Also works very well from 09.00h to 09.25h
@Raul
Ok, thanks. Seems clear that the upper equity curve is the one without the ticks backtest.
Another question that I’d like to ask, to confirm my thought about the strategy, are there days with multiple entries/exit on the same candlestick?
If, basically it is the same strategy as before, before I only put an operation at 09.05h depending on the bar that goes from 09.00h to 09.05h. But now, every 5 min during the first 15 min of the day.
example:
* 08.55h to 09.00h: positive bar. Put order at 09.00h of purchase +2 points above, trailing of 5 points.
* 09.00h to 09.05h: negative bar. Put order at 09.05h of sale -1 points below, trailing of 5 points.
* 09.05h to 09.10h: positive bar. Put order at 09.10h of purchase +2 points above, trailing of 5 points.
* 09.10h to 09.15h: negative bar. Put order at 09.15h of sale -1 points below, trailing of 5 points.
In any case, if during any of those 5 minutes the price does not touch the order, the order is closed and the order of the next bar is opened.
Every day, will enter 4 operations, unless you open one and the next bar has not closed, because the accumulation of orders is deactivated.
DEFPARAM CumulateOrders = false
Ok for the last version and the schedule range, but I was thinking of the first initial version. But that’s OK if this old one is depreciated now.
@Raul
I add my risk manager and the result is very good. For the first period until april 2016 the result is 38k instead 18k. Thanks
CNParticipant
Senior
@Emanuele
Tried adding ur manager, but did not suceed, could you post the code? 🙂
// Definición de los parámetros del código
DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada
DEFPARAM FlatAfter =173000
HoraEntradaLimite = 091500
HoraInicio = 090000
Margin = 60
Lottfree = 0
orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin))
ordersize=min(38,ordersize)
n=1
if dayofweek=1 then //Monday
daytrading=1
endif
if dayofweek=2 then // Tuesday
daytrading=1
endif
if dayofweek=3 then // Wednesday
daytrading=1
endif
if dayofweek=4 then //Thursday
daytrading=1
endif
if dayofweek=5 then // Frifay
daytrading=1
endif
if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 then
c1 = open < close-2
if not onmarket then
IF c1 THEN
buy orderSize*n contract AT close+2 stop
endif
c2= open > close-1
IF c2 THEN
sellshort orderSize*n contract AT close-1 stop
endif
endif
endif
SET STOP ptrailing 5
Tomorrow I replace these instead the previous version. I add in the variable Lottfree the result of the previous veersion that for me is equal (-20 (it’s gain)) in order to allow my risk manager. Thanks
CNParticipant
Senior
@emanuele
Getting worse results with this code then the last one.. More trades and more losses
@CN
For the same period I have 3053 euros of profit.
CNParticipant
Senior
@emanuele
Please post a pic so I can see the difference in gain/loss etc
Try to remove the Fridays, or to see how it works every day of the week separately you can go testing it only on Mondays, only on Tuesdays … and you will see how historically Fridays works badly. For them it changes the value daytrading = 1, by daytrading = 0 on the day that you do not want it to operate. If you put in all 0, except on Friday, it will only operate on Fridays. I personally do not like how Friday works
CNParticipant
Senior
So what would you guys prefer
@raul and
@emanuele?
In my opinion there’s more drawdown to the latest daily trading strat.. 45% wins etc…
Thoughts?
Good Morning,
i start in real with my version because I need to start with 1 lot.Until Friday, I’m on a business trip and I have no time to do other tests including those suggested by Raoul. Thanks
