1H EURUSD with good walk forward robustness tests

• 09/02/2019 at 8:58 AM #106188
  Stefanb

  This is not my code but I have modified it a bit.

  Optimized it with a regular back test. (100%)

  Then I did a WF with 5 periods with 70% IS.

  The result looks pretty good according to what I learned the last few days about WF.

  DEFPARAM CumulateOrders = FALSE// Posizioni cumulate disattivate ONCE trailingStopType = 1 // 0 NONE, 1 TRAILING ONCE percprofit = 0.5 // 0.5 ONCE percloss = 1 // 1 ONCE barlong = 15 //15 ONCE barshort = 15 //15 ONCE atrtrailingperiod = 200 //200 ONCE minstop = 5 //5 Pipsize - least distance of the stop for IG ONCE trailingstoplong = 15 //15 Trailing stop start and distance ONCE trailingstopshort = 15 // 15 // FRACTAL ONCE CP = 120 // 120 // MOVING AVERAGE ONCE avgLongPeriod = 80 // 80 // CUMMRSI ONCE CumRsiPer = 2 // 2 ONCE cumrsiEnterLongThreshold = 160 // 160 ONCE cumrsiEnterShortThreshold = 60 // 60 // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize) //atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize)/1000 // for indices divided for 1000 trailingstartl = round(atrtrail*trailingstoplong) //trailing stop start and distance trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF // FILTER SETTING ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD if Close[cp] >= highest[2*cp+1](Close) then LH = 1 else LH = 0 endif if Close[cp] <= lowest[2*cp+1](Close) then LL = -1 else LL = 0 endif if LH = 1 then HIL = Close[cp] endif if LL = -1 then LOL = Close[cp] endif PTN01 = (close CROSSES OVER HIL) PTN02 = (close CROSSES UNDER LOL) // CUMRSI CUMRSI = SUMMATION[CUMRSIPER](RSI[CUMRSIPER](close)) // ENTRY cumrsiFilterEnterLong = (cumrsi > cumrsiEnterLongThreshold) cumrsiFilterEnterShort = (cumrsi < cumrsiEnterShortThreshold) //MOVING AVERAGE longAvg = Average[avgLongPeriod] (close) //Enter avgFilterEnterLong = (close>longAvg) avgFilterEnterShort = (close<longAvg) //-------------------------------------------------------------------------------------------------- // STRATEGY //-------------------------------------------------------------------------------------------------- if (time >=100000 and time < 230000) then IF NOT LongOnMarket AND avgFilterEnterLong AND PTN01 AND cumrsiFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF IF NOT ShortOnMarket AND avgFilterEnterShort AND PTN02 AND cumrsiFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni long IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF SET STOP %LOSS percloss SET TARGET %PROFIT percprofit graph tgl graph tgs

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  DEFPARAM CumulateOrders =  FALSE// Posizioni cumulate disattivate   ONCE trailingStopType          = 1    // 0 NONE, 1 TRAILING ONCE percprofit                = 0.5     // 0.5 ONCE percloss                  = 1     // 1 ONCE barlong                   = 15    //15 ONCE barshort                  = 15    //15 ONCE atrtrailingperiod         = 200  //200 ONCE minstop                   = 5 //5  Pipsize - least distance of the stop for IG ONCE trailingstoplong          = 15    //15 Trailing stop start and distance ONCE trailingstopshort         = 15    // 15 // FRACTAL ONCE CP                        = 120    // 120 // MOVING AVERAGE ONCE avgLongPeriod             = 80   // 80 // CUMMRSI ONCE CumRsiPer                 = 2    // 2 ONCE cumrsiEnterLongThreshold  = 160   // 160 ONCE cumrsiEnterShortThreshold = 60   // 60   // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize) //atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize)/1000  // for indices divided for 1000 trailingstartl = round(atrtrail*trailingstoplong)    //trailing stop start and distance trailingstartS = round(atrtrail*trailingstopshort)   if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF     // FILTER SETTING   ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD if Close[cp] >= highest[2*cp+1](Close) then LH = 1 else LH = 0 endif if Close[cp] <= lowest[2*cp+1](Close)  then LL = -1 else LL = 0 endif if LH = 1 then HIL = Close[cp] endif if LL = -1 then LOL = Close[cp] endif   PTN01 = (close CROSSES OVER HIL) PTN02 = (close CROSSES UNDER LOL)   // CUMRSI CUMRSI = SUMMATION[CUMRSIPER](RSI[CUMRSIPER](close)) // ENTRY cumrsiFilterEnterLong  = (cumrsi > cumrsiEnterLongThreshold) cumrsiFilterEnterShort = (cumrsi < cumrsiEnterShortThreshold)   //MOVING AVERAGE longAvg  = Average[avgLongPeriod] (close)   //Enter avgFilterEnterLong  = (close>longAvg) avgFilterEnterShort = (close<longAvg)   //--------------------------------------------------------------------------------------------------   // STRATEGY //-------------------------------------------------------------------------------------------------- if (time >=100000 and time < 230000) then IF NOT LongOnMarket AND avgFilterEnterLong AND PTN01  AND cumrsiFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF   IF NOT ShortOnMarket AND avgFilterEnterShort AND PTN02 AND cumrsiFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF ENDIF   // Condizioni per uscire da posizioni long IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort  THEN EXITSHORT AT MARKET ENDIF ENDIF   SET STOP %LOSS percloss SET TARGET %PROFIT percprofit graph tgl graph tgs

   

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  kj1988, GraHal

  

  Stefanb

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  09/02/2019 at 10:26 AM #106203
  GraHal

  Strange I get better looking equity curve on DAX and DJI than I do on EURUSD over 100k bars, Spread = 2 in all images attached.

  My results auger well for the strategy being robust (good on 2 Markets, maybe more? )

  Why are my results on eurusd not good over 100k bars (3rd image attached). If I look at half of your equity curve over 200k bars on eurusd then yours increases steadily, mine does not!

  Ill go check timezones in the code and amend to match yours in Sweden.

  Thanks anyway for sharing.

  I have set it going on Demo DAX 1H for now.

  

  GraHal

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  09/02/2019 at 10:32 AM #106208
  GraHal

  GraHal wrote:

  Ill go check timezones

  Yeah that was it … Times at Line 104 … knocked 1 hour off (to get same as Sweden) better equity curves on all 3 Markets now!

  Nice one Stefan! 🙂

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  Stefanb

  

  GraHal

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  09/02/2019 at 10:33 AM #106210
  Stefanb

  This is my time settings.

  Must test DAX and DJ.

  I use spread 1 on EURUSD.

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  GraHal

  

  Stefanb

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  09/02/2019 at 10:42 AM #106212
  GraHal

  GraHal wrote:

  knocked 1 hour off (to get same as Sweden)

  I meant I set your 100000 (Sweden UTC +2) to 090000 (UTC+1 in UK)

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  Stefanb

  

  GraHal

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