15m DJ simple breakout strategy

• 08/30/2020 at 6:46 PM #142985
  VinzentVega

  Hi,
  attached a simple DOW breakout strategy. It works fine in the last 2 years. But i think it would be more profitable to add one or 2 variables into ist. But i don´t want to over-fitting this strategy, i want to keep it simple. Only the lots of loosers in a row are negetive. It needs a 2nd variable. New ideas are welcome. 🙂

  TF 15m / 1€ pipsize

  DEFPARAM CumulateOrders = true // Kumulieren von Positionen deaktiviert // referenzzeit refstartzeit=153000 refendzeit = 154500 offset=15 entry= 154500 lastentry=160000 feierabend=2200000 takeprofit=1000 stoploss=175 pos=1 if time = refstartzeit then reflow = Low lowlimit = reflow - offset refhigh = High highlimit = refhigh + offset inmarket = 0 c1 = 0 c2 = 0 endif if time > refstartzeit and time <= refendzeit then if reflow > Low[0] then reflow = Low lowlimit = reflow - offset endif if refhigh < High[0] then refhigh = High[0] highlimit = refhigh + offset endif endif //graph refhigh as "ref hoch" //graph reflow as "ref tief" //graph highlimit as "trigger long" //graph lowlimit as "trigger short" // graph c1 as "entrylong" // graph c2 as "entryshort" // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit timeEnterBefore = time >= entry // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit timeEnterAfter = time <= lastentry // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 if inmarket = 0 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then if high > highlimit then c1 = high endif IF c1 <> 0 THEN BUY pos CONTRACT AT MARKET inmarket = 1 ENDIF if low < lowlimit then c2 = low endif IF c2 and inmarket = 0 THEN SELLSHORT pos CONTRACT AT MARKET inmarket = 1 ENDIF if inmarket = 1 then // Stops und Targets SET STOP pLOSS stoploss SET TARGET pPROFIT takeprofit endif elsif time >= feierabend then sell at market exitshort at market endif

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  DEFPARAM CumulateOrders = true // Kumulieren von Positionen deaktiviert   // referenzzeit refstartzeit=153000 refendzeit = 154500 offset=15 entry= 154500 lastentry=160000 feierabend=2200000 takeprofit=1000 stoploss=175 pos=1   if time = refstartzeit then reflow = Low lowlimit = reflow - offset refhigh = High highlimit = refhigh + offset inmarket = 0 c1 = 0 c2 = 0 endif     if time > refstartzeit and time <= refendzeit then if reflow > Low[0] then reflow = Low lowlimit = reflow - offset endif if refhigh < High[0] then refhigh = High[0] highlimit = refhigh + offset endif endif     //graph refhigh as "ref hoch" //graph reflow as "ref tief" //graph highlimit as "trigger long" //graph lowlimit as "trigger short" // graph c1 as "entrylong" // graph c2 as "entryshort" // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen vor einer bestimmten Uhrzeit timeEnterBefore = time >= entry   // Verhindert das Platzieren von neuen Ordern zum Markteintritt oder Vergrößern von Positionen nach einer bestimmten Uhrzeit timeEnterAfter = time <= lastentry   // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0     if inmarket = 0 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry then   if high > highlimit then c1 = high endif IF c1 <> 0  THEN BUY pos CONTRACT AT MARKET inmarket = 1 ENDIF   if  low < lowlimit then c2 = low endif IF c2 and inmarket = 0 THEN SELLSHORT pos CONTRACT AT MARKET inmarket = 1 ENDIF   if inmarket = 1 then // Stops und Targets SET STOP pLOSS stoploss SET TARGET pPROFIT takeprofit endif   elsif time >= feierabend then sell at market exitshort at market endif

  Sry for my simple school-english. 🙂

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  Kovit, Eric, patel_kaushik, Nicolas

  

  VinzentVega

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  08/31/2020 at 9:50 AM #143032
  verygrubby

  Thanks for the strategy!

  I think you have too many zeros in line 9: feierabend=2200000…

  

  verygrubby

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  09/02/2020 at 1:13 AM #143163
  Paul

  Hi

  I’ve adjusted your code into my layout. The results break completely if I use reentry as a basic test. Have to look into that a bit more, maybe bugged? So it’s off.

  btw I wondered if the short criteria is handled well for c2 because c2 is untested. I used % (in pic 1% stoploss)

  Anyway got some reasonable results with this for 100k, not for 200k bars. Here’s a pic. I will post the code later.

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  VinzentVega

  

  Paul

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  09/02/2020 at 6:44 AM #143165
  Paul

  & long/short pic + code

   

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  VinzentVega

  

  Paul

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  09/02/2020 at 8:02 AM #143168
  VinzentVega

  Hi Paul,

   

  thx for your advise. In 200k looks realy not so good, maybe its possible to pimp it a little bit. The basic code was very simple.

  

  VinzentVega

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  09/02/2020 at 8:55 AM #143175
  GraHal

  Paul wrote:

  & long/short pic + code

  Weird … I don’t get any short trades over 100k bars??

  

  GraHal

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  09/02/2020 at 9:19 AM #143183
  Paul

  that’s probably because tradetype=2 and need to be set to 1

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  GraHal

  

  Paul

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  09/02/2020 at 6:09 PM #143228
  Eric

  Why this big take profit 1 000 points (almost 4%)?

  Cant be often that happens “in hours”?

   

  

  Eric

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  09/02/2020 at 7:04 PM #143236
  Paul

  I prefer percentage instead of points, especially when markets once were much higher or lower.

  if using cumulate orders = false and you copy this below (made little change) you see how many days a position is in market.

  // display days in market once displaydim =1 // displays the number of days in market (activated graph) once maxdim =999 // maximum days in market if displaydim then if not onmarket then dim=0 else if onmarket and not onmarket[1] or (longonmarket and shortonmarket[1]) or (shortonmarket and longonmarket[1]) then dim=1 endif endif if not opendayofweek=0 then if onmarket then if openday <> openday[1] then dim = dim + 1 endif endif endif if onmarket and dim>=maxdim then sell at market exitshort at market endif graph dim // display days in market endif

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  // display days in market once displaydim   =1  // displays the number of days in market (activated graph) once maxdim       =999 // maximum days in market if displaydim then if not onmarket then dim=0 else if onmarket and not onmarket[1] or (longonmarket and shortonmarket[1]) or (shortonmarket and longonmarket[1]) then dim=1 endif endif if not opendayofweek=0 then if onmarket then if openday <> openday[1] then dim = dim + 1 endif endif endif if onmarket and dim>=maxdim then sell at market exitshort at market endif graph dim // display days in market endif

   

  

  Paul

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  09/03/2020 at 11:19 AM #143281
  VinzentVega

  Eric wrote:

  Why this big take profit 1 000 points (almost 4%)?

  Cant be often that happens “in hours”?

   

  The idea behind this stragedy was, to let the trend run. And the best profit in the last 2 years was 1000 points, 11 times in 2020. The actual entry of  9/1 is now 640 points in front.

  

  VinzentVega

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