CAC Breakout ported to other markets

• 08/18/2016 at 4:09 PM #11842
  Cosmic1

  I have been working on getting some more reliable auto strategies incorporated in to my trading along side the manual stuff I do.

  I’m testing Nicolas’ code for CAC breakout on different markets at the moment due to the fact that with 200k units and the 15TF you can get 8-9 years of data for increased confidence + the fact of no 0 bars/no fake profits. Prior to this I was using 1min TF to eliminate 0 bars/fake profits on some breakout auto trades that I had made for the major indices but with only 18 months of data, of course the forward testing did not match up to the backtest and I lost confidence.

  I’ve tried a few markets but the two I focused on at the moment are DAX and EUR/USD.

  I optimised these with 2/3 of the data as suggested to avoid curve fitting. The results are below.

  I can give the basic changes here or upload the ITF’s if any one is interested.

  Has anyone else had success porting this one to different markets?

  2 users thanked author for this post.

  Francesco78, Nicolas

  

  Cosmic1

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  08/19/2016 at 5:30 AM #11860
  Somatolysis

  Have you calculated with spread or without?

  

  Somatolysis

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  08/19/2016 at 7:38 AM #11862
  Cosmic1

  With 1.5 point spread for DAX and 1.4 for EUR/USD

  

  Cosmic1

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  08/19/2016 at 7:42 AM #11863
  bard

  What have you changed ?

  can you upload the itf ?

  

  bard

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  08/19/2016 at 9:13 AM #11865
  Nicolas

  Nice work cosmic. I know some people have successfully adapted the strategy to other markets already. But I’ve never had the chance to investigate more their codes.
  I’m pleased to know that you made optimization with In/Out sample, that’s a lot of work to do manually 👌.

  So yes, this topic could be the new central topic for the breakout strategy experiments! Your modified code is welcome! I’ll do my best to help here. Like I said before I believe in this strategy.

  

  Nicolas

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  08/19/2016 at 1:18 PM #11874
  Elsborgtrading

  I think I tested it on DAX as well, and the conclusion was that It looked promising. I need to dig in my notes to see where and why I did not pay any further attention for this. Most likely it drowned among all the other codes that I was testing. I fond these notes and Screendumps:

  “Looks pretty good on DAX 5 min” unfortunately I did not get the equity curve.

  Edit- when I look deeper into this, It was not Nicolas’ code, but Reiners. I seem to remember testing the CAC code. I need to look deeper in my notes

  Cheers Kasper

  

  Elsborgtrading

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  08/19/2016 at 3:30 PM #11890
  Cosmic1

  Here is the DAX one. Feel free to take a look at that first while I tidy up EUR/USD. You will see that I added a pprofit limit at the bottom of the code as this improved things slightly. There are some alternate values that are commented that I played around with.

  //------------------------------------------------------------------------- // Main code : Breakout ProOrder EN DAX //------------------------------------------------------------------------- // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders //All times are UK Time Zone DEFPARAM PreLoadBars = 0 // Position is closed at 20h00 PM DEFPARAM FlatAfter = 200000 // No new position will be initiated after the 16h00 PM candlestick LimitHour = 161500 // Market scan begin with the 15 minute candlestick that closed at 8h15 AM StartHour = 081500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 074500 then //PositionSize = max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 140 //140 //160 MinAmplitude = 24 //24 //15 OrderDistance = 7 //7 //10 PourcentageMin = 30 //30 //32 // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 190//190

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97

  //------------------------------------------------------------------------- // Main code : Breakout ProOrder EN DAX //------------------------------------------------------------------------- // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders   //All times are UK Time Zone   DEFPARAM PreLoadBars = 0 // Position is closed at 20h00 PM DEFPARAM FlatAfter = 200000 // No new position will be initiated after the 16h00 PM candlestick LimitHour = 161500 // Market scan begin with the 15 minute candlestick that closed at 8h15 AM StartHour = 081500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 074500 then //PositionSize = max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 140 //140 //160 MinAmplitude = 24 //24 //15 OrderDistance = 7 //7  //10 PourcentageMin = 30 //30 //32 // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 190//190

   

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  Cosmic1

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  08/19/2016 at 8:47 PM #11916
  Cosmic1

  EUR/USD

  // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders //All times are in UK timezone DEFPARAM PreLoadBars = 0 // Position is closed at 20h30 PM DEFPARAM FlatAfter = 203000 // No new position will be initiated after the 19h45 PM candlestick LimitHour = 200000 // Market scan begin with the 15 minute candlestick that closed at 7h45 AM StartHour = 074500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 073000 then PositionSize = 1 //max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume //PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30? // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 100

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95

  // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders   //All times are in UK timezone   DEFPARAM PreLoadBars = 0 // Position is closed at 20h30 PM DEFPARAM FlatAfter = 203000 // No new position will be initiated after the 19h45 PM candlestick LimitHour = 200000 // Market scan begin with the 15 minute candlestick that closed at 7h45 AM StartHour = 074500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 073000 then PositionSize = 1 //max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume //PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30? // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 100

   

  

  Cosmic1

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  08/21/2016 at 3:09 PM #11991
  smurfy

  Hi all,

  thanks! but can anyone guide me which should be my settings for the Timezone? In PRT I set as GMT+8 which is Singapore.

  in the Code, how to change it? I kinda confuse how to look at timezone 🙁

  thanks in advance!

  

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  08/21/2016 at 4:34 PM #11993
  Elsborgtrading

  UK timezone are GMT+1(summertime) so I think you need to add 7 hours everywhere there is a time involved. To be sure try and change things according to the world timezones.

  

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  08/28/2016 at 8:30 AM #12327
  smurfy

  Hi Elsborg,

  Thanks! Had been busy lately.

  I had tried to change but when I backtest against EURUSD, there’s no result. Any idea?

   

  

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  08/28/2016 at 8:31 AM #12328
  smurfy

  // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders //All times are Changed to SG timezone DEFPARAM PreLoadBars = 0 // Position is closed at 20h30 PM DEFPARAM FlatAfter = 033000 // No new position will be initiated after the 19h45 PM candlestick LimitHour = 030000 // Market scan begin with the 15 minute candlestick that closed at 7h45 AM StartHour = 144500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 143000 then PositionSize = 1 //max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume //PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30? // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 100

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95

  // We do not store datas until the system starts. // If it is the first day that the system is launched and if it is afternoon, // it will be waiting until the next day for defining sell and buy orders   //All times are Changed to SG timezone   DEFPARAM PreLoadBars = 0 // Position is closed at 20h30 PM DEFPARAM FlatAfter = 033000 // No new position will be initiated after the 19h45 PM candlestick LimitHour = 030000 // Market scan begin with the 15 minute candlestick that closed at 7h45 AM StartHour = 144500 // The 24th and 31th days of December will not be traded because market close before 7h45 PM IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables that would be adapted to your preferences if time = 143000 then PositionSize = 1 //max(2,2+ROUND((strategyprofit-1000)/1000)) //gain re-invest trade volume //PositionSize = 2 //constant trade volume over the time endif MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30? // Variable initilization once at system start ONCE StartTradingDay = -1 // Variables that can change in intraday are initiliazed // at first bar on each new day IF (Time <= StartHour AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyTreshold = 0 SellTreshold = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartHour AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the first trading day bar index DayStartIndex = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitHour THEN // For each trading day, we define each 15 minutes // the higher and lower price value of the instrument since StartHour // until the buy and sell tresholds are not defined IF BuyTreshold = 0 OR SellTreshold = 0 THEN HighLevel = Highest[IntradayBarIndex - DayStartIndex + 1](High) LowLevel = Lowest [IntradayBarIndex - DayStartIndex + 1](Low) // Spread calculation between the higher and the // lower value of the instrument since StartHour DaySpread = HighLevel - LowLevel // Minimal spread calculation allowed to consider a significant price breakout // of the higher and lower value MinSpread = DaySpread * PourcentageMin / 100 // Buy and sell tresholds for the actual if conditions are met IF DaySpread <= MaxAmplitude THEN IF SellTreshold = 0 AND (Close - LowLevel) >= MinSpread THEN SellTreshold = LowLevel + OrderDistance ENDIF IF BuyTreshold = 0 AND (HighLevel - Close) >= MinSpread THEN BuyTreshold = HighLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of the buy and sell orders for the day // if the conditions are met IF SellTreshold > 0 AND BuyTreshold > 0 AND (BuyTreshold - SellTreshold) >= MinAmplitude THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyTreshold STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellTreshold STOP ENDIF ENDIF ENDIF ENDIF // Conditions definitions to exit market when a buy or sell order is already launched IF LongOnMarket AND ((Time <= LimitHour AND SellPosition = 1) OR Time > LimitHour) THEN SELL AT SellTreshold STOP ELSIF ShortOnMarket AND ((Time <= LimitHour AND BuyPosition = 1) OR Time > LimitHour) THEN EXITSHORT AT BuyTreshold STOP ENDIF // Maximal risk definition of loss per position // in case of bad evolution of the instrument price SET STOP PLOSS MaxAmplitude set target pprofit 100

   

  

  smurfy

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  08/29/2016 at 4:06 PM #12396
  deleted190722

  I did the porting of nicolas CAC breackout on dax but only changing his values and parameter to fit on dax without any optimization. You may find a thread regarding this.

  

  deleted190722

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  08/29/2016 at 4:10 PM #12397
  deleted190722

  what parameters have you optimized? Which is the InSample and the Outof sample period?

  Thanks

  David

   

   

  

  deleted190722

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  08/29/2016 at 4:28 PM #12399
  Nicolas

  Hey David, nice to see you back! Hope everything’s ok on your side.

  There’s not much variables to change in this strategy, because it doesn’t rely at all on indicator. I think the only optimized values are these ones:

  MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30?

  1 2 3 4

  MaxAmplitude = 85 //85 //140 MinAmplitude = 9 //9 //20 OrderDistance = 0 //0 //-4 PourcentageMin = 34 //34 //30?

  Since it’s Cosmic topic, I let him answer to this question more precisely.

   

  

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