DI TEMA Trendfollowing strategy on DAX 5 min

DI TEMA Trendfollowing strategy on DAX 5 min

Please find below a simple strategy based on a combination of the DI and TEMA indicators.

It performs quite well on the DAX 5 minutes (7:00-22:00 trading), for 100.000 bars, spread 5 pips.

Conditions to OPEN positions (see settings in the code)

1 TEMA trend turn into positive (for long) or turns into negative (for short)

2 the DI increases, but starts from below zero (Long) or decreases, but starts from above zero (short)

The only CLOSE conditions are  a Trailing stop loss, whereby the Trailing stop is reduced after 12 trading bars.

I tried it on several indices in different timeframes, I only got good results for the DAX, 5 minutes bar.

Disadvantage of this strategy is the long TTM, Time in the Market, of at least 65 %, obviously also overnight.

As a spread I have taken into account 5 pips, which should include 3 pips for interest to be paid (estimation 4% x exposure 12.000 Euro for 1 contract x 65% in the market / 120 trades per year)

This strategy requires a bit different settings for 2019 alone (for better results) compared to the settings set in the code for the whole period of 100.000 bars. I am (obviously!) looking for automated setting adjustments during different structures of market movements, any suggestions are more then welcome.

Any suggestions for improvement welcome !

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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.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. fatcat • 62 days ago #

    Thanks Jan. But unfortunately I cannot confirm your backtesting results! Much worse!

  2. Jan Wind • 60 days ago #

    Hallo Fatcat,

    1. Most important: Did you set the trading hours to 7:00 to 22:00 CET, not including the nightly hours ? (Dutch/German time, UK time one hour earlier)
    Go to Options –> Platform Options –> Time Zones and Trading Hours –> (Adjust) trading hours

    2. The results shown are based on a IS 66% / OOS 34%, you can simulate this with varying the TEMA variable (28/30). The results IS/OOS are better than non IS/OOS testing, with the same variable settings, which is weird (I would expect the same results for running the code for 100.000 bars with or without running an IS/OOS, if the only optimised variable TEMA appears to be 28 in both runs)
    Maybe someone can explain or have experienced the same thing ?

    3. The results from half March till May 2019 are not that good, which negatively influence the performance

    Hope it helps you further
    KR Jan

  3. fatcat • 50 days ago #

    Sorry, but not working with trading hours 07:00 – 22:00 CET either. Are you sure it is exactly the code matching the results? Can anybody confirm the trading results? Thx!

    • Jan Wind • 49 days ago #

      fatcat,
      sorry to hear. Today I did run the code for 100.000 bars (from 17 dec 2017 till 31 may 2019) with no IS/OOS , just run the code and the results are OK

      1 Euro contract on the DAX, with a spread of 5 (!) points to cover the spread plus interest costs for positions overnight
      Period 13 dec 2017 till 31 may 2019
      Exposure +/- 12.000 Euro (1 Euro Dax contract)
      Total Gain 3.566 Euro
      Winning 63%
      Gain/Loss 1,46
      TTM 64%
      Transactions 167

      The last 5 months are showing negative results, however the last trades are winning again.

      Not sure why it does not work with you

      Again I want to mention that Walk Forward (IS/OOS) result with exactly the same setting give much better result, which is WEIRD (4.302 Euro instead of 3.566 Euro)
      I only vary the TEMA value with a variable tt, which can have the value 28 and 29, and run an IS/OOS with 66% IS 34% OOS (just 1 Walk Forward), with appears an optimal setting of TEMA of 28
      KR Jan

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