intraday DAX strategy mini-1€, timeframe 5 min

Hi Raul
This is very cool & I’m paper trading it from today. I’m just trying to get my head around the rationale for the accumulator. If I can’t verbally describe a strategy then I’m always more cautious. It assumes that the market move tomorrow is related to today right? i.e. it is not an independent event? Or more precisely, that the success of the strategy (i.e that the market continues to move in the same direction as the first 5 minute bar) is related between consecutive days? Or at least it is saying that there are times (not necessarily all of the time) when the two events are related and the accumulator makes the most of these related periods? I can sort of believe it although I’m trying to get completely comfortable with it in my head. The results go a long way to showing that there is a degree of relatedness.
I’m not meaning to be pedantic!
Thanks

I’ve backtestest from 2 Jan 2013 until 20 Dec 2016 (just for making forward testing nice and neat 4 1-year periods). It’s almost 200,000 bars. I can’t attach files when I take a screen shot and I have even downloaded SnapMyScreen.
I’ve made a few changes to your first code (where the order size is reduced by /2). I’ve limited ordersize to 11 to be conservative. Also focused on minimising max drawdown.
n=1, Ordersize = 11, Stop = 3, Target = 12 (I know, the stop may be too close and I could miss profitable moves). I’ll see how it goes and may go back to a stop of 5. Spread 1. I’m also including an Order Fee of EUR1 / contract.
Results seem promising: Gain 787.09%, % winning trades 26.54%, Gain/Loss 1.75, Max Drawdown 3,886. As to be expected a brilliant performance in Q4 2016 with nearly EUR30k profits (all building up to this). So far this year just seems to be “ticking over” with small losses.
I’ll attach files when I can. It always says “HTTP error”. 
Hope this helps.
 

You can see clearly from the equity curve what you mean by whole months of nothing going on…just ticking along with small losses, then on a number occasions there is a run of 6+ winners in a row and then there is a nice spike up in profits. Almost like steps is you see what I mean. I would say approximately 20 of these “steps”, followed by a “quiet period” of small losses, then another “step”

The code is no different to Raul’s above. Here it is again (with a few bits translated into English by Google). I thought it would be useful to attach the screenshot of the equity curve or the Backtest Report for everyone however I didn’t know it wasn’t allowed in the comments. 
 
// Definition of parameters
DEFPARAM CumulateOrders = false // No accumulation of orders

// The position is closed at 4:30 p.m., local market time (London).
DEFPARAM FlatAfter =162900

once ordersize=1
// No new positions after the candle closes at 08:06
EndTime = 080600
// Market analysis starts in the candle 5 minutes closes at 08:05
StartTime = 080500

// Max orders
if Ordersize>11 then
Ordersize=11
endif

// Risk & multiplier contracts

n=1

// Conditions for analysis

if Time >= StartTime and time <= EndTime then

// Conditions to enter long positions

c1 = open < closeO-1
IF c1 THEN
IF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
endif
// If the first day of 5 bar min is positive, we buy
buy ordersize*n shares at market
endif

// Conditions to enter short positions

c2= open > close-1
IF c2 THEN
iF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
ENDIF
// If the first day of 5 bar min is positive, we sell.
sellshort ordersize*n shares at market
endif
endif

SET STOP ploss 3 //5
SET TARGET pPROFIT 12 //10

All. These are the results with the version of the code I posted above. I know the code has changed but I have been asked for the results with a stop of 5.
Stop 5, Target 10: initial equity of EUR10k is too small. You have a max drawdown of EUR9063 and the strategy stops in Feb 2014. If you increase starting equity to EUR20k, strategy moves into profit from approx Q2 2014. It does really well but you have to be comfortable with the drawdown. Obviously returns aren’t as high as you have doubled starting equity.
 
Stop 5, Target 12: Starting equity of 10k. Works OK. Drawdown of 6,014 (so more than when stop is 3). Makes more overall (+968% over the 4 years). Winning trades 35.62%, G/L 1.5, Loss of worst trade 1,651.
Overall, if you are just concerned with the total gain over the 4 years, stop 5 & target 12 is better. However I wasn’t happy with the drawdown. The strategy “ticks along” through 2013 no matter what the settings (either small gain or, in most cases, loss). I optimised and walked forward from 2013 and I decided on Stop 3, Target 12. I was tempted with Stop 4, Target 10 (Gain 976%, % winning 36%, G/L 1.75) however had drawdown 5,834 and in particular had a worse year in 2013.
Hope this is of use.