Breakout system for Hong Kong HS50 Cash (HKD10 Mini)

BC · Tue, 11 Apr 2017 14:05:13 +0000

This is a Breakout system made for IG market [ Hong Kong HS50 Cash (HKD10 Mini)], Time Frame: 15 mins. All components were found from PRT forum, the core idea was from Reiner DAX Breakout system and Nicolas trailing stop. Walk forward test was not 100% perfect, Monte Carlo simulation with latest 12-month back test record show HKD$10,000 for the initial capital is ok. But unfortunally, my live test result was not same as back test, I can’t find what’s wrong with my limited knowledge, hope you guys can help and determine what mistake inside. // Market: Hong Kong HS50 Cash (HKD10 Mini) //Time Frame: 15 mins //Remark: HSI night trade start from 2013-04-08, 17:00-23:00, //amended from 2014-11-03, 17:15-23:45 // code-parameter DEFPARAM FlatAfter = 234500 //234500 // window high/low calculation ONCE StartTime = 90000//91500 ONCE EndTime = 93000//100000 // trading window ONCE BuyTime = EndTime ONCE SellTime = 234500 //234500 //Spread Spread=6 //Money management ONCE PositionSize = 1 ONCE Capital = 10000 ONCE Risk = 5 ONCE MaxD = 50 // Quit system if highestc close account balance drop over xx% equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) //Check system account balance if equity<QuitLevel then quit endif recordhighest = MAX(recordhighest,equity) QuitLevel = recordhighest*((100-MaxD)/100) //MA Filter FMA=Average[80](close) SMA=Average[200](close) // calculate breakout box high/low and sl/tp IF Time >= StartTime AND Time <= EndTime THEN IF TIME = StartTime THEN DailyHigh = High DailyLow = Low ENDIF IF High > DailyHigh THEN DailyHigh = High ENDIF IF Low < DailyLow THEN DailyLow = Low ENDIF sl = min(110,(max(30,((DailyHigh - DailyLow)+Spread)))) tp = sl*4 PositionSize = min(10,(max(1,abs(round((maxrisk/sl)/PointValue)*pipsize)))) TradeCounterLong = 0 TradeCounterShort = 0 ENDIF //Define the best trading day and time and avoid trading at lunch & teakbreak high spread period, please manual stop system on Hong Kong public hoilday. //Long LOK1=currentdayofweek=1 and ((time>=091500 and time<120000) or (time>=130000 and time<160000) or (time>=171500 and time<230000)) LOK2=currentdayofweek=2 and ((time>=091500 and time<120000) or (time>=130000 and time<160000) or (time>=171500 and time<230000)) LOK3=currentdayofweek=3 and ((time>=091500 and time<120000) or (time>=130000 and time<160000) or (time>=171500 and time<230000)) LOK5=currentdayofweek=5 and ((time>=130000 and time<160000) or (time>=171500 and time<230000)) //Short SOK1=currentdayofweek=1 and ((time>=091500 and time<120000) or (time>=130000 and time<160000) or (time>=171500 and time<230000)) SOK2=currentdayofweek=2 and ((time>=130000 and time<160000) or (time>=171500 and time<230000)) SOK4=currentdayofweek=4 and ((time>=091500 and time<120000) or (time>=171500 and time<230000)) SOK5=currentdayofweek=5 and ((time>=091500 and time<120000) or (time>=130000 and time<160000) or (time>=171500 and time<230000)) // Position management IF Time >= BuyTime AND Time <= SellTime THEN //Long Entry IF Not LONGONMARKET and (LOK1 or LOK2 or LOK3 or LOK5) and close>DailyHigh and FMA>SMA and TradeCounterLong=0 THEN BUY PositionSize CONTRACT AT MARKET TradeCounterLong = TradeCounterLong + 1 ENDIF //Short Entry IF Not SHORTONMARKET and (SOK1 OR SOK2 OR SOK4 OR SOK5) and close<DailyLow and FMA<SMA AND TradeCounterShort=0 THEN SELLSHORT PositionSize CONTRACT AT MARKET TradeCounterShort = TradeCounterShort + 1 ENDIF // trailing stop function ONCE trailingStepLong = 0.08// in % ONCE trailingStepShort = 0.08 // in % trailingStartLongInPoints = max(30,(TP/5)) trailingStartShortInPoints = max(30,(TP/5)) trailingStepLongInPoints = max(10,(tradeprice(1) * trailingStepLong / 100)) trailingStepShortInPoints = max(10,(tradeprice(1) * trailingStepShort / 100)) // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF // stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF // close positions IF Time = SellTime THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND Time = SellTime THEN EXITSHORT AT MARKET ENDIF ENDIF // stops and targets SET STOP LOSS sl SET TARGET PROFIT tp ENDIF

This topic has 34 replies, 6 voices, and was last updated 8 years ago by BC.

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04/18/2017 at 3:14 PM #32485

GraHal

Hi Bin, thanks.

Please can you also type on this page the time it says on the clock on your computer or phone or bedside clock or wristwatch at the time when you press Submit below.

Thank You
GraHal

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04/18/2017 at 3:28 PM #32486

BC

Hi Grahal

mobile phone attached.

BC
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04/18/2017 at 4:17 PM #32493

GraHal

Bin you are in Kong Kong and it’s 10.27 PM (UTC +8) when it’s 3.27 PM (UTC +1) in London so you are 7 hours ahead.

Forgive the daft question, you said times in your code are UTC+8 so why have you got your Platform set at UTC+1?

Thanks
GraHal

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04/18/2017 at 6:48 PM #32501

GraHal

Apologies Bin, my mistake, I saw your ‘UTC +1 setting for Commodities CBot’.

So your main Platform is at UTC +8 and the mystery continues?

Thoughts / ideas anybody?

GraHal

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04/19/2017 at 12:07 AM #32530

BC

Hi Grahal

Yes, my main setting is UTC+8:00.

Back to my system, really tired to debug…I guess the issue was came from trailing stop. Already feedback to PRT helpdesk and hope they can find out reason.

BC
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