intraday DAX strategy 5min mini1€ spread 1

• 01/25/2017 at 10:38 AM #22393
  jonjon

  Hi all. I’ve had a serious problem this morning with the previous version of the code. It sold at 08:05 as it should have and I got stopped out (again as it should have). The problem seems to be when I was stopped out the order was partially executed. I’ve had this problem with other systems I have been working on. When there is a partial executed order, the amount that is partially executed is either bought or sold again. I hope I’m making sense. See the screen shot attached. You can see the order tickets:

   

  08:05:02: executed -5 Dax (@ 11,679.0)

  08:05:16: SL : partially executed +4 Dax (@ 11,683.50)

  08:05:16: SL : fully executed +1 Dax (@11,684.00)

  08:05:18: executed +4 Dax (@11,684.00)

   

  Result is that I have a naked long 4 position (shame as I would have made good money).
  Can anyone help with this problem? Has anyone seen it before? The version of the code I’m using is below. Thanks everyone

   

  // Definition of parameters DEFPARAM CumulateOrders = false // No accumulation of orders // Position is closed at 4:30 p.m., local market time (London). DEFPARAM FlatAfter =162900 Once ordersize=1 // Start time (calculation at end of 080000 bar) StartTime = 080500 // Only 1 position per day EndTime = 080600 // Max orders & risk multiplier //Margin = 60 //Lottfree = 0 //orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) //ordersize=min(18,ordersize) If Ordersize > 11 THEN Ordersize = 11 Endif n=1 // Conditions for analysis If Time >= StartTime and time <= EndTime THEN If not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+2 Endif Ordersize=max(Ordersize,1) // Conditions to enter positions IF c1 THEN buy Ordersize*n contract AT close+2 stop endif IF c2 THEN sellshort Ordersize*n contract AT close-1 stop Endif Endif Endif //Stops & target SET STOP ploss 4 //5 3 SET TARGET pPROFIT 10 //10 12

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  // Definition of parameters DEFPARAM CumulateOrders = false // No accumulation of orders   // Position is closed at 4:30 p.m., local market time (London). DEFPARAM FlatAfter =162900   Once ordersize=1   // Start time (calculation at end of 080000 bar) StartTime = 080500 // Only 1 position per day EndTime = 080600   // Max orders & risk multiplier //Margin = 60 //Lottfree = 0 //orderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) //ordersize=min(18,ordersize)   If Ordersize > 11 THEN Ordersize = 11 Endif   n=1   // Conditions for analysis   If Time >= StartTime and time <= EndTime THEN   If not onmarket then   c1 = open < close-2*pointsize c2= open > close-1*pointsize   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+2 Endif   Ordersize=max(Ordersize,1)   // Conditions to enter positions IF c1 THEN buy Ordersize*n contract AT close+2 stop endif   IF c2 THEN sellshort Ordersize*n contract AT close-1 stop Endif   Endif Endif   //Stops & target SET STOP ploss 4 //5 3 SET TARGET pPROFIT 10 //10 12

   

  

  jonjon

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  01/25/2017 at 11:04 AM #22398
  arcane

  Hello,

  On the dax, the minimum stop loss is 6

  The stop loss trailing is 5

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  jonjon

  

  arcane

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  01/25/2017 at 11:20 AM #22400
  jonjon

  @ Raul. I ran the code you posted yesterday at 3:55pm. Same problem with using ptrailing with the data in July 2014. I attach the two results.

  (I’m aware that thinking / code has moved on since then).

  

  jonjon

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  01/25/2017 at 11:37 AM #22407
  Raul Vg

  Hello jonjon, in your code the problem I see is that the minimum stop loss is 5, at least in my broker. By the way, the error that you say in the backtest the same day of June can be due to that as maximum can do 500 checks tick by tick by backtest. Try to put the backtest from May 1, 2014 until you get to see if t leaves the problem on the same day.

  

  Raul Vg

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  01/25/2017 at 11:53 AM #22412
  jonjon

  @Raul and @arcane. Thanks for the replies. I’m not signed up to IG. I realise that I will have minimum SLs to work with (these do seem to change by country). As / when I trade through IG then I will have to change the code accordingly. I may be wrong however at the moment my SL level being 4 instead of 5 (or 6) should not explain the error??

  I’ve logged it with PRT as well and I’ll let you know what they say.

  

  jonjon

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  01/25/2017 at 4:24 PM #22445
  Raul Vg

  Hi,

  Today in the first bar has happened again the other day, live has opened later due to the first time pull, in the backtest has opened when due and the first bar has been winning, live has opened later and has lost. It is necessary to prove it well, to see if this is common entry because the price changes very fast.

  

  Raul Vg

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  01/25/2017 at 4:53 PM #22452
  volpiemanuele

  @Roul

  Today all trade in loss..total day -25….I’m out for business travel and what is the difference between real and backtest today ? Thanks

  

  volpiemanuele

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  01/25/2017 at 5:27 PM #22459
  Raul Vg

  with risk manager, Every 1000 euro of profits, adds a contract.

   

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 HoraEntradaLimite = 093000 HoraInicio = 090000 capital=10000+strategyprofit n=capital/1000 if n>100 then n=100 endif if n<10 then n=10 endif 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 // Friday daytrading=0 endif if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 then c1 = open < close-2 if not onmarket then IF c1 THEN buy n contract AT close + 2 stop endif c2= open > close-1 IF c2 THEN sellshort n contract AT close - 1 stop endif endif endif SET STOP ptrailing 5

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  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   DEFPARAM FlatAfter =173000   HoraEntradaLimite = 093000 HoraInicio = 090000   capital=10000+strategyprofit n=capital/1000   if n>100 then n=100 endif if n<10 then n=10 endif 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 // Friday daytrading=0 endif     if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1  then     c1 = open < close-2 if not onmarket then IF c1 THEN   buy n contract AT close + 2 stop endif   c2= open > close-1   IF c2 THEN   sellshort n contract AT close - 1 stop endif endif endif         SET STOP ptrailing 5

   

  

  Raul Vg

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  01/25/2017 at 6:08 PM #22462
  arcane

  For the strategy, I advise another martingale.

  When the program is losing, you increase the position.

  This famous martingale is the work of Alembert, French mathematician of the eighteenth century.
  In case of loss, the position is increased by one unit, and in case of gain, it is reduced by one unit.

   

  IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+2

  1 2	IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+2

  The gain is better.

  

  arcane

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  01/25/2017 at 7:23 PM #22472
  Raul Vg

  In my race towards madness I decided to re-edit the code.

   

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 capital=strategyprofit+10000 n=capital/1000 if n>100 then n=100 endif if n<10 then n=10 endif HoraEntradaLimite = 090600 HoraInicio = 090500 HoraEntradaLimite1 = 091600 HoraInicio1 = 091500 HoraEntradaLimite2 = 093100 HoraInicio2 = 093000 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 or Time >= HoraInicio1 and time <= HoraEntradaLimite1 and daytrading= 1 or Time >= HoraInicio2 and time <= HoraEntradaLimite2 and daytrading= 1 then c1 = open < close-2 if not onmarket then IF c1 THEN buy n contract AT close+2 stop endif c2= open > close-1 IF c2 THEN sellshort n contract AT close-1 stop endif endif endif SET STOP ptrailing 5

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  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   DEFPARAM FlatAfter =173000   capital=strategyprofit+10000 n=capital/1000   if n>100 then n=100 endif if n<10 then n=10 endif   HoraEntradaLimite = 090600 HoraInicio = 090500   HoraEntradaLimite1 = 091600 HoraInicio1 = 091500   HoraEntradaLimite2 = 093100 HoraInicio2 = 093000   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  or Time >= HoraInicio1 and time <= HoraEntradaLimite1 and daytrading= 1  or Time >= HoraInicio2 and time <= HoraEntradaLimite2 and daytrading= 1  then     c1 = open < close-2 if not onmarket then IF c1 THEN   buy n contract AT close+2 stop endif   c2= open > close-1   IF c2 THEN   sellshort n contract AT close-1 stop endif endif endif         SET STOP ptrailing 5

   

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  Raul Vg

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  01/25/2017 at 7:35 PM #22476
  Elsborgtrading

  Hi, just a thought.. If you want a smaller SL that the broker allows- you can try and play around with this code

   

  //========LONG EXIT======= SL=2 if longonmarket and close-tradeprice(1)<=-pipsize*SL then sell AT MARKET endif //=========SHORT EXIT==== if shortonmarket and close-tradeprice(1)>=pipsize*SL then exitshort AT MARKET endif

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  //========LONG EXIT======= SL=2 if longonmarket and close-tradeprice(1)<=-pipsize*SL then sell AT MARKET endif   //=========SHORT EXIT====   if shortonmarket and close-tradeprice(1)>=pipsize*SL then exitshort AT MARKET endif

   

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  Elsborgtrading

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  01/25/2017 at 8:24 PM #22484
  Henrik

  Hi!

  I tried to run it in live in my demo ig acount and it says that minimum 10 stop is allowed for automated strategies and today it made a loss trade with trailing sl at 5. Same strategy  with tick backtest says it won that trade……

   

  Regards

  Henrik

  

  Henrik

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  01/25/2017 at 8:37 PM #22486
  Raul Vg

   https://www.prorealcode.com/topic/5-min-mini1e-dax-spread-1/page/13/#post-22445

  

  Raul Vg

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  01/25/2017 at 9:20 PM #22492
  Eric

  off topic i know but worth reading http://www.trade2win.com/boards/spread-betting-cfds/220766-interview-highbury-fx.html

  this is a smaller firm than IG and i think and i hope IG have a different way of handling the trades and hedging

  but IG is still a market maker and as long they can pass on your wins to someone else (losing) its no problem but if you try to get IG to pay your profits it can be a problem?

  dont answer to this here and ruin the thread, start a new topic in general trading in case of any thoughts on this

  i dont want to sound negative just try to help

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  Eric

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  01/26/2017 at 9:47 AM #22541
  mamio

  @Raul,

  what about putting a fixed profit (eg 5 points) on half of the position and let go the other half of the position with the trailing stop? I suspect that some profits will be locked this way.

  

  mamio

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