TurtleTrade DAX Daily timeframe

Hi Francesco, I didn’t test the back test for only 2016, but I guess you are right. However I traded the strategy in demo, and it was just to good to be true. I think around 100% in 6 month. Then I realized that IG demo account allowed the SL=7 at 1 am and the Live account was 10 point. This kills the strategy!
So I been puzzling around this and came up with a new version of code for the turtletrade strategy. Here it is. It is semi automatic. You need start the one name “1st TTradev6.1 Single DAX 1m” code- this need run every day. copy it and name the next 2nd, 3rd and so on. If “1st TTradev6.1 Single DAX 1m” is in marked the next day at 22:00 then start 2nd, and so on. If the previous code, for example 2nd is with loss, stop 3rd, so only codes with profit are running+ one more- in this example 2nd. I do this because I cannot have the best of both worlds when SL is 10 at night. So these codes need to be run at 1 min TF and no accomulating orders. you accomulate by starting the next (2nd) code up. I hope this make sense. Ohh.. and I also tested every single seasonal around the year and implemented that as well. If you want to backtest to 1998, I will provide the “turtletrade-long v3.0 DAX 1D.itf”- file for backtesting purposes. Run this on a 1 day TF. The “1st TTradev6.1 Single DAX 1m.itf” for the strategy I just explained. The v3.0 and V6.1 does not have any indicators that is why it can be comparable. I have also made an indicator that shows when the strategy is hitting an entry that stays in the marked longer than a day.
Cheers Kasper
 
//-------------------------------------------------------------------------
// Main code : 1st TTradev6.1 Single DAX 1m
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Semi manuel- Proorder needs to be re activated if still running the next day
// all accumolated orders should be stopped manuel after the count of days- or exit of the first Proorder where count of days is automatic
// With saisonal multipliers
//-------------------------------------------------------------------------
//==================DAX Daily Timeframe==========================
// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions
DEFPARAM PRELOADBARS = 100
//once x2=0
ONCE tradetime=0
ONCE Trutletradedayzerolive=0
//ONCE Trutletradedayonelive=0

//==========================tradeingtime=========================
IF (Time >= 010000 AND Time <= 010100) or (Time >= 230000 AND Time <= 230100) and dayofweek=0 THEN //
Tradetime=1
else
Tradetime=0
endif
//===============================================================

//REM Money Management
Reinvest=1
if reinvest then
Capital = 2000
Risk = 0.2//0.1//in % pr position
StopLoss = 10//7//10 // Could be our variable X
stoploss2=7
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*(Risk/100))
MAXpositionsize=5000
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)/PointValue)*pipsize)))
else
Capital = 2000
Positionsize=1
StopLoss = 10
stoploss2=7
equity = Capital + StrategyProfit
Endif
//oneminutes=1440
//sec=1440*60
//tensec=1440*6
//twentysec=1440*3
oneday=1
dayzero=0
//dayone=oneminutes
//daytwo=oneminutes*2
//daytree=oneminutes*3
//dayfour=oneminutes*4
//dayfive=oneminutes*5
//daysix=oneminutes*6
//dayseven=oneminutes*7
//dayeight=oneminutes*8
//daynine=oneminutes*9
//dayten=oneminutes*10
//dayeleven=oneminutes*11
//daytwelve=oneminutes*12
//daythirteen=oneminutes*13
//dayfourteen=oneminutes*14
//dayfifthteen=oneminutes*15
//daytsixthteen=oneminutes*16
//dayseventeen=oneminutes*17
//dayeightteen=oneminutes*18
//daynineteen=oneminutes*19
//daytwenty=oneminutes*20
//daytwentyone=oneminutes*21
//daytwentytwo=oneminutes*22
//daytwentytree=oneminutes*23
//daytwentyfour=oneminutes*24
//daytwentyfive=oneminutes*25
//daytwentysix=oneminutes*26
//daytwentyseven=oneminutes*27
//daytwentyeight=oneminutes*28
//daytwentynine=oneminutes*29
//daythirty=oneminutes*30
//daythirtyone=oneminutes*31

factor=oneday//oneminutes// minutes a day* sec a minute
// define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade)
ONCE January1 = 2//f4
ONCE January2 = 2//f4
ONCE February1 = 0//f4
ONCE February2 = 2//f4
ONCE March1 = 2//f4
ONCE March2 = 3//f4
ONCE April1 = 3//f4
ONCE April2 = 2//f4
ONCE May1 = 0//f4//..//dont trade
ONCE May2 = 3//f4
ONCE June1 = 0//f4//don\'t trade//dont trade
ONCE June2 = 0//f4//..//dont trade
ONCE July1 = 3//f4
ONCE July2 = 0//f4//don\'t trade
ONCE August1 = 1//f4//don\'t trade//don\'t trade
ONCE August2 = 0//f4//don\'t trade//dont trade
ONCE September1 = 0//f4//don\'t trade//??
ONCE September2 = 0//f4//..//dont trade
ONCE October1 = 3//f4
ONCE October2 = 2//f4
ONCE November1 = 2//f4
ONCE November2 = 3//f4
ONCE December1 = 2//f4
ONCE December2 = 3//0//f4
// set saisonal multiplier
currentDayOfTheMonth = Date - ((CurrentYear * 10000) + CurrentMonth * 100)
midOfMonth = 15
IF CurrentMonth = 1 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = January1
x2=29*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = January2
x2=29*factor
ENDIF
ELSIF CurrentMonth = 2 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = February1
x2=21*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = February2
x2=23*factor
ENDIF
ELSIF CurrentMonth = 3 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = March1
x2=30*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = March2
x2=21*factor
ENDIF
ELSIF CurrentMonth = 4 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = April1
x2=30*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = April2
x2=30*factor
ENDIF
ELSIF CurrentMonth = 5 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = May1
x2=26*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = May2
x2=14*factor
ENDIF
ELSIF CurrentMonth = 6 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = June1
x2=30*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = June2
x2=25*factor
ENDIF
ELSIF CurrentMonth = 7 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = July1
x2=27*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = July2
x2=10*factor
ENDIF
ELSIF CurrentMonth = 8 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = August1
x2=23*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = August2
x2=28*factor
ENDIF
ELSIF CurrentMonth = 9 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = September1
x2=15*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = September2
x2=23*factor
ENDIF
ELSIF CurrentMonth = 10 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = October1
x2=30*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = October2
x2=21*factor//f2//29//21
ENDIF
ELSIF CurrentMonth = 11 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = November1
x2=30*factor
ENDIF
IF not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = November2
x2=25*factor
ENDIF
ELSIF CurrentMonth = 12 THEN
IF not onmarket and currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = December1
x2=24*factor
ENDIF
if not onmarket and currentDayOfTheMonth > midOfMonth THEN
saisonalPatternMultiplier = December2
x2=11*factor
ENDIF
ENDIF

//=========================enter turtletrade day one====================================
if BARINDEX-TRADEINDEX(1)>=dayzero or Trutletradedayzerolive then
if not onmarket and Tradetime then
BUY Positionsize * saisonalPatternMultiplier CONTRACTS AT MARKET
ENDIF

if onmarket then
Trutletradedayzerolive=1
else
Trutletradedayzerolive=0
endif

//===========================STOPLOSS CODE===================

//Initial stoploss set
once slmove1=0
once slmove2=0
once sellprice=0
if not slmove1 then
set stop loss StopLoss
slmove1=1
endif

//************move stoploss if gain+3

if slmove1 and longonmarket and close-tradeprice>=(pipsize*pointvalue*3) then
sellprice=tradeprice-(stoploss2*pipsize*pointvalue)
SELL AT sellprice STOP
slmove2=1
endif

if slmove2 then
SELL AT sellprice STOP
endif
//*************try and SL at -7
if longonmarket and close-tradeprice<=-(pipsize*pointvalue*stoploss2) then
sell AT MARKET
endif

if not onmarket then
slmove1=0
slmove2=0
sellprice=0
endif
endif
//======================================================================================

//=========================enter turtletrade day two====================================
//
//if (BARINDEX-TRADEINDEX(1)>=dayone and BARINDEX-TRADEINDEX(1)<daytwo) or Trutletradedayonelive then
//if onmarket and Tradetime then
//BUY Positionsize * saisonalPatternMultiplier CONTRACTS AT MARKET
//ENDIF
//
//if onmarket and +countofposition[1]<+countofposition then
//Trutletradedayonelive=1
//else
//Trutletradedayonelive=0
//endif
//
////===========================STOPLOSS CODE===================
//
////Initial stoploss set
//once slmovedaytwo1=0
//once slmovedaytwo2=0
//once sellpricedaytwo=0
//if not slmovedaytwo1 then
//set stop loss StopLoss
//slmovedaytwo1=1
//endif
//
////************move stoploss if gain+3
//
//if slmovedaytwo1 and longonmarket and close-tradeprice>=(pipsize*pointvalue*3) then
//sellpricedaytwo=tradeprice-(stoploss2*pipsize*pointvalue)
//SELL AT sellpricedaytwo STOP
//slmovedaytwo2=1
//endif
//
//if slmovedaytwo2 then
//SELL AT sellpricedaytwo STOP
//endif
////*************try and SL at -7
////if longonmarket and close-tradeprice<=-(pipsize*pointvalue*stoploss2) then
////sell AT MARKET
////endif
//
//if not onmarket then
//slmovedaytwo1=0
//slmovedaytwo2=0
//sellpricedaytwo=0
//endif
//endif

//=======================================================================================

//=================================counting days in market on a 1 min TF=====
once CountDays=0

if onmarket and (CurrentHour crosses over 01) then//
CountDays=CountDays+1
elsif not onmarket then
CountDays=0
endif
//x2=x2
//===================EXIT ALL POSITIONS=====

//if x2>=x2 then
if CountDays>=x2 then
sell at market
endif

//=========================================

//============1st build in Quit code======
//if not onmarket and equity[1] < equity then
//quit
//endif
//======================================

//maxriskbuy=abs((+countoFPOSITION*stoploss*pipsize*pointvalue/equity)*100)

//graph (((tradeprice-(tradeprice-(tradeprice*(StopLoss/100))))*+countoFPOSITION*pipsize*pointvalue)/(equity))*100 COLOURED(0,0,0) AS \"MAXRISK\"//blue
//graph (positionsize/equity)*100 COLOURED(0,255,0) AS \"RISK\"//GREEN
//graph (+countofposition*StopLoss/equity)*100 COLOURED(0,0,0) AS \"MAXRISK\"//Aqua
//graph abs((+countoFPOSITION*StopLoss*pipsize*pointvalue/equity)*100) COLOURED(255,20,147) AS \"MAXRISK%\"
//GRAPH tradeprice COLOURED(50,50,75) AS \"monthlyHigh\"
//GRAPH pris COLOURED(50,0,75) AS \"pris\"
//GRAPH c1 COLOURED(50,0,75) AS \"c1\"

//===============Graphs RR, Winnings, Max recorded risk, Max risk%
//ONCE maxriskrecorded=0
//If onmarket then
//maxriskrecorded=ABS((+countoFPOSITION*stoploss*pipsize*pointvalue/equity)*100)
//if maxriskrecorded<maxriskrecorded[1]then
//maxriskrecorded=maxriskrecorded[1]
//else
//maxriskrecorded=maxriskrecorded
//endif
//endif
//if not onmarket then
//winnings=StrategyProfit-StrategyProfit[1]
//else
//winnings=0
//endif
//riskprtrade=abs(+countoFPOSITION*stoploss*pipsize)
//RR=winnings/riskprtrade[1]

//graph abs((+countoFPOSITION*stoploss*pipsize*pointvalue/equity)*100) COLOURED(255,20,147) AS \"MAXRISK%\"
//graph maxriskrecorded COLOURED(255,0,255) AS \"MAXrisk%recorded\"
//graph RR COLOURED(0,0,255) AS \"RR\"
//graph winnings COLOURED(0,0,0) AS \"Winnings\"

//graph winnings COLOURED(0,0,0) AS \"Winnings\"
//graph winnings COLOURED(0,0,0) AS \"Winnings\"
//graph slmove1 COLOURED(0,0,0) AS \"slmove\"
//graph slmove2 COLOURED(0,0,0) AS \"slmove2\"
//graph BARINDEX-TRADEINDEX(1)COLOURED(0,0,0) AS \"+countofdays\"
//graph x2 COLOURED(0,0,0) AS \"x2\"
//graph countdays COLOURED(0,0,0) AS \"countdays\"