Confirmation of Trend using Neural Networks (by kind permission of Leo)

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08/28/2018 at 7:03 AM #79212 quote

raphaelopilski
Participant

Senior

this would be nice for the dax. Because of the Margin. It´s the half of Dow. Anyone tried?

08/28/2018 at 8:57 AM #79220 quote

GraHal
Participant

Master

Mmm thought it was a bit too good to be true! Just a bit though! 🙂

I have done a pessimistic calculation / check of results and £300 – £400 of profit is due to the spike we have had to endure at 21:15 on the Dow for the last 5 nights or so.

4 trades have been affected at 21:15, 1 lost around 350 due to the spike and 3 gained 200 due to the spike!

The 4 spiked tradess may have gone on to be gainers anyway if the spike hadn’t triggered the SL and TP. I guess I could work this out, but the coffee hasn’t worked through yet! 🙂

Results are still good though as v1.0 is currently trading at a genuine around £600 profit over 6 days (950 – 350 due to IG spikes! ).

I will put a time filter on the strategy when I get chance.

08/29/2018 at 11:44 AM #79288 quote
GraHal
Participant

Master
Vonasi proposed so here it is … SPTRD on 1 Min TF 100k bars, spread = 4
```
DEFPARAM CUMULATEORDERS = False
//Variables:
candlesback=5
ProfitRiskRatio=2
spread=1.5
 
 
myATR=average[20](range)+std[20](range)
ExtraStopLoss=MyATR
//ExtraStopLoss=3*spread*pipsize
 
//for long trades
classifierlong=0
FOR scanL=1 to candlesback DO
IF classifierlong[scanL]=1 then
BREAK
ENDIF
LongTradeLength=ProfitRiskRatio*(close[scanL]-(low[scanL]-ExtraStopLoss[scanL]))
IF close[scanL]+LongTradeLength < high-spread*pipsize then
IF lowest[scanL+1](low) > low[scanL]-ExtraStopLoss[scanL]+spread*pipsize then
classifierlong=1
//candleentrylong=barindex-scanL
BREAK
ENDIF
ENDIF
NEXT
IF classifierlong=1 and Close > Average[120](close)then
//DRAWSEGMENT(candleentrylong,close[barindex-candleentrylong],barindex,close[barindex-candleentrylong]+LongTradeLength) COLOURED(0,150,0)
//DRAWELLIPSE(candleentrylong-1,low[barindex-candleentrylong]-ExtraStopLoss,barindex+1,high+ExtraStopLoss) COLOURED(0,150,0)
Buy 2 Contract at Market
ENDIF

//for short trades
classifiershort=0
FOR scanS=1 to candlesback DO
IF classifiershort[scanS]=1 then
BREAK
ENDIF
ShortTradeLength=ProfitRiskRatio*((high[scanS]-close[scanS])+ExtraStopLoss[scanS])
IF close[scanS]-ShortTradeLength > low+spread*pipsize then
IF highest[scanS+1](high) < high[scanS]+ExtraStopLoss[scanS]-spread*pipsize then
classifiershort=1
//candleentryshort=barindex-scanS
BREAK
ENDIF
ENDIF
NEXT
 
IF classifiershort=1 and Close < Average[120](close) then
//DRAWSEGMENT(candleentryshort,close[barindex-candleentryshort],barindex,close[barindex-candleentryshort]-ShortTradeLength) COLOURED(150,0,0)
//DRAWELLIPSE(candleentryshort-1,high[barindex-candleentryshort]+ExtraStopLoss,barindex+1,low-ExtraStopLoss) COLOURED(150,0,0)
SellShort 2 Contract at Market
ENDIF
 
SET TARGET PROFIT 70
SET STOP PLOSS 35
```
Leo-14.jpg Leo-15.jpg
08/29/2018 at 8:09 PM #79311 quote

Vonasi
Moderator

Master

GraHal wrote:

Vonasi proposed so here it is … SPTRD on 1 Min TF 100k bars, spread = 4

Why 4 pips? The SP500 spread is never that big.

08/29/2018 at 8:18 PM #79312 quote
4everTrading
Participant

Senior
Hey Everyone!!

Such a nice work!! Amazing results from the beginning, Congrats guys!!!

I would like my little idea to improve the results. Months ago I added an indicator to the library. I think this indicator can prevent fake entries, basiclly I added two more conditions to the original code:
```
AverageVolumeBuy > AverageVolumeSell and AverageVolumeBuy > 50
```
It is only a little bit improve, and please guys please to share your opinion. I hope you like.

Saludos!!

Nicolas thanked this post

Resume_1.png Resume_2.png Long-Trading-Trend-5-min-Vol.itf
08/29/2018 at 10:35 PM #79333 quote

GraHal
Participant

Master

Vonasi wrote:

Why 4 pips? The SP500 spread is never that big.

I forgot, I forgot okay!? We all make mistakes!? 🙂

Also Lot size = 2 on my results above.
S&P500 is min Lot size 5, so more mistakes on my part! 🙁

Xusto wrote:

I hope you like.

Yeah looks good, thanks! The more the merrier! 🙂

09/02/2018 at 8:37 AM #79542 quote

Stefanb
Participant

Senior

GraHal

200k on your SP500 spread=2.

GraHal thanked this post

1-min-200k-sp500.jpg

09/02/2018 at 8:47 AM #79544 quote

Stefanb
Participant

Senior

X

I did a 200k test on your code.

v.jpg

09/02/2018 at 8:52 AM #79548 quote

GraHal
Participant

Master

@Stefanb @Xusto @anybody … got any tweaks / fixes for that big drawdown shown on Stefanb screenshot over 200k bars above??

Please post your tweaked / fixed code on here with screen shot of equity curve and performance results.

09/02/2018 at 8:54 AM #79549 quote

Nicolas
Keymaster

Legend

Equity curve stagnation and lose come from ranging market. This seems normal for a strategy that detects market movements and bets on their continuity 🙂

09/02/2018 at 8:57 AM #79550 quote

GraHal
Participant

Master

Well we need code to keep out of the market when ranging?

09/02/2018 at 9:01 AM #79551 quote

GraHal
Participant

Master

Stefanb wrote:

X I did a 200k test on your code.

Above is for Xusto version with the volume tweak in post 79312.

( @stefanb in case you don’t know and for others … if you select part of the text of a post and THEN click on Quote on the right above the post then the selected text displays as a quote … very useful).

09/02/2018 at 10:10 AM #79557 quote
Stefanb
Participant

Senior
Here is a code that I will start live soon.

Have run it om demo for a while and it seems to be working ok.

Spread=1

Op 75%
```
DEFPARAM CumulateOrders = False
DEFPARAM PRELOADBARS = 200

indicator1 = SuperTrend[1,8]
c1 = (close <= indicator1)
indicator4 = SuperTrend[1,4]
c4 = (close <= indicator4)
c2 =  DIplus[6](close) >  DIminus[3](close)

HL = 14 // Hour of Long Entry
HLS = 12 // Hour of Long Exit
HS = 7 // Hour of Short Entry
HSS = 15 // Hour of Short Exit
LATR = 9// Number of ATRs for Stop Loss
PATR = 21 // Number of ATRs for Take Profit
ATR = 18 // ATR period

IF Hour=HL and c1 THEN
BUY 1 CONTRACTS AT MARKET
ENDIF

If LongOnMarket AND Hour=HLS THEN//
SELL AT MARKET
ENDIF

IF Hour=HS and c2 and c4 THEN
SELLSHORT 1 CONTRACTS AT MARKET
ENDIF

IF ShortOnMarket AND Hour=HSS THEN
EXITSHORT AT MARKET
ENDIF

SET STOP LOSS LATR*AverageTrueRange[ATR](close)
SET TARGET PROFIT PATR*AverageTrueRange[ATR](close)

IF Hour=HS and c2 and c4 THEN
SELLSHORT 1 CONTRACTS AT MARKET
ENDIF

IF ShortOnMarket AND Hour=HSS THEN
EXITSHORT AT MARKET
ENDIF

SET STOP LOSS LATR*AverageTrueRange[ATR](close)
SET TARGET PROFIT PATR*AverageTrueRange[ATR](close)
```
GraHal and 4everTrading thanked this post

EURUSD-5-min.jpg
09/02/2018 at 10:33 AM #79559 quote
robertogozzi
Moderator

Legend
Lines 34-35 are duplicate and you may remove them.

Moreover, your SL & TP will change each new candle, while they should not while on market, I think you should use line 44 to write
```
If Not OnMarket then
```
and add line 47 with ENDIF
09/02/2018 at 10:46 AM #79561 quote

GraHal
Participant

Master

Lines 37 to 46 are all duplicated?

I guess maybe finger trouble with copy and paste??
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