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.

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01/20/2017 at 12:57 PM #21842

CN

Thank you volpiemanuele for the code.
How does it have such low drawback but so high win?

CN
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01/20/2017 at 1:03 PM #21845

Raul Vg

Jonjon, How is it possible that such a bad curve comes out with the robot? The image that I attached is the curve that comes to me.

Raul Vg
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01/20/2017 at 1:08 PM #21846

Raul Vg

Cn,What has done volpiemanuele is to add a risk manager, if you divide the profits between the max drawdown in its code: 83,000 / 2200 = 38, and without its code = 33000/850 = 38, what it does is that the higher money earned With strategy, more contracts keeps strategy.

Raul Vg
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01/20/2017 at 1:13 PM #21847

Alco

The dow has a minimum trailing of 10 pips. So i guess it’s not riliable anough with this system.

Alco
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01/20/2017 at 1:18 PM #21848

volpiemanuele

hi,

the money management or position sizing, call it what you want, though simple, is based on the actual gain that the strategy produces and the margin used. In this way the gain becomes exponential when more successive wins and always in relation to the margin but if the system loses one or more subsequent trading the system returns to buy 1 lot only a short time.

volpiemanuele
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01/20/2017 at 1:19 PM #21849

CN

@Raul

Meaning that the better it goes the more contracts added?

CN
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01/20/2017 at 1:24 PM #21852

volpiemanuele

Yes, in this time max contract are 18. The system add the contract only if the gain is a multiple of the margin set.

volpiemanuele
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01/20/2017 at 1:27 PM #21853

CN

The margin is sett to 60, is that 60k? I have 3k atm on the acc that I am working with, does that affect it?

CN
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01/20/2017 at 1:36 PM #21854

volpiemanuele

60 euro….for 1 lot….when the system gain 60 euro….60+60/60= 2 lots…The minimal account depend of the max drowdown…I think that with 3k the system run well.

volpiemanuele
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01/20/2017 at 1:37 PM #21855

Joachim Nilsson

I wonder if these results are correct? It feels a little bit too good to be true…

Joachim Nilsson
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01/20/2017 at 1:39 PM #21858

jonjon

Raul: are we looking at the same time periods? I’m assuming you mean your snapshot that you posted at 10.25am? Isn’t this for the period from July 2015? Mine is just a snapshot of Jan 2013 until the strategy stopped in July 2014. It is at this point that the error appears saying that it can’t complete the backtest (at least not with a trailing stop).

jonjon
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01/20/2017 at 1:41 PM #21859

volpiemanuele

if ProRealTime v 10.3 works well, yes. The back test is tick by tick

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01/20/2017 at 1:42 PM #21860

jonjon

Alco – can you tell me what the min SL is for the Dow? I saw your message above about min 10 for a trailing. I may subscribe for the data if it’s not too large a minimum.

Thanks

jonjon
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01/20/2017 at 1:50 PM #21861

Joachim Nilsson

My wrong. I think the spread disapeared when I downloaded the files. This is a new snapshot with 1p spread.

Not quite as good, but still too good to be true?

Joachim Nilsson
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01/20/2017 at 1:55 PM #21864

Raul Vg

Joachim Nilsson, Those results are not correct, you have to do them in tick by tick mode in v10.3. Sometimes you have to do it twice to get it right.

Raul Vg
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