Baby Steps – First Live System – DAX 5 Min

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  • #134068 Report

    Hello – I hope this finds everybody well.

    As I’ve just made my first foray into coding, after hanging around on the site for sometime over a year now, I thought I’d share and of course would welcome any feedback. By way on context, I’ve been fiddling around with trading (via a spread betting account with IG) for a couple of years. I’ve been up a bit, down a bit and a couple of months ago found myself pretty much back where I started, and struggling to find the time to concentrate properly what with a full time job and a young family. I’ve had several false starts with ProRealCode and never got as far as putting a system live – until about 3 weeks ago.

    The very simple system runs on DAX 5 minute chart and uses a 200 period EMA and SuperTrend as filters, and an ADX/ADXR crossover as entry trigger. Stops and profit target is fixed (about a 1 to 1.6 R/R). Back-testing showed it to be profitable based on a 100K bars test (starting in February 2019), but with a horrible curve – a fairly consistent losing streak early on, but consistently profitable since about the end of last July. Now, I know this is far from satisfactory for the purist, but recent performance was enough to persuade me to make it live, with low position size and guaranteed stops.

    I absolutely don’t expect this to run for ever – it’s going to stop working based on back test, but it’s given me the confidence that there’s something to build on for the future. Happily after 3 and a bit weeks of running, account is up about 18% and win rate is just the right side of 50%.

    Back test view attached along with account growth chart based on the 46 trades placed to date.

    Comments and advice welcome. I’m very new to this, and not even scratched the surface.

    Cheers

    WT

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    #145500 Report

    Thanks for sharing your code.

    I think it will be useful to many and a source for new ideas 🙂

     

    #145628 Report

    Any news from the recent results of your strategy? Thanks for sharing! 🙂

    #145658 Report

    So, I ran this live for 2 months – 11th May to around 11th July. As per my original post, it started very well then began to tail off as market conditions changed. I lucked out really starting it at a good time. Win rate for the period was about 42% overall and it was a couple of hundred quid in profit when I stopped it. My intention has always been to go back and look at how I can refine it, probably initially looking at some multi-timeframe filters. Also keen to explore alternative exit (e.g. trailing stop) rather than fixed points target.

    Results from running in back-test from 11th July to current are very bad, but the market’s basically been going sideways. So it definitely needs some better filtering to look for trending periods.

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