intraday DAX strategy 5min mini1€ spread 1

• 02/12/2017 at 7:28 PM #24901
  JOSAN1984

  @ all , @raul Vg
  Good afternoon guys,

  Something new?

  

  JOSAN1984

  Participant

  Topics: 5

  Replies: 4

  Been thanked: 0 times
  02/12/2017 at 8:08 PM #24902
  Nicolas

  I discussed the problem last Thursday with the PRT development team. Having the exact same behavior as the IG server trailing stop is quite difficult. I know they are working hard to make it more realistic, thanks to the feedback from members.

  4 users thanked author for this post.

  Joachim Nilsson, Paris, jonjon, manel

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4741 times
  02/12/2017 at 8:48 PM #24908
  JOSAN1984

  thanks

  

  JOSAN1984

  Participant

  Topics: 5

  Replies: 4

  Been thanked: 0 times
  02/13/2017 at 4:46 PM #24985
  JOSAN1984

  @ all

  I think the tick-to-tick problem is already solved. Today I have put in the demo account the rogot and it coincides with the movement that simulates

  

  JOSAN1984

  Participant

  Topics: 5

  Replies: 4

  Been thanked: 0 times
  02/13/2017 at 7:37 PM #24993
  Raul Vg

  I’ve been checking for several days. Still fails with both trailing and normal stop and take.

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
  02/14/2017 at 9:04 PM #25091
  manel

  Here are Live vs Backtest results for a 1s timeframe. Overall it throws up more questions than answers. As this is being run on a 1s TF the manually coded trailing stop should update quickly and keep up with the market movement (I hope). However there are a few problems:

  1)Only one trade is taken in Live on the 8th, after that, no further trades are executed in Live for the next week which is really strange.

  2) The trades for the 8th don’t match up – but that could be because for some reason the backtest takes multiple positions (opening and closing) starting from 08.05 whereas Live only takes 1 position.

  3) The last trade on the 8th – exit @ 080602- matches up perfectly. But that could be a coincidence.

  There is still some problem with the tick by tick backtest engine it seems unless someone can spot what the problem is.

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada // La posición se cierra a las 17:29 p.m. si no toca ni stop ni take. DEFPARAM FlatAfter =163000 once ordersize=1 // No se abren nuevas posiciones después de la vela que se cierra a las 09:06 if time=080000 then val0800=close endif if time=080500 then val0805=close endif HoraEntradaLimite = 080559//080600 // El análisis de mercado empieza en la vela de 5 minutos que cierra a las 09:05 HoraInicio = 080500 // Órdenes máximas if Ordersize>18 then Ordersize=18 endif // Riesgo, multiplicador de contratos. n=4//6 // Condiciones para el analisis. if Time >= HoraInicio and time <= HoraEntradaLimite then // Condiciones de entrada de posiciones largas. c1 = val0800 < val0805-1//open < close-1 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 endif // Si la primera barra del día de 5 min es positiva, compramos. buy ordersize*n shares at market endif // Condiciones de entrada de posiciones cortas. c2= val0800 > val0805-1//open > close-1 if not onmarket then IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 ENDIF // Si la primera barra del día de 5 min es negativa, vendemos. sellshort ordersize*n shares at market endif endif endif endif //trailing stop function trailingstart = 5 //trailing will start @trailinstart points profit trailingstep = 1 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP PLOSS 5.5

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   // La posición se cierra a las 17:29 p.m. si no toca ni stop ni take. DEFPARAM FlatAfter =163000   once ordersize=1 // No se abren nuevas posiciones después de la vela que se cierra a las 09:06   if time=080000 then val0800=close endif   if time=080500 then val0805=close endif   HoraEntradaLimite = 080559//080600 // El análisis de mercado empieza en la vela de 5 minutos que cierra a las 09:05 HoraInicio = 080500   // Órdenes máximas if Ordersize>18 then Ordersize=18 endif   // Riesgo, multiplicador de contratos.   n=4//6   // Condiciones para el analisis.   if Time >= HoraInicio and time <= HoraEntradaLimite then   // Condiciones de entrada de posiciones largas.   c1 = val0800 < val0805-1//open < close-1 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 endif // Si la primera barra del día de 5 min es positiva, compramos. buy ordersize*n shares at market endif   // Condiciones de entrada de posiciones cortas.   c2= val0800 > val0805-1//open > close-1 if not onmarket then IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2//+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize =OrderSize+2 ENDIF // Si la primera barra del día de 5 min es negativa, vendemos. sellshort ordersize*n shares at market endif endif endif endif     //trailing stop function trailingstart = 5 //trailing will start @trailinstart points profit trailingstep = 1 //trailing step to move the "stoploss"   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   SET STOP PLOSS 5.5

   

  

  manel

  Participant

  Topics: 4

  Replies: 259

  Been thanked: 121 times
  02/15/2017 at 7:21 PM #25194
  Nicolas

  FYI, some modifications have been made to the backtest engine and are already available in the current platform version. The fix about the accuracy of backtests and the IG trailing stop should come in March.

  1 user thanked author for this post.

  manel

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4741 times
  02/15/2017 at 8:59 PM #25218
  volpiemanuele

  @nicolas

  In the current version 10.3 demo account ? thanks

   

  

  volpiemanuele

  Participant

  Topics: 35

  Replies: 189

  Been thanked: 49 times
  02/16/2017 at 9:20 AM #25251
  Nicolas

  @manuele

  It’s now live, so it should have been pushed in demo and real account.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4741 times
  02/19/2017 at 9:45 PM #25654
  Paris

  does anybody trades this strategie in dax in live ?

  what is your minimum stop distance ? does it works well ?

  In france we have 18 point distance stop in live and 5 point distance stop in demo ….

  in demo everything is working very well but i dont know if it will works in live ….

  i would know if your distance is more than 5 point if the strategy works well in live  .

   

   

  

  Paris

  Participant

  Topics: 6

  Replies: 145

  Been thanked: 11 times
  02/19/2017 at 9:58 PM #25655
  Paris

  maybe we have to code our own code to replicate classic Trailling stop

   

  https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

  

  Paris

  Participant

  Topics: 6

  Replies: 145

  Been thanked: 11 times
  02/19/2017 at 11:32 PM #25664
  manel

  @ Paris. Hi – I have been running the 1s strategy live for a while now. The last few days it has worked well and performed as it should with the trailing stop updating 1 point at a time as in the code. However, it does still have some issues that I’ve still not got to the bottom of. It will need a couple of weeks more data before I can pass judgement as to how effective it is. I will post updates once I have a more fuller set of results.

  1 user thanked author for this post.

  Paris

  

  manel

  Participant

  Topics: 4

  Replies: 259

  Been thanked: 121 times
  02/19/2017 at 11:50 PM #25668
  Paris

  ok manel thanks  i will see your 1 s strategie …

   

   

   

  

  Paris

  Participant

  Topics: 6

  Replies: 145

  Been thanked: 11 times
  02/19/2017 at 11:58 PM #25669
  manel

  I was referring to the 1s strategy only by the way. I have been running the others in live as well but the results are mixed so far, pretty flat overall. I am still evaluating them to see which are worth pursuing and/or amending.

  

  manel

  Participant

  Topics: 4

  Replies: 259

  Been thanked: 121 times
  02/20/2017 at 12:54 AM #25670
  Paris

  here in france we have a new law that has  just coming out and it change a lot , so i think it is better to continue the discussion in french forum cause it is very specific to our country .

   

   

  

  Paris

  Participant

  Topics: 6

  Replies: 145

  Been thanked: 11 times
• Author
  Posts