Sorex hoyi scalper
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Hi all,
Thanks to everyone sharing valuable code on this website, I’m learning a lot from being part of this community. I’m sharing here a 1 second TF code that seem to work well in backtestig (with very little backtest data..) but not sure how it will work live/forward testing. Both short and long strategies seem to have high win rate (and it seem to work well in tamdem, when the drawdays happens in one it goes up on the other, utlimately end up in a win position), but I would like to improve the precision of entry point to reduce drawdown. Does anhyone have an idea on how to achieve this on such a short timeframe? The result from the screenshot are with 6 points spread DJI
Sorex hoyi: “With a pulse clocking in at more than a 1000 per minute, the smallest mammal in North America really needs lots of food to keep its phenomenal metabolism going. Every day it eats three times its own weight. To do so it needs to constantly eat and never sleeps for more than a few minutes. An hour without food would mean certain death.
LONG
// Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 10000 DEFPARAM flatbefore = 090000 DEFPARAM flatafter = 220000 once spreadmode = 1 // [1]dji;[2]us500;[3]us100;[4]dax;[5]saf;[6]ftse;[7]cac40 // trailing stop atr // 'Value 2 is nice for 1/10s with max 3. So this parameter doesn’t need to be optimised' once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 2 // trailing stop atr relative distance once trailingstopshort = 2 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance //************************************************************************ //Money Management DOW MM = 0 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 30 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE factor2 = 20 // tier 2 factor ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // DOW €1 IG first tier margin limit ONCE maxpositionsize = 550 // DOW €1 IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF //************************************************************************ //vwap code taken from Nicolas PRC_VWAP intraday indicator //if(intradaybarindex=0) then //sd = 0 //else //sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d //endif //************************************************************************ TIMEFRAME (1 minute) ST60 = SuperTrend[st5,st6] l10 = close > ST60 TIMEFRAME (20 seconds) m = Momentum[momen](close) ST20 = SuperTrend[st1,st2] // //TIMEFRAME (15 seconds) //voss1, voss2 = CALL "PRC_Voss Predictive Filter VPF"[20, 3, 0.25] //l10 = voss1 crosses over voss2 TIMEFRAME (10 seconds) ST10 = SuperTrend[st3,st4] VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) l1 = close > close[1] l9 = close > VWAP //s1 = close < close[1] TIMEFRAME (Default) l2 = close > close[1] l3 = m crosses over 0 l4 = close > ST10 l5 = close > ST20 // Conditions to enter long positions IF not longonmarket and l1 and l2 and l3 and l4 and l5 and l9 and l10 THEN BUY positionsize CONTRACT AT MARKET ENDIF // Conditions to enter short positions //IF not shortonmarket and s1 and s2 and s3 and s4 and s5 and s6 THEN //SELLSHORT positionsize CONTRACT AT MARKET //ENDIF // SET STOP %LOSS 2 SET TARGET %PROFIT 2.1 // //************************************************************************ // spread if spreadmode=1 then // wallstreet if time > 090000 and time <= 153000 then spread=2.4 elsif time > 153000 and time <= 220000 then spread=1.6 elsif time > 221500 and time <= 223000 then spread=9.8 elsif time > 230000 and time <= 235959 then spread=9.8 elsif time = 000000 then spread=9.8 else spread=3.8 endif elsif spreadmode=2 then // us500 if time > 090000 and time <= 220000 then spread=0.4 elsif time > 221500 and time <= 223000 then spread=1.5 elsif time > 223000 and time <= 235959 then spread=1.5 elsif time = 000000 then spread=1.5 else spread=0.6 endif elsif spreadmode=3 then // us100 if time > 153000 and time <= 220000 then spread=1 elsif time > 221500 and time <= 223000 then spread=5 elsif time > 230000 and time <= 235959 then spread=5 elsif time = 000000 then spread=5 else spread=2 endif elsif spreadmode=4 then // dax if time > 090000 and time <= 173000 then spread=1 elsif time > 173000 and time <= 220000 then spread=2 elsif time > 220000 and time <= 235959 then spread=7 elsif time >= 000000 and time <= 080000 then spread=7 elsif time > 080000 and time <= 090000 then spread=2 endif elsif spreadmode=5 then // south african 40 if time > 073000 and time <= 163000 then spread=8 else spread=30 endif elsif spreadmode=6 then // ftse100 if time > 080000 and time <= 163000 then spread=1 elsif time > 163000 and time <= 210000 then spread=2 elsif time > 070000 and time <= 075000 then spread=2 else spread=5 endif elsif spreadmode=7 then // cac40 if time > 090000 and time <= 173000 then spread=1 elsif time > 173000 and time <= 220000 then spread=2 elsif time > 220000 and time <= 235959 then spread=5 elsif time > 000000 and time <= 080000 then spread=5 elsif time > 080000 and time <= 090000 then spread=2 endif endif spread=spread/2 //************************************************************************ //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 tgl = round(atrtrail*trailingstoplong) tgs = round(atrtrail*trailingstopshort) if trailingstoptype = 1 then // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif // if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif // if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low < newsl then sell at market endif endif endif // if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high > newsl then exitshort at market endif endif endif endif GRAPHONPRICE VWAP// Definition of code parameters DEFPARAM CumulateOrders = true // Cumulating positions deactivated DEFPARAM preloadbars = 10000 DEFPARAM flatbefore = 090000 DEFPARAM flatafter = 220000 once spreadmode = 1 // [1]dji;[2]us500;[3]us100;[4]dax;[5]saf;[6]ftse;[7]cac40 // trailing stop atr // 'Value 2 is nice for 1/10s with max 3. So this parameter doesn’t need to be optimised' once trailingstoptype = 1 // trailing stop - 0 off, 1 on once trailingstoplong = 2 // trailing stop atr relative distance once trailingstopshort = 2 // trailing stop atr relative distance once atrtrailingperiod = 14 // atr parameter value once minstop = 10 // minimum trailing stop distance //************************************************************************ //Money Management DOW MM = 1 // = 0 for optimization if MM = 0 then positionsize=1 ENDIF if MM = 1 then ONCE startpositionsize = 1 ONCE factor = 30 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE factor2 = 20 // tier 2 factor ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // DOW €1 IG first tier margin limit ONCE maxpositionsize = 550 // DOW €1 IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor2*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF //************************************************************************ //vwap code taken from Nicolas PRC_VWAP intraday indicator //if(intradaybarindex=0) then //sd = 0 //else //sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d //endif //************************************************************************ TIMEFRAME (1 minute) ST60 = SuperTrend[st5,st6] s10 = close < ST60 TIMEFRAME (20 seconds) m = Momentum[momen](close) ST20 = SuperTrend[st1,st2] // //TIMEFRAME (15 seconds) //voss1, voss2 = CALL "PRC_Voss Predictive Filter VPF"[20, 3, 0.25] //l10 = voss1 crosses over voss2 TIMEFRAME (10 seconds) ST10 = SuperTrend[st3,st4] VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) s1 = close < close[1] s9 = close < VWAP //s1 = close < close[1] TIMEFRAME (Default) s2 = close < close[1] s6 = m crosses under 0 s7 = close < ST10 s8 = close < ST20 // Conditions to enter long positions //IF not longonmarket and l1 and l2 and l6 and l7 and l8 and l9 THEN //BUY positionsize CONTRACT AT MARKET //ENDIF // Conditions to enter short positions IF not shortonmarket and s1 and s2 and s6 and s7 and s8 and s9 and s10 THEN SELLSHORT positionsize CONTRACT AT MARKET ENDIF // SET STOP %LOSS 2 SET TARGET %PROFIT 2.1 // //************************************************************************ // spread if spreadmode=1 then // wallstreet if time > 090000 and time <= 153000 then spread=2.4 elsif time > 153000 and time <= 220000 then spread=1.6 elsif time > 221500 and time <= 223000 then spread=9.8 elsif time > 230000 and time <= 235959 then spread=9.8 elsif time = 000000 then spread=9.8 else spread=3.8 endif elsif spreadmode=2 then // us500 if time > 090000 and time <= 220000 then spread=0.4 elsif time > 221500 and time <= 223000 then spread=1.5 elsif time > 223000 and time <= 235959 then spread=1.5 elsif time = 000000 then spread=1.5 else spread=0.6 endif elsif spreadmode=3 then // us100 if time > 153000 and time <= 220000 then spread=1 elsif time > 221500 and time <= 223000 then spread=5 elsif time > 230000 and time <= 235959 then spread=5 elsif time = 000000 then spread=5 else spread=2 endif elsif spreadmode=4 then // dax if time > 090000 and time <= 173000 then spread=1 elsif time > 173000 and time <= 220000 then spread=2 elsif time > 220000 and time <= 235959 then spread=7 elsif time >= 000000 and time <= 080000 then spread=7 elsif time > 080000 and time <= 090000 then spread=2 endif elsif spreadmode=5 then // south african 40 if time > 073000 and time <= 163000 then spread=8 else spread=30 endif elsif spreadmode=6 then // ftse100 if time > 080000 and time <= 163000 then spread=1 elsif time > 163000 and time <= 210000 then spread=2 elsif time > 070000 and time <= 075000 then spread=2 else spread=5 endif elsif spreadmode=7 then // cac40 if time > 090000 and time <= 173000 then spread=1 elsif time > 173000 and time <= 220000 then spread=2 elsif time > 220000 and time <= 235959 then spread=5 elsif time > 000000 and time <= 080000 then spread=5 elsif time > 080000 and time <= 090000 then spread=2 endif endif spread=spread/2 //************************************************************************ //---------------------------------------------- atrtrail = averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 tgl = round(atrtrail*trailingstoplong) tgs = round(atrtrail*trailingstopshort) if trailingstoptype = 1 then // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice = 0 minprice = close newsl = 0 endif // if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl = maxprice-tgl*pointsize else newsl = maxprice - minstop*pointsize endif endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl = minprice+tgs*pointsize else newsl = minprice + minstop*pointsize endif endif endif // if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low < newsl then sell at market endif endif endif // if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high > newsl then exitshort at market endif endif endif endif GRAPHONPRICE VWAPbertrandpinoy and Philippo thanked this postshor and long strategy run at the same time. Is this a happy coincidence or can it be a way to minimise losses?
@nonetheless thanks for feedback. I will take a look at this and do further testing.
I just tried to launch Paul amended version with slightly different SuperTrend settings and it failed to start. There was a message “The trading sytstem was stopped because an indicator received a negative or zero parameter ex:(-10).”
It seems to work well in backtest. I’m going through the code but haven’t yet figured out yet what it could be.
It’s definately an interesting code. Hope someone on the forum can figure out how to make it run on demo without being stopped.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 04/12/2020 |
| Status: | Active |
| Attachments: | 7 files |
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