please review my strategy Code Completed

• 08/18/2021 at 12:51 PM #175611
  SpreadBetMH

  Hello,
  I’ve finished working with this program and before I start using it, I was wondering if someone could give it a look and tell me what faults, if any that there are and make suggestions
  Its my first ProOrder build,

  EURGBP 1Hour Chart using 3 years of Data

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = Average[10](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2) indicator3 = RSI[14](close) c2 = (indicator3 CROSSES OVER 24) IF (c1 OR c2) AND not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to exit long positions indicator4 = ExponentialAverage[73](close) indicator5 = Average[17](close) c3 = (indicator4 CROSSES OVER indicator5) indicator6 = RSI[14](RSI[14](close)) c4 = (indicator6 CROSSES OVER 70) IF c3 OR c4 THEN SELL AT MARKET ENDIF If not OnMarket then // Do your Buy or Sell thing. Endif // or : If not LongOnMarket then // Do your Buy thing. Endif // or : If ShortOnMarket then // Do your Exit Short thing. Endif // Conditions to enter short positions indicator7 = ExponentialAverage[98](close) indicator8 = Average[18](close) c5 = (indicator7 CROSSES OVER indicator8) indicator9 = RSI[14](RSI[14](close)) c6 = (indicator9 CROSSES UNDER 78) IF (c5 OR c6) AND not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator10 = Average[29](close) indicator11 = ExponentialAverage[77](close) c7 = (indicator10 CROSSES OVER indicator11) indicator12 = RSI[14](RSI[14](close)) c8 = (indicator12 CROSSES UNDER 34) IF c7 OR c8 THEN EXITSHORT AT MARKET ENDIF If not OnMarket then // Do your Buy or Sell thing. Endif // or : If not LongOnMarket then // Do your Buy thing. Endif // or : If ShortOnMarket then // Do your Exit Short thing. Endif // Stops and targets SET STOP pLOSS 20 SET TARGET pPROFIT 124

  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

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = Average[10](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2) indicator3 = RSI[14](close) c2 = (indicator3 CROSSES OVER 24)   IF (c1 OR c2) AND not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions indicator4 = ExponentialAverage[73](close) indicator5 = Average[17](close) c3 = (indicator4 CROSSES OVER indicator5) indicator6 = RSI[14](RSI[14](close)) c4 = (indicator6 CROSSES OVER 70)   IF c3 OR c4 THEN SELL AT MARKET ENDIF If not OnMarket then // Do your Buy or Sell thing. Endif // or : If not LongOnMarket then // Do your Buy thing. Endif // or : If ShortOnMarket then // Do your Exit Short thing. Endif     // Conditions to enter short positions indicator7 = ExponentialAverage[98](close) indicator8 = Average[18](close) c5 = (indicator7 CROSSES OVER indicator8) indicator9 = RSI[14](RSI[14](close)) c6 = (indicator9 CROSSES UNDER 78)   IF (c5 OR c6) AND not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions indicator10 = Average[29](close) indicator11 = ExponentialAverage[77](close) c7 = (indicator10 CROSSES OVER indicator11) indicator12 = RSI[14](RSI[14](close)) c8 = (indicator12 CROSSES UNDER 34)   IF c7 OR c8 THEN EXITSHORT AT MARKET ENDIF If not OnMarket then // Do your Buy or Sell thing. Endif // or : If not LongOnMarket then // Do your Buy thing. Endif // or : If ShortOnMarket then // Do your Exit Short thing. Endif     // Stops and targets SET STOP pLOSS 20 SET TARGET pPROFIT 124

   

  

  SpreadBetMH

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  08/18/2021 at 2:05 PM #175614
  phoentzs

  Over-optimized, I would say.

  

  phoentzs

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  08/18/2021 at 3:38 PM #175617
  MAKSIDE

  what does that give with “standard” MM values ?

  do you have screens about the backtest of it ?

  also do a test with a trailing stop

  

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  08/18/2021 at 5:12 PM #175624
  XORANDNOT

  Moving averages allow you to curve fit anything perfectly to the past by finding out seemingly “ideal” period lengths. Usually, this does not work well in reality.

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  SpreadBetMH

  

  XORANDNOT

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  08/18/2021 at 6:38 PM #175626
  phoentzs

  I always use fixed, logical MAs and build the strategy on them. But never again optimize the MAs afterwards. I also had to learn first.

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  phoentzs

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  08/18/2021 at 6:45 PM #175627
  nonetheless

  first pic is a 10 year backtest of your algo, second pic is after a quick and dirty revision – % stop and target, trailing stop, refreshed all the numbers.

  not too bad for a first effort. Interesting that you’re using an RSI of the RSI … I’d never seen that before but it seems to work.

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  SpreadBetMH

  

  nonetheless

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  08/18/2021 at 6:48 PM #175632
  XORANDNOT

  phoentzs wrote:

  I always use fixed, logical MAs and build the strategy on them. But never again optimize the MAs afterwards. I also had to learn first.

  What is a good, logical and fixed MA for you ?

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  XORANDNOT

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  08/18/2021 at 6:53 PM #175634
  phoentzs

  EMA200 or as a tandem EMA55 and EMA89, for example, seems to work well. In this case, it is more about the proportions of the course than an exact line. My opinion.

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  phoentzs

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  08/18/2021 at 6:56 PM #175635
  XORANDNOT

  in DAX ? on all time scales ?  sounds a little like the magical Fibonacci numbers

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  XORANDNOT

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  08/18/2021 at 7:04 PM #175636
  phoentzs

  Not just in the DAX, everywhere. There is no such thing as magic. I think you only need a fixed size as a trend line for example or something similar and build the other sizes of the strategy around it without changing this size again at some point. So I try and it seems to work fine without over-optimizing.

  

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  08/18/2021 at 7:06 PM #175637
  XORANDNOT

  Backtest only…

  

  XORANDNOT

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  08/18/2021 at 7:24 PM #175638
  SpreadBetMH

  OK Thanks for the advice,

  So, I pick SMA & EMA values and stick to them, So, SMA would be 20 Period and EMA would be 50 Period ?

  What can be optimised?  e.q. RSI 14, MACD 12,26,9      Can those numbers be optimised and by how much?

   

  Thanks for taking the time to respond

  

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  08/18/2021 at 7:52 PM #175642
  XORANDNOT

  This is not science. There are no reproducible numbers. You have to find out yourself what methods work for you and which do not.

  

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  08/18/2021 at 8:27 PM #175644
  phoentzs

  Exactly, sometimes one works, sometimes the other. It always depends on how the respective market behaves in exactly this time frame. I think … Here’s a little example of me with just one EMA. The system has been successful for over 8 years, for whatever reason with this EMA. But it works.

  https://www.prorealcode.com/topic/rsi-ema-eurusd-m15/

  

  phoentzs

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  08/18/2021 at 8:40 PM #175645
  XORANDNOT

  @Nicolas : Happiness is now.

  

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