DOW Breakout 15Min

DOW Breakout 15Min

Firstly, a big thank you to Nicolas for this great site and for originally introducing us to the CAC Breakout using the same code here.

I set about testing this strategy on other markets due to the fact you can backtest 8 years of data with 200,000 units on the 15Min time-frame. The other massive plus is no fake profits and only 9, 0 bars in 1700 trades! 🙂

The DOW is slightly different to the CAC and DAX breakout. It did not like the first 30 min range but prefers the first hour range BUT we exclude the first 15min candle as you can see from the modifications to the code.

In this version I am using a fixed position size but you can activate the re-invest system if you are happy with that. It makes for an interesting ride!

I stuck to the rules of not over optimising/curve fitting by using an IN/OUT sample as documented here. This ran from Jun 2009 – May 2014.

The results above are £1 Per Point, £1000 Start and 1.8 Spread.

I am live trading this with real money with minimum stakes to test.

All times in the code are UK so please adjust to your timezone.

I have some more of these ported to other markets but need to spend a little more time getting them right before posting in the library. Expect them soon.

I have not had enough time to test different time frames. Maybe I will try that next if time allows.

Good luck and enjoy your trading.

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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. Cosmic1 • 346 days ago #

    From Wikipedia: 
    The ProRealTime software embeds a programming language named ProBuilder derived from the language BASIC. It allows the creation of customs indicators, strategies and market scans. It is also used in the ProBacktest, ProScreener and ProOrder modules of ProRealTime.

    • GAMMA • 346 days ago #

      thank you

    • GAMMA • 346 days ago #

      how I can change to C## I used ninja trader all the prog have to me in C##
      thank you in advance

  2. GAMMA • 342 days ago #

    thank you for detail I open the ac now and used it very soon

  3. GAMMA • 339 days ago #

    I try to run in prorealtime and it do not give any  profit and loss, I change the time in computer to uk time, may be I am missing some thing
    need you advise

  4. Cosmic1 • 338 days ago #

    You need to change the time in the code rather than your computer. What timezone are you in?

  5. GAMMA • 338 days ago #

    usa /new york

  6. Cosmic1 • 338 days ago #

    DEFPARAM FlatAfter = 153000
    LimitHour = 150000
    StartHour = 101500
    if time = 094500 then
    I think that is correct. Test and let me know.

    • GAMMA • 338 days ago #

      THANK YOU , I WILL FIX IT AND RUN THE TEST ,I WILL KEEP POSTED

  7. Yngve • 332 days ago #

    Hi
    can someone explan to me what these variables mean
     
    MaxAmplitude =
    MinAmplitude =
    OrderDistance =
    PourcentageMin =or direct me to a later conversatin on this site where it is explaned?In advance, thank you/Yngve

  8. Cosmic1 • 331 days ago #

    Hi Yngve,
    Amplitude relates to the range of the price action for the given times stipulated. 45mins in this case. You could relabel these to MinRange and MaxRange.
    Orderdistance is the amount of points before the breakout level that the order will be set.
    PourcentageMin (should be spelt PercentageMin) is the minimum % of the range that the price has to retrace to validate the breakout. Hope that helps?

  9. GAMMA • 324 days ago #

    I try as per your advise and change the time to usa time still no luck, may be I am doing some thing wrong? please advise ?

  10. Cosmic1 • 324 days ago #

    Post the code you are using, will try and figure it out. What broker?

  11. sammut • 160 days ago #

    Hey Cosmic, 
    Do you typically add a daylight savings adjustment in your code when running back tests over multiple years of data? I’m not sure if I’m the only one who does this however I hope I’m not missing out on a simpler way 🙂

  12. Cosmic1 • 160 days ago #

    Hey Sammut,
    I have never done this but I thought about it before but didn’t do anything about it! I just adjust manually at those times of the year that we mismatch with the US. It does of course affect the backtest slightly.
    How do you achieve it in your code? I would like to update the blackest to take account of this.
    @Nicolas, any insight in to this?

  13. sammut • 159 days ago #

    I have attached my version of your DOW breakout strategy. Main bits for DLS adjustments are as follows:
    IF ((Month = 3 and Day > 7) and (Month = 3 and Day < 15)) or ((Month = 11 and Day >= 1) and (Month = 11 and Day < 8)) THEN
    //Period over which Daylight savings takes place, no trading during this time
    TradingDay = 0
    DLS = 0
    elsif (Month = 3 and Day >= 15) or ((Month > 3) and (Month < 11)) THEN
    //DLS applies as New York is forward an hour during this period
    // New York time is (GMT - 4)
    DLS = -10000
    else
    // No DLS
    // New York time is (GMT - 5)
    DLS = 0
    endif

    LimitHour = 204500 + DLS
    I also use different variables in my code, probably as I do not have PRT professional yet and have limited data to test on 🙁
    Thanks for posting your code Cosmic, it has been the first algo I have traded live with!

  14. Cosmic1 • 158 days ago #

    Looks like a good bit of code. I will take a look later. I’d really like to get this algo back on and running but over the last 10 months or so it has been flat and choppy. Same story with the DAX. I stopped it a few months ago now and have looked since but can’t find a set of variables or equity curve that I’m happy with. What variables are you running?

  15. sammut • 154 days ago #

    Hey Cosmic, I am just in the process of re-evaluating my variables due to, as you say, some recent choppy rides. The parameters I optimise are below:

    MinAmplitude
    OrderDistance
    PourcentageMin
    StartHourStep
    RangeExtendStep

    I dont change MaxAmplitude as I want to fix my maximum risk at this stage. I optimise additional variables StartHourStep and RangeExtendStep.I am just realising that I am not able to attach my code in this post for some reason. If you send over your email I can forward my code (.itf files) for you to check out and discuss

  16. Cosmic1 • 151 days ago #

    Lets discuss here: https://www.prorealcode.com/topic/cac-breakout-ported-to-other-markets/

  17. rejo007 • 7 days ago #

    hello,
    anybody use thi strategy for a long time?
    thanks

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