in real... You have ot...
rejo007 hello david, i'll try it could you tell me wich strategy do you use in real? thanks
David Somogyi Hello, I have a couple of DAX strategies of breakout and mean reversion. I'll try to post...
verdi55 Running a single Renko strategy with a fixed box size is usually not a good idea, because th...
Fabrizio_T Hi, have you tested on the period 30 julay - 30 September 2015?
grzemariusz Hi I use your strategy but i don't know how to implement position size to the code thanks f...
gackeen Scusa Pier, scusate tutti, sono nuovo. Ho caricato il file e mi viene restituito il messaggi...
JR1976 HI Nicolas , I tried to copy paste but not import directly and the code works well I hav...
mcosta This code doesn't work on 10.3 platform(IG), neither with copy/paste nor with itf import, an...
dkinse Hey, Yes it´s running in 30 m timeframe. I had it running and it made two trads in januar...
Wing There's a few threads on the forum about backtest and live trades being different at times. ...
ET I agree with verdi55. As it is now, the code will only test for a breakout on the upside (li...
Nicolas Thanks for sharing your automated trading strategy idea. Even if you accumulate loosing orde...
Maz Ok. Potential here to build onto this. Have opened a forum thread for further discussion: h...
ALE
1 year ago
CSR strategy DAX 1 D
CSR strategy DAX 1 D
14
Strategies
ALE Thanks as always Nicolas
Toto le Heros It looks very interresting. I have one question related to the following result in ProbackTe...
StefanStrand I tried running this on IG ProRealTime and get the following error message, why could this b...
Francesco78 Hi Keemax, I dont have it on real at the moment, in any case the strategy is very long term ...
Francesco78 I did a little bit of work on that and now the results looks better and more stable. Please...
Francesco78 I did a little bit of work on that and now the results looks better and more stable. Please...
Francesco78 ok sounds good, you can put min size = 1 and go for the seasonable breakout too, also you ca...
JR1976 HI all , anyone test 200k bar for this great code ?
JanWd Thank you for the coding, it seems promising. FTSE gives for the short term (5 min) promis...

Top