Dax 30mn – Kama Supertrend Opening
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Hello guys,
I’ve been on this forum for a few weeks now, and I’m really grateful to be part of this community. I feel it’s now time for me to contribute as I can.
So I’ve decided to share with you this short idea, basically it takes position only in the first few hours of cash market.
Using SuperTrend and KAMA to filter entries, and trailstop with another (faster) Supertrend.
It is just a draft yet, looking forward to your inputs and ideas on how to make it better.
// Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" // DEFPARAM FLATAFTER = 220000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 113000 timeEnterAfter = time < noEntryAfterTime IF (CurrentTime = 090000) THEN OpeningPrice = Open[0] ENDIF /// --- MONEY MANAGEMENT //Capital = 350 //Risk = 0.0714 //StopLoss = 50 // Could be our variable X //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs((maxrisk/StopLoss)/PointValue) PositionSize = 1 /// ---------------------------------- Indicators ------------------------------------- /// iMACD1850 = MACDline[18,50,9](close) signal1850 = ExponentialAverage[9](iMACD1850) iSuperTrend = SuperTrend[3,17] kama = CALL "KAMA 50"[50, 2, 30] iVolatStop = SuperTrend[2,15] //LongStop = close[1] - (iATR[1] * 2) //ShortStop = close[1] - (iATR[1] * 2) iATR = AverageTrueRange[20](close) multiplicatorATR = 1.2 /// ---------------------------------------------------------------------------------- /// /// --- LONG ENTRY PRICE DEF BullishOpening = (OpeningPrice > kama) AND (OpeningPrice > iSuperTrend) PriceBelowKamaST = (close < kama) AND (close < iSuperTrend) IF BullishOpening THEN LongEntryPrice = OpeningPrice + (multiplicatorATR*iATR) ENDIF IF PriceBelowKamaST THEN LongEntryPrice = iSuperTrend ENDIF ///------------------------------------------------------------------/// /// --- SHORT ENTRY PRICES PriceAboveKamaST = (close > kama) AND (close > iSuperTrend) BearishOpening = (OpeningPrice < kama) AND (OpeningPrice < iSuperTrend) IF BearishOpening THEN ShortEntryPrice = OpeningPrice - (multiplicatorATR *iATR) ENDIF IF PriceAboveKamaST THEN ShortEntryPrice = iSuperTrend ENDIF /// -------------------------------- /// OpenLong = (iMACD1850 > signal1850) AND PriceBelowKamaST OpenShort = (iMACD1850 < signal1850) AND PriceAboveKamaST /// BUY IF OpenLong AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF IF BullishOpening AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF SELL AT lowOpen STOP SELL AT iVolatStop STOP /// SELL IF OpenShort AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF IF BearishOpening AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF EXITSHORT AT highOpen STOP EXITSHORT AT iVolatStop STOP SET STOP pLOSS iATR*2.5 // TRAILING //////////////////////////////////////////////////////////Hello Roger
Thank you for sharing your trading system. Do you have an explanation why there was movement in the Dax in the gray areas it was not really reflected in the profit? In the areas with the blue line he behaves completely differently?Probacktest 100.00 Einheiten , 2 Positionen , Spread 1
Attached is a walk forward test. I have randomly chosen some parameters. And its not very good.
Bobflynn have you already optimized the parameters in the code you have posted ?
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/21/2019 |
| Status: | Active |
| Attachments: | 10 files |
