intraday DAX strategy 5min mini1€ spread 1

• 01/21/2017 at 1:28 AM #21930
  Raul Vg

  Let’s try this code:

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter =172900 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 capital=10000+strategyprofit n=capital/5000 if Ordersize>50 then Ordersize=10 endif if Time >= HoraInicio and time <= HoraEntradaLimite then // Condiciones de entrada de posiciones cortas c1 = open < close-2 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize-1 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+n shares AT close+2 stop endif c2= open > close-1 IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize-1 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+n shares AT close-2 stop endif endif endif SET STOP ploss 10 set target profit 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

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   DEFPARAM FlatAfter =172900   once ordersize=1   HoraEntradaLimite = 090600   HoraInicio = 090500   capital=10000+strategyprofit n=capital/5000   if Ordersize>50 then Ordersize=10 endif if Time >= HoraInicio and time <= HoraEntradaLimite then     // Condiciones de entrada de posiciones cortas c1 = open < close-2 if not onmarket then IF c1 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize-1 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+n shares AT close+2 stop endif   c2= open > close-1   IF c2 THEN iF PositionPerf(1) < 0 THEN OrderSize = OrderSize-1 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+n shares AT close-2 stop endif endif endif     SET STOP ploss 10 set target profit 5

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
  01/21/2017 at 7:23 AM #21933
  CN

  Raul:

  Alot more winning trades then loosing, big difference since before. Thanks!

  

  CN

  Participant

  Topics: 1

  Replies: 156

  Been thanked: 17 times
  01/21/2017 at 8:21 AM #21934
  CN

  @volpiemanuele

  How come the latest strat you posted gives a worse G/L-ratio then the earlier one you posted? (Gives better totalt result aswell, more gains)
  Whats the diference?

  

  CN

  Participant

  Topics: 1

  Replies: 156

  Been thanked: 17 times
  01/21/2017 at 9:59 AM #21943
  volpiemanuele

  Hi,

  first of all i have optimize the maximun lot..I have insert 18 instead of 38. Thanks

  

  volpiemanuele

  Participant

  Topics: 35

  Replies: 189

  Been thanked: 49 times
  01/21/2017 at 10:05 AM #21944
  CN

  @volpiemanuele

  Alright,does that optimize the strategy? how and why?

  

  CN

  Participant

  Topics: 1

  Replies: 156

  Been thanked: 17 times
  01/21/2017 at 10:20 AM #21945
  BC

  Live and backtest result of Raul 1st version in libary were different with v10.2

  Live short on yesterday 8:05 at 11555.2, and close at 11560.2, result was lose.

  But backtest result was win, why cause this situtation? V10.2 problem? really confuse….

  

  BC

  Participant

  Topics: 24

  Replies: 170

  Been thanked: 34 times
  01/21/2017 at 10:31 AM #21946
  volpiemanuele

  hi,

  I think that in real we must consider slippage that in backtest not there. I hope not to bring the strategy at the loss in the long run. In this moment there aren’t other parameters to optimize. If I have other idea i send other post. Thanks

  

  volpiemanuele

  Participant

  Topics: 35

  Replies: 189

  Been thanked: 49 times
  01/21/2017 at 10:47 AM #21947
  Alco

  Hi volpiemanuele,

  Could you tell me how your code works? Is it based on margin? Normally when you have a losing trade, the ordersize decrease. But after building from ordersize 1 to 18, it stays after 4 months at 18.

  

  Alco

  Participant

  Topics: 9

  Replies: 133

  Been thanked: 38 times
  01/21/2017 at 11:48 AM #21950
  Eric

  when backtesting you have no problem with execution of the trade you get filled instant

  but maybe in real trading you get a small delay from signal to execution specially around open and news when volatility is high, price can move much in a second

  and sadly when trading with real money it can be even worse

  

  Eric

  Participant

  Topics: 18

  Replies: 441

  Been thanked: 84 times
  01/21/2017 at 11:57 AM #21951
  volpiemanuele

  @ALCO

  Yes, now i set 38 max lots. The strategy from me it’s efficient because the system increment  the lots only if there are funds in the account created by the strategy itself. Then the maximum number of lots to choose also depends on the amount of risk that one wants in addition to the optimization of the same strategy.

  

  volpiemanuele

  Participant

  Topics: 35

  Replies: 189

  Been thanked: 49 times
  01/21/2017 at 12:38 PM #21952
  Raul Vg

  @CN

  Yes, I changed the take by 5 and the stop to 10, evidently win more times, but less money. Now, to see if @jonjon can prove it is better long term or worse.

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
  01/21/2017 at 2:22 PM #21957
  Raul Vg

  Hi volpiemanuele,

  Good job, I’ve modified the code a little, to see what you think:

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada DEFPARAM FlatAfter = 173000 once ordersize=1 HoraEntradaLimite = 090600 HoraInicio = 090500 Margin = 60 Lottfree = 0 orderSize = max(1,5+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(40,ordersize) n=1 if n>=10 then n=10 endif if n<=1 then n=1 endif if Time >= HoraInicio and time <= HoraEntradaLimite then if not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF PositionPerf(1) < 0 THEN n = n-1 ELSIF PositionPerf(1)> 0 THEN n =n+2 endif ordersize=max(ordersize,1) IF c1 THEN buy ordersize+n contract AT close+2 stop endif IF c2 THEN sellshort ordersize+n contract AT close-1 stop endif endif endif SET STOP ptrailing 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

  // Definición de los parámetros del código DEFPARAM CumulateOrders = false // Acumulación de posiciones desactivada   DEFPARAM FlatAfter = 173000   once ordersize=1   HoraEntradaLimite = 090600   HoraInicio = 090500   Margin = 60 Lottfree = 0 orderSize = max(1,5+ROUND((strategyprofit-lottfree)/Margin)) ordersize=min(40,ordersize)     n=1 if n>=10 then n=10 endif if n<=1 then n=1 endif     if Time >= HoraInicio and time <= HoraEntradaLimite then   if not onmarket then   c1 = open < close-2*pointsize c2= open > close-1*pointsize   IF PositionPerf(1) < 0 THEN n = n-1 ELSIF PositionPerf(1)> 0 THEN n =n+2 endif ordersize=max(ordersize,1)   IF c1 THEN buy ordersize+n contract AT close+2 stop endif   IF c2 THEN sellshort ordersize+n contract AT close-1 stop endif   endif endif   SET STOP ptrailing 5

   

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
  01/21/2017 at 2:30 PM #21958
  Raul Vg

  Also works if you change:

  IF PositionPerf(1) < 0 THEN n = n-1

  1 2	IF PositionPerf(1) < 0 THEN n = n-1

  for:
  

  IF PositionPerf(1) < 0 THEN n = n/2

  1 2	IF PositionPerf(1) < 0 THEN n = n/2

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
  01/21/2017 at 3:27 PM #21960
  volpiemanuele

  @Raul

  Very Good. Similar drowdown, equal % profit but much gain in order to much loots trade. I prefer to start with my version because I want to start with 1 lot. Your version start with 6 lots.

  Do you trade in real account with this system ? I start yesterday and I loss 0,98 euro. Starting from monday I trade with my version posted with max 38 lots.

  Tanks a lot

   

  

  volpiemanuele

  Participant

  Topics: 35

  Replies: 189

  Been thanked: 49 times
  01/21/2017 at 4:04 PM #21962
  Raul Vg

  Volpiemanuele, I have a question about your risk management. As of January 22, 2016, with a profit of about € 2250, it always puts 38 contracts. From what I understand, he adds a contract by earning 60 euros (2250/38 = 60). And if it drops 60 euros, a contract remains. That is, from 2250 euros of profits, will always use 38 contracts. Do not you think that if with 2,250 euros of benefit you can risk using 38 contracts, if you reach 15,000 euros of profits could you use more than 38 contracts?

  

  Raul Vg

  Participant

  Topics: 4

  Replies: 177

  Been thanked: 83 times
• Author
  Posts