10-20 trades a DAY on DAX?

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  • 07/30/2019 at 7:28 AM #103752 quote
    Stefanb
    Participant
    Senior

    I don’t have that big account so I can only have max 5 algos live at the same time.

    Some weeks my algos only take 1 trade/week!

    Boring!!

    I try to code an algo that makes quite a few trades/day(10-20 trades). 1 min timeframe seems to work best.

    DAX often moves 100-200 points a day.

    Do you have any good suggestions on what to consider when coding an algo that should take many trades a day?

    What type of stop usually works…

    07/30/2019 at 8:22 AM #103756 quote
    jebus89
    Participant
    Master

    Hi! There is no secret answer here. It feels alot harder to make a profitable code on a shorter timeframe because of all the “noise” happening in between the real moves.

    Filters are your friend. Figure out how to filter out the noise and not filter out the real moves. Thats basicly  the “how to” in this game.. It is very hard, everything and anything can and wont work. Good luck!

    07/30/2019 at 8:50 AM #103762 quote
    Stefanb
    Participant
    Senior

    Agree with you jebus.

    just thought that if there is any filter that usually works better at lower timeframes and so on.

    08/01/2019 at 7:27 AM #103927 quote
    jebus89
    Participant
    Master

    nah not really, when looking for extremes, a bollinger band is always good, when looking for moreover that “trend” in the market i find using RSI, moving averages, ATR usefull. Also mixing in higher timeframes might give an indication of where we where and where we are and where we’re going.

    08/01/2019 at 8:03 AM #103935 quote
    Stefanb
    Participant
    Senior

    Thanks jebus.

    I’ve been coding for two years now so I know the basics well.

    Will see if I can get to an algo that is really active 🙂

    08/10/2019 at 4:23 PM #104531 quote
    Stefanb
    Participant
    Senior

    Don’t get it with as active algo as I want but here comes a EURUSD algo that takes a few positions/week.

    Spread 0.7.

    Optimized until 2018.

    DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 070000
DEFPARAM FLATAFTER = 230000
 
daysforbiddenentry = openDayofweek = 6 or opendayofweek = 0

RSINum = 9
RSIHighLevel = 32
RSILowLevel = 85
RSI2 = (SUMMATION[RSINum](RSI[RSINum](Close)))/RSINum
RSILow = RSI2 < RSILowLevel
RSIHigh = RSI2 > RSIHighLevel

IF (abs(close-open[1]) > 30*pointsize) THEN
IF (close > open[5]) and rsihigh and not daysforbiddenentry THEN
BUY 1 CONTRACTS AT MARKET

ENDIF
 
IF (close < open[6]) and not daysforbiddenentry  and rsilow THEN
SELLSHORT 1 CONTRACTS AT MARKET

ENDIF
ENDIF

IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= 15 THEN
SELL AT MARKET
ENDIF

IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= 41  THEN
EXITSHORT AT MARKET
ENDIF
    eurusd-15-min.jpg eurusd-15-min.jpg
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10-20 trades a DAY on DAX?


ProOrder: Automated Strategies & Backtesting

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Stefanb @stefanb Participant
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This topic contains 5 replies,
has 2 voices, and was last updated by Stefanb
6 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/30/2019
Status: Active
Attachments: 1 files
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