CAC Breakout ported to other markets

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  • 08/09/2017 at 9:24 AM #42787 quote
    Nicolas
    Keymaster
    Master

    Another interesting but buried topic. I’m actually cleaning my subscribed topics and stumbled on this one, so that’s why I’m posting here. I think open range breakout is still of interest of course and this strategy, part of the prorealtime documentation, still deserves investigation.

    Now that Walk Forward Analysis  is available, did someone tried to use it for the optimization of the 4 variables of the strategy? It should help a lot determining how to proceed with these values  in ranging markets. Another topic in my favorite list 🙂

    08/09/2017 at 10:10 AM #42795 quote
    Despair
    Blocked
    Master

    Can someone post the link to the original version for the CAC please?

    08/09/2017 at 10:26 AM #42797 quote
    Nicolas
    Keymaster
    Master

    This is the original code: CAC40 Breakout system

    Despair thanked this post
    08/09/2017 at 10:33 AM #42798 quote
    Despair
    Blocked
    Master

    Just started a WFA of the DAX version but with all 4 variables this will take all day.

    Henrik and Nicolas thanked this post
    08/09/2017 at 10:32 PM #42837 quote
    Nicolas
    Keymaster
    Master

    Still optimizing? :mrgreen:

    08/10/2017 at 9:42 AM #42850 quote
    Despair
    Blocked
    Master

    Haha I had to leave the house for some other business. The results I got so far were not really useless but not outstanding either. I will try to do better and come back if I get a result worth showing.

    08/10/2017 at 12:02 PM #42900 quote
    Nicolas
    Keymaster
    Master

    The best is the enemy of good 🙂 This strategy afford to loose quickly, it results to have sometimes many losing trades in the same row, so equity curve could be not so “sexy” (not straight upward).

    08/10/2017 at 12:22 PM #42901 quote
    Despair
    Blocked
    Master

    That’s it. The winning percentage is quite low. Something like 30%. I will try to incorporate some trades handling false breakouts.

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CAC Breakout ported to other markets


ProOrder: Automated Strategies & Backtesting

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Cosmic1 @cosmic1 Participant
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This topic contains 37 replies,
has 10 voices, and was last updated by Despair
8 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/18/2016
Status: Active
Attachments: 6 files
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