Kama & Sma Trading System DAX mtf

Kama & Sma Trading System DAX mtf

Coded for micro DAX €1 (simply multiply by 25 to run on standard DAX €25 or by 5 to run on mini DAX €5), 1-hour TF.

I used the Multiple Time Frame support to allow Breakeven/Trailing Stop to run on 1-minute bars (default TF).

Strategy from https://www.forexstrategiesresources.com/trend-following-forex-strategies/111-kama-strategy/.

Compared to the original version at the above link, I only optimized the SMA (called MVA in the above site) and set it to 22, instead of 7.

I also added SL & TP plus my own Breakeven/Trailing Stop code snippet.

Lines 10-11 allow to enable/disable Long/Short trading (both enabled by default).

Lines 21-25, along with lines 54-61 and lines 67 and 74, ban further trading before a whole 1-hour bar has elapsed, in case a trade exits within a few 1-minute bars. In such case the 1-hour signal is still set and valid, but it would most likely lead to a losing trade since the momentum is likely to have faded.

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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. CN • 24 days ago #

    You mean coded for the 1-min TF?

  2. robertogozzi • 24 days ago #

    It’s a Multiple Time Frame strategy.
    It must be launched from a 1-minute chart, but signals are generated on the 1-hour TF.

  3. CN • 24 days ago #

    Sure Roberto, but didn’t get any trades on the 1H TF, so trading TF should be 1-min 🙂

  4. robertogozzi • 24 days ago #

    Yes.
    You need to search MTF to read what it is all about and understand how it works.
    You will only see trades on your 1-minute chart.

  5. Jesper • 23 days ago #

    What should be multiplied in order to compensate för other contracts size?

  6. robertogozzi • 23 days ago #

    Line 9, nLots is the number of contracts, you can change it as best suits you.

    • Jesper • 22 days ago #

      Ah, that’s what I thought as there were no ties in to the actual logics. Thanks!

  7. Edurecio • 23 days ago #

    I do not understand.
    Even if you change “time forbidden,” the system still produces the same results, with entries within that range.

    TimeForbidden = OpenTime 190000

  8. Jungblom • 23 days ago #

    I have ran this now for today and now @15:00 i got a “Alert triggerd for a sell Qty-1” and @ 15:05 I got a new alert on Buy (exit) qty +1 but no trades where triggerd why is that? Running with max position size of 2 contracts. when i backtest it a trade should have been done at these timestamps.

  9. robertogozzi • 22 days ago #

    If you want to discuss about inner workings or detail, please open a new topic on the ProOrder Support Forum and always attach detailed pics (instrument,TF,date and time should be visible), along with details posted.
    Thank you.

  10. winnie37 • 20 days ago #

    it could be tested on larger historic?

  11. robertogozzi • 20 days ago #

    If someone has access to 200K data history might post results (it would be better to start a topic on the ProOrder support forum). Upcoming v11 will support up to 1M bars of data history.

    • Gregg • 2 days ago #

      Hi Roberto, thanks for this new strategy but I don’t understand why I can’t backtest it with 200K units… it stops after 6 trades.

    • robertogozzi • 2 days ago #

      There must be an issue with candlestick data from March 7th through March 12th. which causes backtest to stop at 15:04 om March 7th.
      If you make your backtest start from 00:00 March 13th, then it works fine.
      I will report this to PRT/IG.

  12. Ruark Baker • 14 days ago #

    Hi, I found the same problem with the time forbidden code but I have messed about with it using some code that I use for day trading and money management along with altering the stop size based on the trades taken in the last 100k bars.

    • robertogozzi • 2 days ago #

      There must be an issue with candlestick data from March 7th through March 12th. which causes backtest to stop at 15:04 om March 7th.
      If you make your backtest start from 00:00 March 13th, then it works fine.
      I will report this to PRT/IG.

  13. Ruark Baker • 14 days ago #

    https://www.prorealcode.com/topic/kama-sma-trading-system-dax-discussion-thread/

  14. Jan Wind • 14 days ago #

    Sorry if I missed the latest discussions recently, but is MTF now usable and reliable in PRT production environment ?

  15. robertogozzi • 14 days ago #

    MTF was officially made available to all customers 2-3 months ago after almost a year being beta tested.

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