intraday DAX strategy 5min mini1€ spread 1

Forums ProRealTime English forum ProOrder support intraday DAX strategy 5min mini1€ spread 1

This topic contains 500 replies, has 32 voices, and was last updated by avatar larouedegann 1 year, 10 months ago.

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  • #21674

    I share the robot here, so we can improve it and show me the backtest with 200000 bars

     

     

     

    #21677

    Raul

    I tested the code above from 2013. You lose all of your equity by Q2 2013 even with starting equity of EUR20k.

    I then tested it with a stop and target as per previous versions. With Stop 5, Target 10. Unfortunately you again lose all of your equity by mid 2013 (even with EUR20k starting equity).

    I (hopefully) attach the results from backtest with Stop 3, Target 12.  You again need starting equity of EUR20k. Note the drawdown of EUR23k (I’m not sure I could live with that) and the large number of contracts you are sometimes trading (not sure how realistic). It performs really well 2014+

    #21680
    avatarCN

    Hey,

    My broker has 4 as min. SL in dax.
    What broker are you with?

    Could you post the results? There’s no picutre

     

    #21683

    For some reason the files won’t upload. I didn’t receive any error messages this time though. If I figure it out I’ll post the results. Sorry guys.

    I use Marex for most of my trading. I haven’t signed up to a broker yet to trade through PRT. Will do when happy with the demo results. Sounds like I’ll be looking at a stop of 4 like you guys. As I mentioned on the previous thread a SL of 4 and Target 10 also worked well.

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    #21686

    Looks like it worked that time.

    I’ll post updated results after Draghi finishes his press conferene

    #21687

    I made upgrade of forums during your last post, that’s why I believe the upload didn’t work at this time.

    About the strategy result, is anybody using the tick/tick backtest already?

    #21691

    Thanks Nicolas. I’ve got it ticked when I run the backtest. I know, the equity curve looks unbelievable. I’ll post results of previous test (with Raul’s older version of the code) later. equity curve looks more like you’d expect

    #21692

    Hey guys!

    Thanks for sharing! Tested it on PRT 10.3 with IG and this is the result. Really promising if you ask me!

    I will look into the code a bit more and see if I can make it better 🙂

    Attachments:
    #21695

    All

    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.

     

     

     

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    #21699

    Great work jonjon.

    But why do you use take profit instead of trailing? Are the results with tp better?

    #21700

    No, it’s great work Raul. I just ran a few backtests and learned how to post the results 😉

    With regards trailing vs take profit: I haven’t had time to look into it. I ran the test on the latest code with trailing stop of 5. That’s it (see posts above). If I have time I’ll look into it. For now I’m more interested in the entry prices that I’m getting paper trading.

    #21707

    Beware of stop trailing at 4 points, I don’t think that’s possible with IG. I encourage using the “now well known” trailing stop code snippet of the blog instead of the built-in trailing function, much easier to debug into real trading, IMO 🙂

    #21708
    avatarCN

    Where do we find this code Nicolas?

    #21715

    These are the 2 different trailing stop blog articles:

    MFE trailing stop

    complete trailing stop function

    #21717
    avatarCN

    How would you add that/those to the code that Raul posted? And where?

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