Baby Steps – First Live System – DAX 5 Min

• 06/01/2020 at 5:02 PM #134068
  Welshtrader

  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%.

  DAX 5 Min SuperTrend and ADX

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Common indicators indicator1 = ExponentialAverage[200](close) indicator2 = SuperTrend[3,10] indicator3 = ADX[11] indicator4 = ADXR[11] // Common variable values adxval = 22 profitpoints = 83 losspoints = 50 // Conditions to enter long positions c1 = (close > indicator1) c2 = (close > indicator2) c3 = (indicator3 CROSSES OVER indicator4) c4 = indicator3 > adxval IF c1 AND c2 AND c3 AND c4 THEN BUY 0.5 PERPOINT AT MARKET ENDIF // Conditions to enter short positions c5 = (close < indicator1) c6 = (close < indicator2) c7 = (indicator3 CROSSES OVER indicator4) c8 = indicator3 > adxval IF c5 AND c6 AND c7 AND c8 THEN SELLSHORT 0.5 PERPOINT AT MARKET ENDIF // Stops and targets SET STOP pLOSS losspoints SET TARGET pPROFIT profitpoints //EXIT for Weekend IF opendayofweek = 5 and openhour >= 21 and openminute >= 50 then sig=1 else sig=0 endif IF sig=1 THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Common indicators indicator1 = ExponentialAverage[200](close) indicator2 = SuperTrend[3,10] indicator3 = ADX[11] indicator4 = ADXR[11]   // Common variable values adxval = 22 profitpoints = 83 losspoints = 50   // Conditions to enter long positions c1 = (close > indicator1) c2 = (close > indicator2) c3 = (indicator3 CROSSES OVER indicator4) c4 = indicator3 > adxval   IF c1 AND c2 AND c3 AND c4 THEN BUY 0.5 PERPOINT AT MARKET ENDIF   // Conditions to enter short positions c5 = (close < indicator1) c6 = (close < indicator2) c7 = (indicator3 CROSSES OVER indicator4) c8 = indicator3 > adxval   IF c5 AND c6 AND c7 AND c8 THEN SELLSHORT 0.5 PERPOINT AT MARKET ENDIF   // Stops and targets SET STOP pLOSS losspoints SET TARGET pPROFIT profitpoints   //EXIT for Weekend IF opendayofweek = 5 and openhour >= 21 and openminute >= 50 then sig=1 else sig=0 endif   IF sig=1 THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF

  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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  Welshtrader

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  09/27/2020 at 11:05 AM #145500
  robertogozzi

  Thanks for sharing your code.

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

   

  

  robertogozzi

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  09/28/2020 at 9:27 AM #145628
  Nicolas

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

  

  Nicolas

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  09/28/2020 at 11:43 AM #145658
  Welshtrader

  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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  Khaled

  

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  10/31/2020 at 12:43 AM #149062
  Khaled

  Hi Welshtrader, thank you for sharing your code. I’m a beginner, so please bear with me. I’ve added a few conditions (VWAP, KST and VWMA) to increase the WinRate to around 64% (Sept. 16th 2019 to date) with a R/R of x1.9 (Capital of 1500€, TF 5 minutes and Size = 1 DAX 1€ Contract). I’ve also copied the ML code from juanj (https://www.prorealcode.com/topic/machine-learning-in-proorder/) and the MFE from Nicolas (https://www.prorealcode.com/blog/learning/trailing-stop-max-favorable-excursion-mfe/).

  Walk Forward shows a Win Rate of 62.5% and R/R of x1.6.

  Not sure of the Tick by Tick mode in the backtest. 

  Please test and let me know…

  A big thank you to robertogozzi and Nicolas who guided me through my learning process.

  Baby Steps DAX M5

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated N = 1 Timeframe(5 minutes) EMA200 = ExponentialAverage[200](close) SupT = SuperTrend[3,10] iADX = ADX[13] iADXR = ADXR[13] VWAP = CALL "VWAP Intrady" OscKST, SignalKST = CALL "KST8" VWMA3 = CALL "VWMA Intraday" EMA3 = ExponentialAverage[3](close) // Common variable values adxval = StartingValue profitpoints = 500 losspoints = 84 //(Best in WF 94) trailingstop = 50 /////////////////////////////////////////////////////////////////////// // Conditions to enter long positions c1 = (close > EMA200) AND (close > VWAP) AND (OscKST > SignalKST) AND (VWMA3 > EMA3) c2 = (close > SupT) c3 = (iADX CROSSES OVER iADXR) c4 = iADX > adxval // Conditions to enter short positions c5 = (close < EMA200) c6 = (close < SupT) c7 = (iADX CROSSES OVER iADXR) c8 = iADX > adxval ///////////////////////////////////////////////////////////////////////// // Heuristics Algorithm Start If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 24 //(Best in WF 24) ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 4 //Limit of no of increments either up or down Reps = 5 //Number of trades to use for analysis MaxValue = 29 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit For i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf If WinCountA >= WinCountB Then WinCountB = WinCountA //Update Best Win Count BestB = ValueX EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm End ///////////////////////////////////////////////////////////////////////// IF c1 AND c2 AND c3 AND c4 THEN BUY N CONTRACT AT MARKET ENDIF IF c5 AND c6 AND c7 AND c8 THEN SELLSHORT N CONTRACT AT MARKET ENDIF //trailing stop //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif // Stops and targets SET STOP pLOSS losspoints SET TARGET pPROFIT profitpoints

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated   N = 1   Timeframe(5 minutes)   EMA200 = ExponentialAverage[200](close) SupT = SuperTrend[3,10] iADX = ADX[13] iADXR = ADXR[13] VWAP = CALL "VWAP Intrady" OscKST, SignalKST = CALL "KST8" VWMA3 = CALL "VWMA Intraday" EMA3 = ExponentialAverage[3](close)   // Common variable values adxval = StartingValue profitpoints = 500 losspoints = 84 //(Best in WF 94) trailingstop = 50 /////////////////////////////////////////////////////////////////////// // Conditions to enter long positions c1 = (close > EMA200) AND (close > VWAP) AND (OscKST > SignalKST) AND (VWMA3 > EMA3) c2 = (close > SupT) c3 = (iADX CROSSES OVER iADXR) c4 = iADX > adxval // Conditions to enter short positions c5 = (close < EMA200) c6 = (close < SupT) c7 = (iADX CROSSES OVER iADXR) c8 = iADX > adxval ///////////////////////////////////////////////////////////////////////// // Heuristics Algorithm Start If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif   StartingValue = 24 //(Best in WF 24) ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 4 //Limit of no of increments either up or down Reps = 5 //Number of trades to use for analysis MaxValue = 29 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit For i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit   If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf   If WinCountA >= WinCountB Then WinCountB = WinCountA  //Update Best Win Count BestB = ValueX EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm End   ///////////////////////////////////////////////////////////////////////// IF c1 AND c2 AND c3 AND c4 THEN BUY N CONTRACT AT MARKET ENDIF   IF c5 AND c6 AND c7 AND c8 THEN SELLSHORT N CONTRACT AT MARKET ENDIF   //trailing stop //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif   // Stops and targets SET STOP pLOSS losspoints SET TARGET pPROFIT profitpoints

   

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  Khaled

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  10/31/2020 at 12:20 PM #149076
  ullle73

  i get this error using the code…

  

  ullle73

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  10/31/2020 at 2:57 PM #149085
  Khaled

  Below the code I’ve used for VWAP courtesy of one of the members here. Let me know if you spot an error in the code.

  VWAP Intraday

  // VWAP@Time intraday // 10.04.2020 // Daniele Maddaluno DEFPARAM CalculateOnLastBars = 2500 startTime=080000 endTime= 235959 if opentime < startTime or opentime > endTime then n = 0 dwapT1 = 0 //dwapT2 = 0 priced = 0 shared = 0 summ = 0 vwap = close //vwapstd = 0 else n = n + 1 // This if has been added just for plot reasons if n <= 1 then dwapT1 = 0 //dwapT2 = 0 else dwapT1 = 190 //dwapT2 = 128 endif priced = priced + (totalprice*volume) shared = shared + volume if shared>0 then vwap = priced/shared summ = summ + square(totalprice - vwap) //vwapstd = sqrt(summ / n) endif endif // Manage the coloring of vwap mid line if close > vwap then dwapR = 0 dwapG = 128 dwapB = 192 else dwapR = 255 dwapG = 0 dwapB = 0 endif return vwap coloured(dwapR, dwapG, dwapB, dwapT1) as "vwap"

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  // VWAP@Time intraday // 10.04.2020 // Daniele Maddaluno DEFPARAM CalculateOnLastBars = 2500 startTime=080000 endTime= 235959 if opentime < startTime or opentime > endTime then n = 0 dwapT1 = 0 //dwapT2 = 0 priced  = 0 shared  = 0 summ = 0 vwap = close //vwapstd = 0 else n = n + 1 // This if has been added just for plot reasons if n <= 1 then dwapT1 = 0 //dwapT2 = 0 else dwapT1 = 190 //dwapT2 = 128 endif priced = priced + (totalprice*volume) shared = shared + volume if shared>0 then vwap = priced/shared summ = summ + square(totalprice - vwap) //vwapstd = sqrt(summ / n) endif endif   // Manage the coloring of vwap mid line if close > vwap then dwapR = 0 dwapG = 128 dwapB = 192 else dwapR = 255 dwapG = 0 dwapB = 0 endif return vwap coloured(dwapR, dwapG, dwapB, dwapT1) as "vwap"

   

  

  Khaled

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  10/31/2020 at 4:54 PM #149093
  Matchsolo

  Hello Haled

  Could you put you .ITF ?

  Thank you

  

  Matchsolo

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  10/31/2020 at 5:57 PM #149094
  nonetheless

  V WAP … hmm, brings to mind a certain song title. And everything else. And now you’re all going to think of that every time you see that indicator, hahaha.

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  GraHal

  

  nonetheless

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  10/31/2020 at 9:14 PM #149102
  Khaled

  Cardi. B? Can you please post the lycrics here? ))))))

  

  Khaled

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  10/31/2020 at 9:38 PM #149103
  GraHal

  No … you will be banned! 🙂

  I’d never heard of Cardi B or the song, but being an inquisitive chap I had to check it out! 🙂

  

  GraHal

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  10/31/2020 at 11:31 PM #149111
  Khaled

  Just checked, it’s Megan T. S. Anyway, everyone here undertands what VWAP stands for 🙂

  

  Khaled

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  11/01/2020 at 10:46 AM #149127
  fifi743

  What is Heuristics used for in your program.
  don’t use valueX

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  11/02/2020 at 12:24 AM #149228
  Khaled

  fifi743

  Thank you for spotting this gross mistake. My bad!

  I’ve “tried” to correct it and run again backtest and WF.

  So, the initial version (ver 1 ) I posted (working witout ML) did generate in backtest  6574€ WinRate 64.23% and Profit Rate 1.9x. When running the WF, the results are 5509€ WinRate 60.96% and Profit Rate 1.5x.  (files below)

  The version with ML embedded (ver 3) did generate in backtest  8073€ WinRate 60.43% and Profit Rate 2.04x. When running the WF, the results are 6249€ WinRate 55.79% and Profit Rate 1.56x.  (files below + ITF)

  So, the results with ML appear to be better in normal backtest and in WF.

  Please review and let me know how we can further improve the result.

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  Khaled

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