intraday DAX strategy 5min mini1€ spread 1

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  • 01/27/2017 at 1:54 PM #22747
    volpiemanuele

    hi,

    I Trade today in real with two strategy: one that trade only 9.05 and one 9.00 until 9.15 (4 trades)

    Results:

    • 9 loss 5
    • 9,05 loss 5 and loss 6.50
    • 9,10 no trades
    • 9.15 gain 5

     

    01/27/2017 at 2:05 PM #22749
    Raul Vg

    Yes, today is Friday, the latest versions do not operate on Fridays, historically bad day for this strategy.

    01/27/2017 at 2:12 PM #22751
    volpiemanuele

    Ok,

    Yes I know. But in this moment I trade on Friday  with 1 lot only. Thanks

    01/27/2017 at 3:36 PM #22760
    Paris

    hi raul and emanuel and thanks for sharing all those codes with us .

     

    @ raul  : what are your parameters for this window ?

     

    regards

    01/27/2017 at 7:51 PM #22785
    Raul Vg

    Here you have the version that combines the accumulator that when it hits, adds 5 contracts and when it fails, divides between 2 contracts with the multiplier depending on the time and day.

    It is configured to max out a ordersize = 50 contracts that are then multiplied by the multiplier corresponding to the day and time. Maximum 50 * 5 = 250 contracts, evidently, to reach such a large number of contracts, previously there must have been a winning streak of about 11 consecutive operations won with the great benefits that this would entail.

    Everything is configurable to suit everyone.

    5 users thanked author for this post.
    avatar karimouz, avatar 4everTrading, avatar Jesús, avatar manel, avatar GraHal
    01/27/2017 at 8:51 PM #22793
    mamio

    @Raul, is it ok that in 3 days we trade 230 contracts at the time?

    01/27/2017 at 9:06 PM #22797
    Paris

    Does anybody have ,  for one system listed here , exactly the same backtest and live record ?

    in others words a backtest and live record that exactly matches , same equity curve .

     

    01/27/2017 at 11:56 PM #22800
    Lyny

    Hi, when I start a ProOrder, it ask to confirm the maximum contracts on trade to start RUNNING, I got confused. The maximum of the contracts for the auto trade system stop with ( as each time win, size of the trade contract will increase) or the max size I will start at the beginning ? Which number should I fill in here when start auto ProOrder? Please help!

    01/28/2017 at 8:10 AM #22802
    volpiemanuele

    Good morning,

    after an initial week of using the real strategy I made a comparison with the back test. Beyond all the discussions on the number of lots, times etc etc the results show a large difference between the real and backtest. If the backtest is so different from the real (the real, at least in this week is  worst backtest) I think we need to reflect on the goodness of the strategy. The fundamental factor are the slippage and the fast movements of the market that the backtest can not have and with a trailing so tight the probability that a real trade go at a loss while the back goes into gain is very high. You can see the differences in the excel file that I enclose. What do you think ? Thanks

    01/28/2017 at 8:18 AM #22805
    CN

    Interesting Emanuele, I will be testing this live for 1month. In my opinion 1 week is too little time to decide if it is good enough.

    Have we been experimenting with bigger tsl @raul?

    01/28/2017 at 8:22 AM #22806
    volpiemanuele

    @CN

    I also continuing to test it but weekly I want to do this analysis and share it. I use the version with my position sizing that buys one lot and increases the lots on the basis of the margin. I want to take a few risks. Thanks

    01/28/2017 at 8:39 AM #22807
    BC

    I also got same result with my modified version which start from Monday with fixed 4 points stop loss and 6 points take profit, one more loss trade in real VS backtest. But some win trade were win more than backtest. I also agree CN, test it at least one month.

     

    01/28/2017 at 9:01 AM #22808
    volpiemanuele

    Hello,
    I backtest with one lot from September 2015 to totday in order to check the best times and days of the week. I tested from 09:00 to 09:30. Attached results. I have highlighted in green the best combinations. Thanks.

    1 user thanked author for this post.
    avatar manel
    01/28/2017 at 9:57 AM #22814
    Raul Vg

    Great work volpiemanuele! Yes, the big problem with a scalping strategy is that if it opens 1 point later than it does, it can go from a big gain to a loss. A solution, could be, instead of placing orders in the market in +2 points in purchase and -1 in sale, could be as soon as the minute buy or sell. I think worse results come in the backtests but they could be more reliable.

    01/28/2017 at 10:14 AM #22815
    volpiemanuele

    @Roul

    Thank for the replay. In real is it correct to place order +2 points in purchase and -1 in sale ? Now I set in this manner.
    However I have attached my last optimized version with times and days of the week (the parameters set is in the file excel in green). It start with one lot and It increase lot according to margin product with earnings. I will do work in real account and demo without making multiple changes unless If will emerge some improvements. Every week I’ll post a report. Thanks

     

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