intraday DAX strategy 5min mini1€ spread 1

Raul Vg · Thu, 19 Jan 2017 12:16:10 +0000

I share the robot here, so we can improve it and show me the backtest with 200000 bars // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =173000 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 if Ordersize>15 then Ordersize=15 endif if Time >= HoraInicio and time <= HoraEntradaLimite then c1 = open < close-2 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 if ordersize<1 then ordersize=1 ENDIF endif buy ordersize*6 contract AT close+2 stop endif c2= open > close-1 IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*6 contract AT close-1 stop endif endif endif SET STOP ptrailing 5 Q

This topic has 502 replies, 34 voices, and was last updated 3 years ago by Asteriks.

Viewing 15 posts - 196 through 210 (of 503 total)

← 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 … 30 31 32 33 34 →

01/26/2017 at 11:34 AM #22561

Raul Vg

I believe that partial closures of IG operations can not be made. Anyway, you could make two different robots with half contracts each, one with take and another with only trailing

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 11:41 AM #22563

mamio

@raul

thank-you.

By the way: big gain this morning with the last version!!! (in demo only for the moment)

mamio

Participant

Topics: 2

Replies: 35

Been thanked: 1 time

01/26/2017 at 12:44 PM #22569

4everTrading

Hey!!!

i attach the info that IG share, info associate to Dax 1€.

As you can see, the minimum stop is 4, Can be the same stop for trailling stop?

Thanks guys

4everTrading

Participant

Topics: 1

Replies: 19

Been thanked: 3 times

01/26/2017 at 12:54 PM #22573

Raul Vg

Hi Carlos, yes, the minimum distance for stop is 4, but for trailing is 5.

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 12:58 PM #22577

Raul Vg

Someone knows how to do a trailing to do the following: open the position in 100, and the trailing is 20 points, so it would be 80, if the price rises to 110, the trailing rises to 90, if it rises to 130, the trailing rises to 110, if it rises to 131 the trailing rises to 111. I understand that in ig rises in blocks, that is, in the previous case, should raise the price to 120 for q trailing to rise to 100, and Then I should raise to 140 for the trialing to rise to 120, always in block of points and not point by point

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 1:45 PM #22580

Nicolas

@Raul

I confirm that partial close is not possible, the best solution is to set different strategies with different objectives.

About IG trailing stop function, that’s why I coded the trailing code snippets you’ll find in the blog section of the website (trailingstep variable is what you looking for, but be aware that code are only read once per bar and so will be moved the stoploss.. we definitely need multi timeframe support I know! )

Nicolas

Keymaster

Topics: 81

Replies: 20828

Been thanked: 4742 times

01/26/2017 at 2:58 PM #22594

Raul Vg

@Nicolas

No doubt that kind of trailing stop would go phenomenal for this strategy. Anyway I will try yours to see how it works, although in this strategy usually close before a bar.

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 3:04 PM #22595

4everTrading

Question

I am a little bit confused about the risk to take. What do you think guys is the best option to start with 1k?

Thanks

4everTrading

Participant

Topics: 1

Replies: 19

Been thanked: 3 times

01/26/2017 at 3:07 PM #22600

4everTrading

Please to feel free to share you thoughts. I aprreciate it.

Thanks

4everTrading

Participant

Topics: 1

Replies: 19

Been thanked: 3 times

01/26/2017 at 3:26 PM #22604

Raul Vg

Today live demo account.

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 4:13 PM #22619

GraHal

@Carlos I ran your 3 versions and got attached since 1 Jun 16. None of the 3 fall below your starting 1k, but could well do in live trading (as we all know). How about a compromise? Lower position size of the top Algo (£22.7K) to 50 (from 80) … still makes 14.4K. Also include a Quit and if your 1k drops to 750 have a rethink? I think I’ve talked myself into it! 🙂

<span class="token keyword">IF</span> StrategyProfit<span class="token operator"><</span><span class="token operator">-</span><span class="token number">200</span> <span class="token keyword">then</span> 
 <span class="token keyword">QUIT</span>
<span class="token keyword">ENDIF
</span>

IF StrategyProfit<-200 then

QUIT

ENDIF

Cheers GraHal

1 user thanked author for this post.

4everTrading

GraHal

Participant

Topics: 204

Replies: 8418

Been thanked: 2043 times

01/26/2017 at 4:30 PM #22622

@Raul,

What strat is that? The latest one you added?

Participant

Topics: 1

Replies: 156

Been thanked: 17 times

01/26/2017 at 4:44 PM #22624

Raul Vg

In my opinion, the risk manager used is not to my liking, for the following reason, basically what it does is to increase a contract every 60 euros earned up to a maximum of 18 contracts. That is, if you start with 1000 euros and you reach 2080 euros, you will enter 18 contracts, thereafter (18×60 = 1080 euros of profits), you will always enter 18 contracts, even if you have 50000 euros of profits (hopefully).

Another thing a little sloppy that I do, is to perform the backtest, see the max drawdown and multiply by 3, and minimum to have those funds. In case of strategies with risk manager can not do so because the maxdrawdown is probably not at the beginning when few contracts are entered.

The important thing is the beginning, another way of calculating the funds that I have is to multiply the maximum number of consecutive losses by 3 or 4, and in turn, multiply it by the stop loss and the quantity of contracts that I am going to put in the beginning, and that The result still does not exceed 30% or -40% of my capital.

example:

Maximum number of consecutive losses = 6

Stop = 5

Inical contracts = 2

Starting money = 1000 euros

6 * 5 * 2 = 60 * 4 = 240 € <30% of 1000

This means that at first, even if you lose 24 times in a row, you will not exceed 30% of your capital.

There are millions of options, anyway I attach the two last robots that I am forming

6 users thanked author for this post.

manel,

cantillon,

Nicolas,

mamio,

CN,

GraHal

Raul Vg

Participant

Topics: 4

Replies: 177

Been thanked: 83 times

01/26/2017 at 4:45 PM #22629

GraHal

@Carlos Having said all that above, on reflection … I think the middle Algo giving 11.3K is better for you. If you’ve only got 1k then wiser / safer to start with the smaller position size of 5. Then if you’re stopped out a few times (@5 points SL) you still live to fight another day?? I’d still include a QUIT though @ – 100??

Raul has just answered your question even better now … with risk calcs.

GraHal

Participant

Topics: 204

Replies: 8418

Been thanked: 2043 times

01/26/2017 at 5:15 PM #22633

@Raul

In your opinion, the strats that you provided in your last post, are they the most efficient and best atm?
Sorry for the stupid questions

Participant

Topics: 1

Replies: 156

Been thanked: 17 times

Author

Posts

Viewing 15 posts - 196 through 210 (of 503 total)

← 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 … 30 31 32 33 34 →

Find exclusive trading pro-tools on