Dax survivor long/short mean reverting/breakout

Khaled

6 years ago

# Reply

Hi Francesco , thank you for sharing your hard work. Any idea why all orders are executed at 01.00 am (French/Italian time)? Thanks Khaled

Francesco78

9 years ago

# Reply

I did a little bit of work on that and now the results looks better and more stable.

Please let me know what you think!

// DAX(mini) - IG MARKETS
// TIME FRAME 1Day
// SPREAD 1.0 Point

DEFPARAM CumulateOrders = False

//DEFPARAM FLATBEFORE =090000
//DEFPARAM FLATAFTER =210000
golong = 1
goshort = 1
exitafternbars =1 // the strategy has an exit strategy of the type n bars


// variables optimized
adxvallong = 28 // set the adx value for long position under which the  strategy is mean reverting and above which the strategy is breakout
atrmaxlong = 250//set the max vol accetable for long position
adxvalshort = 20// set the adx value for short poistions under which the strategy is mean reverting and above which the strategy is breakout
atrmaxshort = 250//set the max vol acceptable for short positions

along= 30//number of cons bar for a long trade
mlong = 1// sets the atr multiplier to enter into a mean reverting strategy for long positions
nlong = 1.2//sets the atr multiplier to enter into a breakout strategy for long positions

ashort=7//number of cons bars for a short trade
mshort = 1//sets the atr multiplier to enter into a mean reverting strategy for short positions
nshort = 2//sets the atr multiplier to enter into a breakout strategy for short positions
//

vollongok = atr<atrmaxlong
volshortok = atr<atrmaxshort
brekoutlong = marketregimeindicator>adxvallong
meanreversionlong = marketregimeindicator <adxvallong
brekoutshort = marketregimeindicator>adxvalshort
meanreversionshort = marketregimeindicator<adxvalshort
adxperiod = 17
atrperiod = 13
marketregimeindicator = adx[adxperiod]
atr = AverageTrueRange[atrperiod]

positionshort = round(1000/atr) //define the size of short positions
positionlong =  saisonalpatternmultiplier*round(1000/atr/2.16666) // define the size of long positions


// define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade)
ONCE January1 = -3//3 //0 risk(3)
ONCE January2 = 2//0 //3 ok
ONCE February1 = 3 //3 ok
ONCE February2 = -3//3 //0 risk(3)
ONCE March1 = 0//3 //0 risk(3)
ONCE March2 = 3//2 //3 ok
ONCE April1 = 3 //3 ok
ONCE April2 = 3 //3 ok
ONCE May1 = 3//1 //0 risk(1)
ONCE May2 = 1 //0 risk(1)
ONCE June1 = -2//1 //1 ok 2
ONCE June2 = 3//2 //3 ok
ONCE July1 = -2//3 //1 chance
ONCE July2 = 1 //3 ok
ONCE August1 = 3 //1 chance 1
ONCE August2 = 3 //3 ok
ONCE September1 = 2//3 //0 risk(3)
ONCE September2 = 0 //0 ok
ONCE October1 = 3 //0 risk(3)
ONCE October2 = 3//2 //3 ok
ONCE November1 =3// 1 //1 ok
ONCE November2 = 3 //3 ok
ONCE December1 = 3 // 1 chance
ONCE December2 = 3//2 //3 ok

// set saisonal multiplier
currentDayOfTheMonth = Day
midOfMonth = 15
IF CurrentMonth = 1 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = January1
ELSE
saisonalPatternMultiplier = January2
ENDIF
ELSIF CurrentMonth = 2 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = February1
ELSE
saisonalPatternMultiplier = February2
ENDIF
ELSIF CurrentMonth = 3 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = March1
ELSE
saisonalPatternMultiplier = March2
ENDIF
ELSIF CurrentMonth = 4 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = April1
ELSE
saisonalPatternMultiplier = April2
ENDIF
ELSIF CurrentMonth = 5 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = May1
ELSE
saisonalPatternMultiplier = May2
ENDIF
ELSIF CurrentMonth = 6 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = June1
ELSE
saisonalPatternMultiplier = June2
ENDIF
ELSIF CurrentMonth = 7 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = July1
ELSE
saisonalPatternMultiplier = July2
ENDIF
ELSIF CurrentMonth = 8 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = August1
ELSE
saisonalPatternMultiplier = August2
ENDIF
ELSIF CurrentMonth = 9 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = September1
ELSE
saisonalPatternMultiplier = September2
ENDIF
ELSIF CurrentMonth = 10 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = October1
ELSE
saisonalPatternMultiplier = October2
ENDIF
ELSIF CurrentMonth = 11 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = November1
ELSE
saisonalPatternMultiplier = November2
ENDIF
ELSIF CurrentMonth = 12 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = December1
ELSE
saisonalPatternMultiplier = December2
ENDIF

endif




//long meanreversion
IF (abs(open-close) > (atr*mlong) and close < open and golong and vollongok and meanreversionlong)   THEN
buy  positionlong CONTRACTS AT MARKET
ENDIF


// long breakout
IF (abs(open-close) > (atr*nlong) and close > open and golong and vollongok and brekoutlong)   THEN
buy  positionlong CONTRACTS AT MARKET
ENDIF


//short meanrevesrion
IF (abs(open-close) > (atr*mshort) and close > open and goshort and volshortok and meanreversionshort)   THEN
sellshort positionshort CONTRACTS AT MARKET
ENDIF

// short
IF (abs(open-close) > (atr*nshort) and close < open and goshort and volshortok and brekoutshort)   THEN
sellshort  positionshort CONTRACTS AT MARKET
ENDIF



if exitafternbars then
IF shortonmarket and BarIndex - TradeIndex >= ashort Then
exitshort  positionshort contracts at Market
EndIF
endif

if exitafternbars then
IF longonmarket and BarIndex - TradeIndex >= along Then
sell  positionlong contracts at Market
EndIF
endif

p = 6
l = 7

set target profit p*atr
set stop ploss l*atr

Regards

Francesco 

Francesco78

9 years ago

# Reply

I did a little bit of work on that and now the results looks better and more stable.

Please let me know what you think!

Regards

Francesco 

Francesco78

9 years ago

# Reply

Hi Keemax, I dont have it on real at the moment, in any case the strategy is very long term and dont generate a big number of trade so it is reasonable that you dont have any signal if you put it just for few days, I suggest to do a backtesting starting from the day you you have chosen to put in on real and see if there is a discrepancy from back test and real.

I hope that helps.

Francesco 

keemax73

9 years ago

# Reply

Ciao Francesco78, i tried to put your strategy in real mode but did not generate any movement.

What am I doing wrong ?

Thank you.

Francesco78

9 years ago

# Reply

Hi Cosmic1

Thank you for your comments.

what I did is to optimize the code for different time frames, we could optimized in order for the strategy to work for the last 2 years or 5 years, but in my opinion by doing so we will get an insufficient number of trades in order to make the sample statistically significative.

From what I remember I agree with you, if you do WF from the beginning of the time series then the last period is flat or slightly negative, if instead you make the optimization starting from more recent time, i.e. 2007 in that case you get an upward slope.

Id be happy to discuss further.

Best Regards

Francesco 

Cosmic1

9 years ago

# Reply

Hi Francesco, thanks for your hard work. I have been playing around with your strategy but can't get an IN/OUT /WF sample to work. The best I can get is either a slight decline, flat or very slight profit on the out sample for the last period and no where near 50% efficiency. Did you test in this way, what are your views?