Automatic trading system DAX 1H mini 1€

• 02/15/2017 at 10:09 AM #25128
  Raul Vg

  DEFPARAM CumulateOrders = true once ordersize=1 // Conditions MA1 = Average [2] MA2 = Average [13] MA3 = Average [11] MA4 = Average [4] c1 = Ma1>MA2 c122 = Ma3>MA4 t1 = time >= 090000 t2 = time = 180000 d1 = dayofweek = 2 d2 = dayofweek = 4 if strategyprofit<=20000 then a=1 endif if strategyprofit>20000 and strategyprofit<=40000 then a=2 endif if strategyprofit>50000 then a=3 endif if strategyprofit<=20000 then if ordersize>16 then ordersize=16 endif endif if strategyprofit>20000 and strategyprofit<=50000 then if ordersize>32 then ordersize=32 endif endif if strategyprofit>50000 then if ordersize>64 then ordersize=64 endif endif // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30) indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11) indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2) //sell indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111) indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111) if not onmarket then If d1 And t1 and c1 and c11 and c12 and c13 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize*2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif If d1 And t1 and c122 and c1111 and c1211 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize*2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif If d2 and t2 then exitshort at market endif Set Stop Ploss 50 // from Trade Set Target PProfit 60 // 50 <<<<<<<<<<<<<<

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  DEFPARAM CumulateOrders = true once ordersize=1   // Conditions   MA1 = Average [2] MA2 = Average [13]     MA3 = Average [11] MA4 = Average [4]   c1 = Ma1>MA2 c122 = Ma3>MA4     t1 = time >= 090000 t2 = time = 180000     d1 = dayofweek = 2 d2 = dayofweek = 4     if strategyprofit<=20000 then a=1 endif   if strategyprofit>20000 and strategyprofit<=40000 then a=2 endif   if strategyprofit>50000  then a=3 endif   if strategyprofit<=20000 then if ordersize>16 then ordersize=16 endif endif   if strategyprofit>20000 and strategyprofit<=50000 then if ordersize>32 then ordersize=32 endif endif   if strategyprofit>50000  then if ordersize>64 then ordersize=64   endif endif     // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30)   indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11)   indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2)   //sell   indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111)   indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111)   if not onmarket then If   d1 And t1 and c1 and c11 and c12 and c13 THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize*2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif   If   d1 And t1 and c122 and c1111 and c1211   THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize*2 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif   If d2 and t2 then exitshort at market endif         Set Stop Ploss 50 // from Trade Set Target PProfit 60 // 50 <<<<<<<<<<<<<<

   

  

  Raul Vg

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  02/15/2017 at 10:32 AM #25129
  Raul Vg

  A way to know, within the zero bars, to really know which ones need the tick per tick is optimizing a variable. In the summary list, set how many times you need to tick by tick. Since all the zero bars do not have to be undefined, you may simply touch the take or the stop. In this robot, it would only take 4 ticks per tick

  

  Raul Vg

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  02/15/2017 at 5:28 PM #25161
  manel

  Results attached. It’s good but I don’t think it’s any better than our best ones so far. Draw is 27% and there are too many “dips”. Plus max loss and consecutive losses are not as good. We could use this as a “second stage” system after the lower risk one maybe. What variables have you optimised ?

  Also, sorry, I couldn’t quite understand your comment about the zero bars, could you explain a bit further, thanks

   

  

  manel

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  02/15/2017 at 6:27 PM #25185
  Raul Vg

  The truth that this last year has been very good for this strategy, this week and during the weekend will try to optimize sales operations, but if it is not productive, it is best to limit to buying operations. As far as the ceilings, as I can show you an example

  

  Raul Vg

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  02/15/2017 at 11:24 PM #25231
  Raul Vg

  This is an example of zero bar that would not need tick by tick. In the list of backtest would appear like duration or bars, but would not be an indefinite result. Do not touch take and stop within the same bar. When performing the optimization of variables, it appears that this robot, in 4 years and a half, would only need 4 times to tick by tick. Only 4 times in this period, the price touches take and stop in the same bar.

  

  Raul Vg

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  02/15/2017 at 11:47 PM #25234
  Raul Vg

  DEFPARAM CumulateOrders = true once ordersize=1 // Conditions MA1 = Average [2] MA2 = Average [13] MA3 = Average [11] MA4 = Average [4] c1 = Ma1>MA2 c122 = Ma3>MA4 t1 = time >= 090000 t2 = time = 180000 d1 = dayofweek = 2 d2 = dayofweek = 4 capital=strategyprofit+3000 a=capital/3000 if a<1 then a=1 endif if a>10 then a=10 endif // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30) indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11) indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2) //sell indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111) indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111) if not onmarket then If d1 And t1 and c1 and c11 and c12 and c13 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+a if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif If d1 And t1 and c122 and c1111 and c1211 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+a if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif If d2 and t2 then exitshort at market endif Set Stop Ploss 50 // from Trade Set Target PProfit 50 // from Trade

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  DEFPARAM CumulateOrders = true once ordersize=1   // Conditions   MA1 = Average [2] MA2 = Average [13]     MA3 = Average [11] MA4 = Average [4]   c1 = Ma1>MA2 c122 = Ma3>MA4     t1 = time >= 090000 t2 = time = 180000     d1 = dayofweek = 2 d2 = dayofweek = 4     capital=strategyprofit+3000 a=capital/3000 if a<1 then a=1 endif if a>10 then a=10 endif     // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30)   indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11)   indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2)   //sell   indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111)   indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111)   if not onmarket then If   d1 And t1 and c1 and c11 and c12 and c13 THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+a if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif   If   d1 And t1 and c122 and c1111 and c1211   THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+a if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif   If d2 and t2 then exitshort at market endif         Set Stop Ploss 50 // from Trade Set Target PProfit 50 // from Trade

   

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  Raul Vg

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  02/15/2017 at 11:47 PM #25235
  Raul Vg

  DEFPARAM CumulateOrders = true once ordersize=1 // Conditions MA1 = Average [2] MA2 = Average [13] MA3 = Average [11] MA4 = Average [4] c1 = Ma1>MA2 c122 = Ma3>MA4 t1 = time >= 090000 t2 = time = 180000 d1 = dayofweek = 2 d2 = dayofweek = 4 capital=strategyprofit+3000 a=capital/3000 if a<1 then a=1 endif if a>10 then a=10 endif // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30) indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11) indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2) //sell indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111) indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111) if not onmarket then If d1 And t1 and c1 and c11 and c12 and c13 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif If d1 And t1 and c122 and c1111 and c1211 THEN IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif If d2 and t2 then exitshort at market endif Set Stop Ploss 50 // from Trade Set Target PProfit 50 // from Trade

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  DEFPARAM CumulateOrders = true once ordersize=1   // Conditions   MA1 = Average [2] MA2 = Average [13]     MA3 = Average [11] MA4 = Average [4]   c1 = Ma1>MA2 c122 = Ma3>MA4     t1 = time >= 090000 t2 = time = 180000     d1 = dayofweek = 2 d2 = dayofweek = 4     capital=strategyprofit+3000 a=capital/3000 if a<1 then a=1 endif if a>10 then a=10 endif     // buy indicator13 = MACD[12,26,9](close) c13 = (indicator13 < 30)   indicator11 = ExponentialAverage[20](close) c11 = (close >= indicator11)   indicator1 = MACDline[12,26,9](close) indicator2 = ExponentialAverage[12](indicator1) c12 = (indicator1 > indicator2)   //sell   indicator1111 = ExponentialAverage[20](close) c1111 = (close <= indicator1111)   indicator111 = MACDline[12,26,9](close) indicator2111 = ExponentialAverage[9](indicator111) c1211 = (indicator111 < indicator2111)   if not onmarket then If   d1 And t1 and c1 and c11 and c12 and c13 THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif buy ordersize Contract At Market Endif   If   d1 And t1 and c122 and c1111 and c1211   THEN   IF PositionPerf(1) < 0 THEN OrderSize = OrderSize+1 if ordersize<1 then ordersize=1 ENDIF ELSIF PositionPerf(1) > 0 THEN OrderSize = a if ordersize<1 then ordersize=1 ENDIF endif sellshort ordersize Contract At Market Endif endif   If d2 and t2 then exitshort at market endif         Set Stop Ploss 50 // from Trade Set Target PProfit 50 // from Trade

   

  

  Raul Vg

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  02/16/2017 at 9:28 AM #25253
  Nicolas

  MA1 to MA4 moving average periods are over optimized IMO. If you want to filter trend without optimization over the past data, you should try to use adaptive periods moving average, there are plenty of them in the code library. I don’t say it will be better, but you should give it a try! Remember that “the best is the enemy of the good” 🙂

  

  Nicolas

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  02/16/2017 at 2:42 PM #25291
  jonjon

  Hi all. Question in relation to this and any other strategy which uses

  DEFPARAM CumulateOrders = true

  1	DEFPARAM CumulateOrders = true

   

  Is it possible to limit the number of “cycles” orders can be accumulated in a 24hr period? I’m thinking about minimising the risk of allowing orders to continuously accumulate, for example in the instance of a natural disaster or terrorist attack. It would be especially useful on strategies which are left to run overnight.

  Can anyone help with the coding?

  Thanks

   

  

  jonjon

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  02/16/2017 at 11:31 PM #25352
  Raul Vg

  Hi jonjon, you can put false, nothing happens, practically does not change

  

  Raul Vg

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  02/17/2017 at 8:42 AM #25356
  jonjon

  Hi Raul. I already have fuses in my strategies. What I’m interested in is additionally limiting the amount of trades in a day whilst still being able to accumulate orders. For example, if a strategy on average returns 3 trades a day, ideally I would want to limit number of trades in 1 day to let’s say 10 trades. If it was to trade 10 times in a day (or more) it could be due to a macro event or worse and I would want to not trade. If you have wide stops (which occasionally I do) it is possible to accumulate orders without getting stopped out or the fuse(s) being triggered and then potentially getting a big loss at the end of the trading period when all positions are closed.

  

  jonjon

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  02/17/2017 at 8:52 AM #25357
  jonjon

  An alternative could be to have a fuse which works out your loss midway during a trade(s) instead of when the position(s) is closed. It can then stop the strategy if the daily loss is greater than x no matter how many trades are open. Is this possible? I’ve only seen fuses which calculate once a trade is closed.

  

  jonjon

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  02/17/2017 at 8:50 PM #25460
  manel

  Results as below (system 7) – I have include the system 3 performance for overall comparison and also adjusted a version of System 3 incorporating your code for the short side (System 3 Long + short). Overall the draw of 7 is acceptable at 15% but the profit curve is not ideal as I think it’s too steep to be realistic. Adding the short code to system 3 produces better long terms results but the draw of 50% is too big.

  Looking at the stats, it seems like the short side is not as profitable, maybe it might be worth seeing if different sl/tp levels for shorts produces better results. Also I agree with Nicolas above, we do want to be careful not to overoptimise the variables.

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  manel

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  02/17/2017 at 9:57 PM #25466
  manel

  On the CAC system, the results so far this week for live vs backtest match up. Only 1 trade to compare (as system only trades on Tuesdays) but a good start with no differences.

  

  manel

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  02/18/2017 at 1:13 PM #25492
  Raul Vg

  Thank you very much manel. I think the best is still system 3. but I still fear the martingale, although this limited. A serious loss would be great. I have a couple more robots on the dax, taken from this same page that you would like to try 200000 bars. If you took the steps would you do the screenshots? Thank you!

  

  Raul Vg

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