Fisher Dax Daily

I would like to propose the following Daily Strategy on the Dax based on the Fisher Transform for any changes or opinions.

The Fisher Transform, with its rather complex mathematical formula, aims to create a function similar to a Gaussian probability density function. In this way, a very simple tool such as price is transformed into a technical indicator able to provide “extreme” signals to be exploited tactically.

the spread used is 1 tick

I left activated the cumulative functions, but they can be deactivated.

the system, as you can see, work on the stop and reverse of the fisher, almost always referring to the market.

DEFPARAM CumulateOrders = TRUE // Posizioni cumulate attivate

LEN=13

IF BARINDEX < len THEN

 value1 = 0
 fish = 0

ELSE

 MaxH = Highest[len](TypicalPrice)
 MinL = Lowest[len](TypicalPrice)
 Value1 = ( (TypicalPrice - MinL)/(MaxH - MinL) - .5) + .67 * Value1

 If Value1 > .99 then
  Value1 = .999
 ENDIF

 If Value1 < -.99 then
  Value1 = -.999
 ENDIF

 Fish = 0.5*Log((1 + Value1)/(1 - Value1)) + .5 * Fish

 a=5
 b=-5



ENDIF

IF fish CROSSES OVER b  THEN
 BUY 1 CONTRACT AT MARKET
ENDIF


IF fish CROSSES UNDER A THEN
 SELLSHORT 1 CONTRACT AT MARKET
ENDIF

DEFPARAM CumulateOrders = TRUE // Posizioni cumulate attivate

LEN=13

IF BARINDEX < len THEN

value1 = 0

fish = 0

ELSE

MaxH = Highest[len](TypicalPrice)

MinL = Lowest[len](TypicalPrice)

Value1 = ( (TypicalPrice - MinL)/(MaxH - MinL) - .5) + .67 * Value1

If Value1 > .99 then

Value1 = .999

ENDIF

If Value1 < -.99 then

Value1 = -.999

ENDIF

Fish = 0.5*Log((1 + Value1)/(1 - Value1)) + .5 * Fish

a=5

b=-5

ENDIF

IF fish CROSSES OVER b THEN

BUY 1 CONTRACT AT MARKET

ENDIF

IF fish CROSSES UNDER A THEN

SELLSHORT 1 CONTRACT AT MARKET

ENDIF

DAX Fisher

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.

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Bebbo • 07/31/2018 #
Thank you for your contribution.
I have tested your system on some instruments and I like it.
Unfortunately, doing the test day after day, change me to closing positions.

Thanks

bertrandpinoy • 07/31/2018 #
bonjour j ai tente l installation mais PRT m indique que ce code ne peut etre utilisé qu en cas de syteme de trading…
- Nicolas • 07/31/2018 #
  en effet, il faut utiliser l’éditeur de code ProBacktest, il ne s’agit pas d’un indicateur mais d’une stratégie de trading automatique ! 🙂

Nicolas FR/Bonjour Steftonio, non pas de frais overnight calculé sur la durée du backtest, c'est une...

Anonymous Any reason why in 2016 this system is doing very bad respect the previous years?

Nicolas "very bad" is relative to the account equity. I do not forward test this strategy since I po...

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