Hello.
A simple strategy that triggers when the price crosses over the 100 and 200 MA.
The idea is to acquire mall profit (£5) at a time but lots of them throughout a day since the strategy runs on 10sec time frame.
I did this out of curiosity but I see PRT misses a lot of potential entry points.
The same goes for 1min, 5min, 10min time frames.
Am I missing something here?
//SPEAD = 2.5
//Capital = £500
//Trading hours from DAX open until NYSE close. No after hours trading.
//Time is UTC +2 (South Afica time)
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 220000
timeEnterAfter = time < noEntryAfterTime
// Conditions to enter long positions
indicator1 = WeightedAverage[100](totalPrice)
c1 = (low CROSSES OVER indicator1)
indicator2 = WeightedAverage[200](totalPrice)
c2 = (low CROSSES OVER indicator2)
IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter THEN
BUY 1 CONTRACT AT MARKET
ENDIF
// Stops and targets
SET TARGET $PROFIT 5
Unless I am missing something also (?), surely there will be few occasions on a 10 sec bar that Low crosses over a WMA[100] AND WMA[200] ??
How about on 15 sec TF … looks good!
Sorry, couldn’t resist adding shorts also!
DAX, 1 min TF, spread = 2 and 100k bars. I’m setting it going on Demo.
What does it look like on 200k bars anybody?
//SPEAD = 2.5
//Capital = £500
//Trading hours from DAX open until NYSE close. No after hours trading.
//Time is UTC +2 (South Afica time)
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 220000
timeEnterAfter = time < noEntryAfterTime
// Conditions to enter long positions
indicator1 = WeightedAverage[55](totalPrice)
c1 = (High CROSSES OVER indicator1)
indicator2 = WeightedAverage[100](totalPrice)
c2 = (low CROSSES OVER indicator2)
IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter THEN
Buy 1 CONTRACT AT MARKET
ENDIF
indicator3 = WeightedAverage[55](totalPrice)
c3 = (low CROSSES UNDER indicator3)
indicator4 = WeightedAverage[100](totalPrice)
c4 = (High CROSSES UNDER indicator4)
IF (c3 AND c4) AND timeEnterBefore AND timeEnterAfter THEN
SellShort 1 CONTRACT AT MARKET
ENDIF
// Stops and targets
SET TARGET $PROFIT 7
Andre your long only version has no exit rule, no SL or whatever. Are you aware of this? Grahal long/short version is at least changing direction of a trade through entry in the opposite direction.
Which code is that over 200k bars @Inertia please?
I ask because neither Andre version nor my Long and short version has Lot size bigger than 1 and your results show Lot size of up to 3 (even 5 in one instance).
Maybe you missed off below … ?
DEFPARAM CumulateOrders = False
Thanks
GraHal
Hi Grahal, yes indeed, it was on “true”.
Below on false, yours.
hahaah nice one Inertia, oh well my 3 x 1 min versions made me demo£21 (7 each) yesterday, so I’ll see how they go.
They appeal to me as I like quick in and out scalper trading!
The 25 max Systems limit on Demo is so annoying, I recall when it was 100 not so long ago (or was it 200 at one point I’m sure, as I recall having 170 Systems running and I was heading for the 200 when they did the chop!)?
@Despair
Thank you.
Yes I’m aware no SL/TS.
I made the simple strategy to firstly test the entry points to see if that works (as should). Then if that worked I would have added SL/TS.
What amazed me was that the same strategy on 1min, 5min, 10min TF did not enter the market at the defined points. I tested on longer time frames to test and see if the software had a bug/limitation on short time frames but it was not the case.
This then makes me wonder if this is bug in PRT software.
Which then raises the question if PRT are missing any other entry points in other strategies/indicators?
Hey @Andre I was just cleaning my teeth and it came to me! 🙂
Are you sure your missing trades aren’t 0 / zero bar trades … where your profit target of 5 points is met within the trade entry bar and so no trade position is shown under the equity curve??
GraHal
@GraHal
I also prefer the quick in and out strategy.
Yes the short term strategy one have to deal with a lot of “noise”. Longer term strategies seems more profitable. I just can’t handle the big draw downs.
I like the quick in and out because then I know what I have in hand and also a short time frame strategy and is more likely to adjust to market trends.
I may be wrong but that’s my perception.
For longer time frames I prefer manual trading.
I mostly trade Index and if and Index takes direction it does it well and if one’s strategy is not in the same direction you lose or have to wait a long time for it to get back. Lost to much money on waiting for the reversal.
@Andre we think the same! I hate having / watching trades going the wrong way when market structure / everything is screaming at you … the trend you entered on has changed!
So did you get what I was on about … ? I sure had loads of 0 / zero bars in my 1 min version as I was expecting with a 7 point Target. Maybe you had nearly all zero bars on a 10 sec TF and it made you think your System had not triggered at all?
Are you sure your missing trades aren’t 0 / zero bar trades
GraHal
I did the 10Sec as a test. Will set more test up and see if it’s a bug or not.
Currently back-testing DAX on TF shorter than 1min using your code. Will go through them again with TS included so if there is bigger market moves then at least one can catch the trend.
Will keep you posted on my findings.
If one has 4+ trades against you in small TF then the loss is not that big. Longer TF normally requires larger draw down and that can really eat away your trade balance as you know.
The short TF profits, even though small, is bread and butter money. It all adds up or helps to alleviate the losses of other longer TF trades. If not that it helps to build trading balance one £ at a time. I don’t have long TF strategies.
Quick in and out is more manageable for me.
A prof trader wrote that no matter field/work/business you are in, wealth/money does not come overnight. It takes time and one has to have patience. Stick to your trading plan!
In the evening I prefer DJI, US500, Russel2000 and Nasdaq (small spead) but only when US market is open and ONLY after the market has been open for 20min. Discipline…
Noramally the first 20min is uncertain and volatile unless there is huge moves like Nasdaq open on Friday 27th. Then I try gun it from the start until the market settles.
Even trading 10sec TF is quite exiting/challenging and can be profitable since one can get out quick as the market direction changes. If positioned in the wrong direction the market will quickly move again in your favour again on small TF yet SL still SL. While on 10sec TF I still keep eye on 1-10min and 1+4hr TF to see general trend direction.
European Indices only in the mornings. Also the trend basically only starts to take shape/direction after the LSE/European market has been open for 20-30min. DAX one has to be in for the first 20min then it settles and wait after LSE to open.
For me a good strategy is one that does not require more than £500 to survive backtest/WFA. Of course related to TF/SL etc (I don’t have 1000s £ to risk)
The less capital needed to prove a strategy is working the more effective the strategy is.
