Ciao Francesco, here’s a second version if you wouldn’t mind backtesting on 200k. MM is disabled but the DrawdownNeededToQuit might still be operative … not sure.
I added another layer of filters at the 15m level. It performs better than v1 over 100k — higher profit from fewer trades — so curious to know if it’s still just fit it to that data set.
Dita incrociate…
nonetheless – could you post the code so that we don’t have to download the ITF file please?
// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
Capital = 10000
MinSize = 1 //The minimum position size allowed for the instrument.
MM1stType = 0 //Starting type of moneymanagement. Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased.
MM2ndType = 0 //Type of money management to switch to after TradesQtyForSwitch number of trades and ProfitNeededForSwitch profit has occurred
TradesQtyForSwitch = 15 //Quantity of trades required before switching to second money management choice.
ProfitNeededForSwitch = 2 //% profit needed before allowing a money management type change to MM2ndType.
DrawdownNeededToSwitch = 8 //% draw down from max equity needed before money management type is changed back to MM1stType.
DrawdownNeededToQuit = 25 //% draw down from max equity needed to stop strategy
Once MoneyManagement = MM1stType
Equity = Capital + StrategyProfit
maxequity = max(equity,maxequity)
if equity < maxequity * (1 - (DrawdownNeededToSwitch/100)) then
enoughtrades = 0
tradecount = 0
moneymanagement = MM1stType
endif
if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then
quit
endif
if not EnoughTrades then
if abs(countofposition) > abs(countofposition[1]) then
tradecount = tradecount + 1
endif
if tradecount > TradesQtyForSwitch and maxequity >= Capital * (1 + (ProfitNeededForSwitch/100)) then
EnoughTrades = 1
MoneyManagement = MM2ndType
endif
endif
IF MoneyManagement = 1 THEN
PositionSize = Max(MinSize, Equity * (MinSize/Capital))
ENDIF
IF MoneyManagement = 2 THEN
PositionSize = Max(LastSize, Equity * (MinSize/Capital))
LastSize = PositionSize
ENDIF
IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN
PositionSize = MinSize
ENDIF
PositionSize = Round(PositionSize*100)
PositionSize = PositionSize/100
// Size of POSITIONS
PositionSizeLong = 1 * positionsize
PositionSizeShort = 1 * positionsize
TIMEFRAME(120 minutes)
Period= 520
inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)
HULLa = weightedaverage[round(sqrt(Period))](inner)
c1 = HULLa > HULLa[1]
c2 = HULLa < HULLa[1]
indicator1 = SuperTrend[5,21]
c3 = (close > indicator1)
c4 = (close < indicator1)
TIMEFRAME(15 minutes)
indicator2 = Average[6](typicalPrice)
indicator3 = Average[11](typicalPrice)
c7 = (indicator2 > indicator3)
c8 = (indicator2 < indicator3)
Periodc= 17
innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice)
HULLc = weightedaverage[round(sqrt(Periodc))](innerc)
c9 = HULLc > HULLc[1]
c10 = HULLc < HULLc[1]
TIMEFRAME(5 minutes)
Periodb= 22
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)
c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2]
c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2]
// Conditions to enter long positions
IF c1 AND C3 AND C5 and c7 and c9 THEN
BUY PositionSizeLong CONTRACT AT MARKET
SET STOP %LOSS 2.1
SET TARGET %PROFIT 1
ENDIF
// Conditions to enter short positions
IF c2 AND C4 AND C6 and c8 and c10 THEN
SELLSHORT PositionSizeShort CONTRACT AT MARKET
SET STOP %LOSS 1.2
SET TARGET %PROFIT 1
ENDIF
//trailing stop function
trailingstart = 81 //trailing will start @trailinstart points profit
trailingstep = 3 //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
//************************************************************************
Thanks Francesco … sadly not any better than the first one. Only really works for 2019.
May need to rethink this. We all know how it ended for the mother of dragons.
Hope the next will not be Oberyn trading strategy 😀
May need to rethink this
Least it wouldn’t have blown the Account in the 1st 100k bars (as many Systems do for OOS periods).
Maybe a Filter to prevent trading when Price is ranging and also in a downtrend.
If you look at the equity curve … in 2017 when price was rising (from Sep 17 to Jan 18) your System made money then lost it when price was in a downtrend (Feb 18 to May 18) then hovered around zero when price was ranging from May 18 until 2019 when it got going again.
It is worth trying a few tweaks and then if Franseco tests again over 200k bars.
But really you need tweak then optimise else you not know if the tweak worked. How about trying it on 100k x 10 min TF as then back to June 2017 should be included??
Just a few thoughts anyway.
TBH, I’m inclined to give it a rest until we get v11. 100k just isn’t enough data to work with unless you’re using +1h TFs.
I changed line
61
74
131
Add a stop from the line
113
I would do well a multi position if the position wins.
Hey Fifi, a few tweaks and suddenly it looks so much better – thanks for that!
Your backtest is 200k, yes? How does the curve look for 2017, 2018? The previous version only really came alive in 2019.
That is a much better line, steady increase over almost the whole period. I tried to break it into separate long and short but the result is worse; your version works better as one code going both ways. A couple of big losses in Jan/Feb 2020 but over the long term looks like it could work – génial!
This is another version I had been working on, with a couple of extra filters in the 2h TF to help confirm the primary trend. What do you think? My guess is that yours is probably more stable…
here’s the code:
// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
Capital = 10000
MinSize = 1 //The minimum position size allowed for the instrument.
MM1stType = 0 //Starting type of moneymanagement. Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased.
MM2ndType = 0 //Type of money management to switch to after TradesQtyForSwitch number of trades and ProfitNeededForSwitch profit has occurred
TradesQtyForSwitch = 8 //Quantity of trades required before switching to second money management choice.
ProfitNeededForSwitch = 2 //% profit needed before allowing a money management type change to MM2ndType.
DrawdownNeededToSwitch = 8 //% draw down from max equity needed before money management type is changed back to MM1stType.
DrawdownNeededToQuit = 25 //% draw down from max equity needed to stop strategy
Once MoneyManagement = MM1stType
Equity = Capital + StrategyProfit
maxequity = max(equity,maxequity)
if equity < maxequity * (1 - (DrawdownNeededToSwitch/100)) then
enoughtrades = 0
tradecount = 0
moneymanagement = MM1stType
endif
if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then
quit
endif
if not EnoughTrades then
if abs(countofposition) > abs(countofposition[1]) then
tradecount = tradecount + 1
endif
if tradecount > TradesQtyForSwitch and maxequity >= Capital * (1 + (ProfitNeededForSwitch/100)) then
EnoughTrades = 1
MoneyManagement = MM2ndType
endif
endif
IF MoneyManagement = 1 THEN
PositionSize = Max(MinSize, Equity * (MinSize/Capital))
ENDIF
IF MoneyManagement = 2 THEN
PositionSize = Max(LastSize, Equity * (MinSize/Capital))
LastSize = PositionSize
ENDIF
IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN
PositionSize = MinSize
ENDIF
PositionSize = Round(PositionSize*100)
PositionSize = PositionSize/100
// Size of POSITIONS
PositionSizeLong = 1 * positionsize
PositionSizeShort = 1 * positionsize
TIMEFRAME(120 minutes)
Period= 480
inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)
HULLa = weightedaverage[round(sqrt(Period))](inner)
c1 = HULLa > HULLa[1]
c2 = HULLa < HULLa[1]
indicator1 = SuperTrend[5,21]
c3 = (close > indicator1)
c4 = (close < indicator1)
indicator4 = CALL "Moving Average Slope"[75,1](close)
c11 = (indicator4 > 0)
c12 = (indicator4 < 0)
Sinewave, ignored, ignored, ignored = CALL "Ehlers Even Better Sinewave"[100,.8, -.8]
c13 = (Sinewave > -8)
c14 = (Sinewave < .8)
TIMEFRAME(15 minutes)
indicator2 = Average[6](typicalPrice)
indicator3 = Average[11](typicalPrice)
c7 = (indicator2 > indicator3)
c8 = (indicator2 < indicator3)
Periodc= 17
innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice)
HULLc = weightedaverage[round(sqrt(Periodc))](innerc)
c9 = HULLc > HULLc[1]
c10 = HULLc < HULLc[1]
TIMEFRAME(5 minutes)
Periodb= 22
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)
c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2]
c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2]
// Conditions to enter long positions
IF c1 AND C3 AND C5 and c7 and c9 and c11 and c13 THEN
BUY PositionSizeLong CONTRACT AT MARKET
SET STOP %LOSS 1.9
SET TARGET %PROFIT 1
ENDIF
// Conditions to enter short positions
IF c2 AND C4 AND C6 and c8 and c10 and c12 and c14 THEN
SELLSHORT PositionSizeShort CONTRACT AT MARKET
SET STOP %LOSS 1.5
SET TARGET %PROFIT 1
ENDIF
//trailing stop function
trailingstart = 81 //trailing will start @trailinstart points profit
trailingstep = 3 //trailing step to move the "stoploss"
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
//************************************************************************
I tried to break it into separate long and short but the result is worse; your version works better as one code going both ways
For me that would start ringing an alarm bell. If an entry condition and exit condition are good then they should be good whether you have opposite direction trades in the strategy or not.
There wasn’t much in it – less than 10% difference, but better as one code doing both long and short. (I’m talking about Fifi’s version, posted above as v2_MOD – my original worked better as separate long and short).
