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In the previous discussion I was asked to provide the results from Raul’s earlier code. The code has changed somewhat into the version above however I’ll paste the previous version here and attach the results. NOTE: the code below is an older version (I don’t want to cause confusion).

I’ve made it quite conservative and have run it with SL of 4 (instead of 3 that I previously used) and Target 10. Max order size 11. I’m happy to forfeit % return to minimise drawdowns and err on side of caution. I’ve run backtest with tick-by-tick and the equity curve is more that you’d expect. In particular you can see “steps” up in the curve that we discussed, with slow gradual tail-offs through losses before the next “step”. 2013 clearly isn’t a good year (although not too bad). 2014+ good.

// Definition of parameters
DEFPARAM CumulateOrders = false // No accumulation of orders

// The position is closed at 4:30 p.m., local market time (London).
DEFPARAM FlatAfter =162900

once ordersize=1
// No new positions after the candle closes at 08:06
EndTime = 080600
// Market analysis starts in the candle 5 minutes closes at 08:05
StartTime = 080500

// Max orders
if Ordersize>11 then
Ordersize=11
endif

// Risk & multiplier contracts

n=1

// Conditions for analysis

if Time >= StartTime and time <= EndTime then

// Conditions to enter long positions

c1 = open < close-1
IF c1 THEN
IF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
endif
// If the first day of 5 bar min is positive, we buy
buy ordersize*n shares at market
endif

// Conditions to enter short positions

c2= open > close-1
IF c2 THEN
iF PositionPerf(1) < 0 THEN
OrderSize = OrderSize/2//+1
if ordersize<1 then
ordersize=1
ENDIF
ELSIF PositionPerf(1) > 0 THEN
OrderSize =OrderSize+2
ENDIF
// If the first day of 5 bar min is positive, we sell.
sellshort ordersize*n shares at market
endif
endif

SET STOP ploss 4 //5 3
SET TARGET pPROFIT 10 //10 12

Dax-intra-5min-2-SL4-T10.png