DOW M15 with Wilder average (Intraday / swing)
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Hi ! Here is my first very simple code, for DOW M15 (tested with 100 000 periods). 1 contract, 10 000 €, spread 2.5 pts, 1€ / order to represent overnight charges.
Every comments (or test on 200000 periods) are welcome :-).
DEFPARAM CumulateOrders = False // Cumul des positions désactivé noEntryBeforeTime = 000000 timeEnterBefore = time >= noEntryBeforeTime noEntryAfterTime = 230000 timeEnterAfter = time < noEntryAfterTime // Conditions pour ouvrir une position long indicator1 = WilderAverage[20](close)-WilderAverage[50](close) c1 = (indicator1 CROSSES OVER 0) indicator5 = MACD[7,14,5] (close) c5 = (indicator5 > 0) IF c1 AND c5 AND timeEnterBefore AND timeEnterAfter THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions pour ouvrir une position short indicator10 = WilderAverage[20](close)-WilderAverage[50](close) c10 = (indicator10 CROSSES UNDER 0) indicator13 = MACD[7,14,5] (close) c13 = (indicator13 < 0) IF NOT LONGONMARKET AND c10 AND c13 AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Stops et objectifs SET STOP pLOSS 108 SET TARGET pPROFIT 525Hi Juju,
Thanks for sharing your idea.
The strategy suffer from over optimization as you can see with 100k bars of out of sample testing. It is always a good idea to optimize with split periods between In Sample and Out Of Sample periods, to validate robustness of optimized variables.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/13/2019 |
| Status: | Active |
| Attachments: | 1 files |
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