"1 par jour !" Stratégy on DJ H1 ( one par day)

• 06/17/2017 at 8:09 PM #38515
  TheAccountant

  Hello ! 🙂

  Here is a strategy that takes only one position per day. On the DJ in h1 at the opening.

  This is my version of a classic strategy that I am trying to improve.

  It is very simple: we take position once a day in the direction of the trend. Trend confirmed by the MACD and an MA100 at the time of opening.

  We exit postion with the ATR trailing stop (code on prorealcode) :

  // Période p = 14 // Average True Range X ATRx = AverageTrueRange[p](close) * 1.5 // ATRts = ATR Trailing Stop // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF // Cacul de l'ATRts lors de la même tendance IF close > ATRts THEN ATRnew = close - ATRx IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF ELSIF close < ATRts THEN ATRnew = close + ATRx IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF ENDIF return ATRts as "ATR Trailing Stop"

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  // Période p = 14   // Average True Range X ATRx = AverageTrueRange[p](close) * 1.5     // ATRts = ATR Trailing Stop   // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF   // Cacul de l'ATRts lors de la même tendance IF close > ATRts THEN ATRnew = close - ATRx IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF ELSIF close < ATRts THEN ATRnew = close + ATRx IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF ENDIF     return ATRts as "ATR Trailing Stop"

  I did not over-optimize it. I code it on 50 000 unit and i test on 200 000 unit. The Spread of 1.8 is included. Starting capital 1000 usd.

  The problem is that there are sometimes long series of losses.

  Any ideas to reduce the drawdown or to improve the strategy will be appreciated 🙂

  TheAccountant

  PS : Google translation is my new friends now 🙂  🙂  🙂

   

  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 145000 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 151000 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position acheteuse indicator1 = Average[100](close) c1 = (close > indicator1) indicator2 = MACD[12,26,9](close) c2 = (indicator2 > 0) IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions pour fermer une position acheteuse indicator3 = CALL "ATR trailling Stop" c3 = (close CROSSES UNDER indicator3) IF c3 THEN SELL AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert indicator4 = Average[100](close) c4 = (close < indicator4) indicator5 = MACD[12,26,9](close) c5 = (indicator5 < 0) IF (c4 AND c5) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions pour fermer une position en vente à découvert indicator6 = CALL "ATR trailling Stop" c6 = (close CROSSES OVER indicator6) IF c6 THEN EXITSHORT AT MARKET ENDIF // Stops et objectifs SET STOP pLOSS 50

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  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 145000 timeEnterBefore = time >= noEntryBeforeTime   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 151000 timeEnterAfter = time < noEntryAfterTime   // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions pour ouvrir une position acheteuse indicator1 = Average[100](close) c1 = (close > indicator1) indicator2 = MACD[12,26,9](close) c2 = (indicator2 > 0)   IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   // Conditions pour fermer une position acheteuse indicator3 = CALL "ATR trailling Stop" c3 = (close CROSSES UNDER indicator3)   IF c3 THEN SELL AT MARKET ENDIF   // Conditions pour ouvrir une position en vente à découvert indicator4 = Average[100](close) c4 = (close < indicator4) indicator5 = MACD[12,26,9](close) c5 = (indicator5 < 0)   IF (c4 AND c5) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   // Conditions pour fermer une position en vente à découvert indicator6 = CALL "ATR trailling Stop" c6 = (close CROSSES OVER indicator6)   IF c6 THEN EXITSHORT AT MARKET ENDIF   // Stops et objectifs SET STOP pLOSS 50

   

   

   

   

  

  TheAccountant

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  06/17/2017 at 8:58 PM #38521
  Juan Salas

  Hi Accountant,

  Thanks so much for your reply!!!! I will take a look to your system, although I am afraid I am not going to be able to test it for more than 100.000 units, since PRT does not allow more than that.

  I can see you have a very narrow timeframe: 14:50-15:10h, so I cannot apply to my system. I operate in M15 from 09:00 to 14:00 and the average time for an operation is 30-60 min, so after that time another one is open. I am browsing the different forums and getting new ideas, but in any case, I do appreciate your help.

  As I said, I will review your code and if I see any room for improvement, I will let you know.

  Very best,

  Juan

  P.S.- Good luck with Google translation. I am living in Germany and I can’t live without it ;))))))))

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  TheAccountant

  

  Juan Salas

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  07/04/2017 at 7:01 PM #39817
  TheAccountant

  hello !

  For now the positions taken directly on the demo account are exactly the same as the backtest !

  

  TheAccountant

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  07/05/2017 at 9:09 AM #39843
  Nicolas

  Good news TheAccountant!

  Did you try to test the slope of the 100SMA and/or the MACD one to trigger your orders?

  

  Nicolas

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  07/05/2017 at 9:33 AM #39846
  TheAccountant

  I do not understand what you mean ? I use the 100sma and the MACD. ( une ptite trad en french de “the slope” ?  🙂  ou une ptite explication de ce que tu veux dire en french ? )

  

  TheAccountant

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  07/05/2017 at 9:39 AM #39848
  Nicolas

  Slope means “pente” in French or the “direction” of the curve to be precise 🙂

  

  Nicolas

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  07/05/2017 at 12:53 PM #39874
  TheAccountant

  ok thank ! 🙂

  I do not know how to do that. I can put price above or below but according to the Slope I do not know
  

  

  TheAccountant

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  07/05/2017 at 1:02 PM #39877
  Nicolas

  You can compute a simple slope just by comparing if the current period value of the indicator is superior or inferior to the previous one:

  sma100=average[100] bullish=sma100>sma100[1]

  1 2	sma100=average[100] bullish=sma100>sma100[1]

  Or you can also add a filter to know the current slope is bullish since 10 bars for example:

  sma100=average[100] bullish=sma100>sma100[1] longtermbullish=summation[10](bullish)=10

  1 2 3

  sma100=average[100] bullish=sma100>sma100[1] longtermbullish=summation[10](bullish)=10

   

  

  Nicolas

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  07/05/2017 at 3:51 PM #39893
  TheAccountant

  Ok thank you Nicolas. I tested both ways and it’s not better for the drawdown.

  I also tried to add a 50sma (sma 50> sma100 for buy) and replaced ATR trailing stop by a simple trailing stop : It’s a little better for the winnings but still with a big drawdown 🙁
  

   

  

  TheAccountant

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  07/05/2017 at 4:06 PM #39895
  Nicolas

  You can also use the same slope condition with your MACD.

  

  Nicolas

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