intraday DAX strategy 5min mini1€ spread 1
-
Hi Guys
When I run Algo 5MIN TSL5 CON GSTOR RIESGO with tick-tick OFF I get zerobars, big profits, few losses and 40K overall profit (Capture 1 & 2 attached) .
When I run Algo 5MIN TSL5 CON GSTOR RIESGO with tick-tick backtest ON I get zerobars, small profits, lots of small losses and £200 overall loss ((Capture 3 & 4 attached).
Are you sure you are using tick-tick optimise backtest correctly?
GraHal
Hi guys, I have decided to try a new thing, to see that days of the week fail more and what days more correct. For them I have done 5 different backtest, one for each day of the week, and as you can see in the attachments on Friday it fails a lot, and Thursdays are not very good either. The last two catches with the program only operating from Monday to Wednesday and the other from Monday to Thursday, I decide to exclude Friday because it is the day that most fails.I can not attach all the captures, these are here Monday, Tuesday, Wednesday and Thursday.
manel thanked this postThese catches are from Friday, and from the backtest from Monday to Wednesday and from Monday to ThursdayHi guys I’ve been busy with my 1 year-old being sick and at home today. I see that there has been a lot of talk over the weekend and a few different versions of the code. I haven’t had chance to read and digest everything so I will be looking at an older version of the code. As I mentioned on Friday I had a very quick look at the Dow (5 min and also 10 min out of interest). Product: Mini DJ30 Full0317 Future 5min: 200,000 bars goes back to April 2014. 10min: goes back to Sept 2012. I have tested from 2 Jan 2013. I’ve had to be a bit more aggressive with the lot sizing to get reasonable returns which I think is OK with the Dow rather than the Dax. In particular I start off with 5 lots. Also increase order size by 3. I haven’t used the cool risk management / sizing toolthat is a new bit of code I have seen (I’m not sure I would use this in practice anyway as I think I would prefer to manually control this (other than the increase +3 or reducing /2) considering market volatility, performance of different strategies…etc). I’m also not using the ptrailing as we know that it is not reliable in live trading on IG so I therefore don’t want to test this. I’m keeping it simple still with fixed stop and target. I’m sure there are better results to be had out there. Code for the 5 min is below. The code for 10 min bars is exactly the same just with different times. I attach the results. Any comments welcome. As I said I have looked at this only very quickly but early results are promising. I’m probably going to run both simultaneously in demo to compare. I’m not going to be around for the rest of the day. Catch you guys tomorrow.// Definition of parameters DEFPARAM CumulateOrders = false // No accumulation of orders // Position is closed at 9:00 p.m., local market time (London). DEFPARAM FlatAfter =205900 Once Ordersize=1 // Start time (calculation at end of 143000 bar) StartTime = 143500 // Only 1 position per day EndTime = 143900 // Max orders & risk multiplier //Margin = 60 //Lottfree = 0 //OrderSize = max(1,1+ROUND((strategyprofit-lottfree)/Margin)) //Ordersize=min(35,Ordersize) If Ordersize > 35 THEN Ordersize = 35 Endif n=1 // Conditions for analysis If Time >= StartTime and time <= EndTime THEN If not onmarket then c1 = open < close-2*pointsize c2= open > close-1*pointsize IF PositionPerf(1) < 0 THEN OrderSize = OrderSize/2 // -2 ELSIF PositionPerf(1)> 0 THEN OrderSize =OrderSize+3 Endif Ordersize=max(Ordersize,5) // Conditions to enter positions 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 //Stops & target SET STOP ploss 6 //5 3 SET TARGET pPROFIT 14 //10 12jonjon, I hope your son gets better soon This is the backtest adapted for the FSTE 100,It is not as good as in the DAX, although it is quite positive, I find it very attractive, it needs to be touched up a bit// 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>40 then Ordersize=30 endif if dayofweek=1 then daytrading=1 endif if dayofweek=2 then daytrading=1 endif if dayofweek=3 then daytrading=1 endif if dayofweek=4 then daytrading=1 endif if dayofweek=5 then daytrading=0 endif n=3 if Time >= HoraInicio and time <= HoraEntradaLimite and daytrading= 1 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+5 if ordersize<1 then ordersize=1 ENDIF endif buy ordersize*n contract AT close+2 stop endif c2= open > close-2 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+5 if ordersize<1 then ordersize=1 endif ENDIF sellshort ordersize*n contract AT close-1 stop endif endif endif SET STOP ptrailing 2manel thanked this post
- You must be logged in to reply to this topic.
New Reply
Summary
This topic contains 502 replies,
has 34 voices, and was last updated by 
5 years, 8 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/19/2017 |
| Status: | Active |
| Attachments: | 189 files |
Loading...