intraday DAX strategy 5min mini1€ spread 1

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  • 02/28/2017 at 6:04 PM #26721
    arcane

    The result is very different from the first backtest even if the real one is close to the demo account.

    The max drawdown is almost equal to the gain.

    You still validate the Raul system.

    You have changed the conditions to have a higher payout percentage.

    It can be said that the program is different.

    02/28/2017 at 6:08 PM #26722
    Nicolas

    The trailing stop accuracy between backtests and realtime IG servers is still in development. It would be released in March, from the last news I get.

    1 user thanked author for this post.
    avatar criscolci
    02/28/2017 at 7:20 PM #26736
    Raul Vg

    Hello, this program is one that I have with stop 10 points and take 5 points. Seems quite close to reality

    1 user thanked author for this post.
    avatar criscolci
    03/01/2017 at 6:42 AM #26754
    volpiemanuele

    hi,

    can you post the latest version ?

    Thanks

     

    03/01/2017 at 11:57 AM #26777
    Lotar

    Hi together,

    I risked some Euro to test the above strategy live….

    3 trades (28. + 28. 2. and 1.3.)

    Backtest: 1 losing trade, 2 winning trades

    live: 3 losing trades due to slippage…..

    The slippage makes the whole thing unpredictable…. see attached screenshots…

    So – what to do?

    Regards

    Lotar

    2 users thanked author for this post.
    avatar ObiWan, avatar Nicolas
    03/01/2017 at 12:32 PM #26781
    Lotar

    Addition: my target: 9 p,    stoploss:  5 p.

    03/01/2017 at 3:39 PM #26813
    Nicolas

    Thanks Lotar for these nice screenshots of slippage examples. Did you look at entries times of these orders (live ones)? To be sure the problem is the slippage.

    03/01/2017 at 4:11 PM #26816
    Paris

    we must compare forward in demo with live , not backtest with live ……

     

    regards .

    03/02/2017 at 9:29 PM #26998
    manel

    @ Lotar – Many thanks for the example. I have to agree with you on the slippage point. I have been running 20+ systems in live for over a month now and slippage is a huge issue for the following reasons :

    1)Due to slippage it is almost impossible to backtest a strategy like this with confidence

    2) By the very nature of the time that this operates i.e. at the open in the morning when there is maximum volatility in a short period of time it makes the problem worse

    3)Fast moving markets – Because of the way that ProOrder works, due to fast moving markets, your entry may get executed but your stops may not. I have observed this on 3 days this week (unusual as it didnt happen for the past 4 weeks) that positions were opened but that the stops were not. Hence you are left with naked positions which could go offside really quickly. This means you need to monitor the positions. When you open a trade ticket with IG, even if there is slippage the stop is still executed at the same time. In ProOrder one is executed after the other and that is where the problem lies – the system cannot cope because the stop level is not valid (ie too tight) and it does not try again and stops the system. I do not think that this issue can be resolved unfortunately – unless Nicolas thinks it may be fixable by the team ?

    So, I advise people to be very aware of this. Your systems can be stopped in fast moving markets leaving you with unhedged positions so please be careful and monitor. Or at the very least use wide enough stops, but that would of course make these sorts of strategies redundant.

    1 user thanked author for this post.
    avatar ObiWan
    03/05/2017 at 3:58 PM #27241
    larouedegann

    Hello every body,

    I just re-read all the answers from this topic and I have an essential question.

    Why do you want to do a trailing strategy in a scalping strategy?

    I continue to say that the original of RAUL (SL 5 TP 10) is the best. You take 5 points and that’s it. It’s all over.

    With your permission RAUL, I will create a new topic because this one is too polluted.

    This topic will be based on the first version I tested for a month and a half in real time.

    Half the way is done … the other half begins Monday 5 March 2017.

    Thank you for your answer raul

     

    03/05/2017 at 4:14 PM #27243
    Lotar

    Hi manel,

    thanks for your post.

    To no3 of your comment: In my experience the “set target” or “set stop…” command is very quick within the same candle. I am not quite sure about the “sell/ exitshort xy contract at …. stop/ limit” command – I think it opens only within the next candle. I think 1 candle has to elapse before PRT knows that you are onmarket. But the “set…” command ist immediately.


    @Nicolas

    I not quite sure what you mean with “entry time”. I just copied the “past activities” from my account and attached it. As manel said: To make a kind of “scalping”-strategy like this, the system has to place the orders within Nano-seconds. PRT did in within 3 seconds. I am confident with that. A similar strategy might work on a larger time scale and a bigger target / stop level.

    Regards

    Lotar

    03/05/2017 at 4:50 PM #27249
    manel

    @ Lotar – In response to your question re. the “set stop loss/take profit command” I agree it is very quick to place the stops but unfortunately it is NOT simultaneous or instantaneous. It is usually placed within 1 second of the entry trade which in “normal” market conditions is fine as the price may not have moved that much during that second. However, in fast moving conditions it will NOT always place the stop if the market has moved against you by a few points during that time. It will try but will be rejected as the stop is either too close to the market price or has even moved through it. This will leave you with an unhedged position.

    In my experience this does not happen very often (<10% of the time, as I explained before), so as long as people are aware of the potential risk then that’s fine, you take your chance and /or monitor closely. But it is a known limitation of how PRT operates. I have been running tests in live for over a month now so have experienced a whole list of things that can and do go wrong and am ok with taking losses along the way as that’s part of the learning experience. So now I am in a position to take into account most of the risks in this platform. Personally I’d rather be aware of all potential downfalls in anything like this at the start so that I am fully aware of what can go wrong.

    Hope this helps a few people.  As always when starting any new trading strategy it’s wise to monitor very closely at the start and preferably start with very low risk.

    03/25/2017 at 3:13 PM #29830
    Francesco78

    Hello everyone,

    extremely interesting topics, I think antimartingala strategy are the most suited for automatic trading as it is the one that is most difficult to implement by human brain.

    I have done some backtesting of the beautiful strategy discussed in this forum, my impression is that as long as the trailing stops of 5 points are really reliable even on a tick by tick basis, the strategy perform greatly if there it manages to capture a period of trendiness, while on lateral periods its stay close to zero. That very good as the risk of loosing the capital I think is extremely limited.

    many thanks

    Francesco

     

    03/25/2017 at 10:47 PM #29866
    Paris

    unfornatly , the strategy with real cost  , i mean 1 euros for each contract is not so good .

     

    Backtest on your side by add real cost and you ll see it not so great . Too much contracts …..

    04/09/2017 at 10:17 AM #31487
    Nicolas

    I know fixes were made about the IG trailing stop simulation in backtests. I made rough tests myself and seems better, but I’d like to have feedbacks from assiduous users of this strategy! And since the problem has been detected here .. Thank you all.
    P.S. a new feature has also emerged from a recent server side update: trading lots can now have decimal digits, like the way it is in the IG platform.

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