Codice martingala manuale

• 06/01/2022 at 7:14 AM #194371
  MauroPro

  Il codice di Roberto fa SEMPRE 1 operazione.

  Il codice di Phoentzs fa SEMPRE 2 operazioni.

  

  MauroPro

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  06/01/2022 at 8:03 AM #194377
  phoentzs

  T4 Multi SP500 M5 V3 MM

  //30.03.2022 200000k //US500 M5 Spread 0.6 //German Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false //MM ONCE LotSize = 5 //starting number of lots/contracts ONCE MinLots = 5 //minimum lot size required by the broker ONCE MaxLots = 10 //999 max lots allowed (to be also set in AutoTradung) ONCE Rise = 5 //numebe of lots to increment ONCE Fall = 5 //number of lots to decrement IF StrategyProfit > StrategyProfit[1] THEN LotSize = LotSize + Rise ELSIF StrategyProfit < StrategyProfit[1] THEN LotSize = LotSize - Fall ENDIF LotSize = min(MaxLots,max(MinLots,LotSize)) //check both Maximum and Minimum //LotSize = 5 timeframe(15minute, updateonclose) RangeMAD5 = average[480,0](close) //Wochentrend Daily MA5 RangelongD5 = close > RangeMAD5 RangeshortD5 = close < RangeMAD5 RangeMAD20 = average[1920,0](close) //"Monatstrend" Daily MA20 RangelongD20 = RangeMAD5 > RangeMAD20 RangeshortD20 = RangeMAD5 < RangeMAD20 MA1 = average[x1,0](close) MA2 = average[x2,0](close) //MA3 = average[x3,0](close) MA4 = average[x5,1](close) MA5 = average[x6,1](close) longA = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] shortA = MA4 < MA5 //and MA5 < MA5[1] MAL1 = average[5,0](close) MAL2 = average[15,0](close) //15 longB = MAL1 crosses over MAL2 shortB = MAL1 crosses under MAL2 timeframe(default)//M5 long = RangelongD5 and longB and longA //and RangelongD20 short = RangeshortD5 and shortB and shortA //and RangeshortD20 Exit1 = RangeshortD5 Exit2 = RangelongD5 // trading window ONCE BuyTime = 110000 ONCE SellTime = 213000 ONCE BuyTime2 = 150000 ONCE SellTime2 = 213000 // position management IF Time >= buyTime AND Time <= SellTime THEN If long then //not onmarket and BUY LotSize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf endif IF Time >= buyTime2 AND Time <= SellTime2 THEN If short then sellshort LotSize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif If longonmarket and Exit1 then sell at market endif If shortonmarket and Exit2 then exitshort at market endif if time = 223000 then //223000 //sell at market exitshort at market endif if time = 225500 and dayofweek=5 then //225500 sell at market exitshort at market endif //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong = startl // % trailingpercentshort = start // % once acceleratorlong = stepl // typically tst*0.1 once acceleratorshort= step // typically tss*0.1 ts2sensitivity = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

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  //30.03.2022  200000k //US500 M5 Spread 0.6 //German Time   defparam preloadbars = 10000 defparam CUMULATEORDERS = false   //MM ONCE LotSize = 5      //starting number of lots/contracts ONCE MinLots = 5    //minimum lot size required by the broker ONCE MaxLots = 10    //999  max lots allowed (to be also set in AutoTradung) ONCE Rise    = 5      //numebe of lots to increment ONCE Fall    = 5      //number of lots to decrement IF StrategyProfit > StrategyProfit[1] THEN LotSize = LotSize + Rise ELSIF StrategyProfit < StrategyProfit[1] THEN LotSize = LotSize - Fall ENDIF LotSize = min(MaxLots,max(MinLots,LotSize)) //check both Maximum and Minimum     //LotSize = 5   timeframe(15minute, updateonclose) RangeMAD5 = average[480,0](close)   //Wochentrend Daily MA5 RangelongD5  = close > RangeMAD5 RangeshortD5 = close < RangeMAD5   RangeMAD20 = average[1920,0](close)  //"Monatstrend" Daily MA20 RangelongD20  = RangeMAD5 > RangeMAD20 RangeshortD20 = RangeMAD5 < RangeMAD20     MA1 = average[x1,0](close) MA2 = average[x2,0](close) //MA3 = average[x3,0](close) MA4 = average[x5,1](close) MA5 = average[x6,1](close)   longA  = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] shortA = MA4 < MA5 //and MA5 < MA5[1]   MAL1 = average[5,0](close) MAL2 = average[15,0](close) //15 longB  = MAL1 crosses over MAL2 shortB = MAL1 crosses under MAL2     timeframe(default)//M5 long   =   RangelongD5 and longB and longA     //and RangelongD20 short  =   RangeshortD5 and shortB and shortA  //and RangeshortD20 Exit1 = RangeshortD5 Exit2 = RangelongD5   // trading window ONCE BuyTime   = 110000 ONCE SellTime  = 213000 ONCE BuyTime2  = 150000 ONCE SellTime2 = 213000 // position management IF Time >= buyTime AND Time <= SellTime THEN   If long then                           //not onmarket and BUY LotSize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf   endif   IF Time >= buyTime2 AND Time <= SellTime2 THEN   If short then sellshort LotSize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf   endif   If longonmarket and Exit1 then sell at market endif   If shortonmarket and Exit2 then exitshort at market endif   if time = 223000 then  //223000 //sell at market exitshort at market endif   if time = 225500 and dayofweek=5 then  //225500 sell at market exitshort at market endif   //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong  = startl // % trailingpercentshort = start // % once acceleratorlong = stepl // typically tst*0.1 once acceleratorshort= step // typically tss*0.1 ts2sensitivity  = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif   if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////

   

  

  phoentzs

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  06/01/2022 at 8:04 AM #194378
  phoentzs

  Caro @MauroPro

  , visto che ho postato questa strategia prima… Ti ricordi? MA Croce? Qui la strategia con MM Qui il codice funziona.

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  MauroPro

  

  phoentzs

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  06/01/2022 at 8:38 AM #194380
  MauroPro

  Ciao Phoetzs, grazie per l’esempio. Stavo facendo delle prove con il tuo codice. Ho visto che funziona in questo modo:

  A)  Raddoppia la posizione dopo un guadagno (come fa il tuo codice “Multi SP500”)

  IF StrategyProfit > StrategyProfit[1] THEN
  LotSize = LotSize + Rise
  ELSIF StrategyProfit < StrategyProfit[1] THEN
  LotSize = LotSize – Fall
  ENDIF

  B) Raddoppia la posizone dopo una perdita (MARTINGALA):

  IF StrategyProfit > StrategyProfit[1] THEN
  LotSize = LotSize – Rise
  ELSIF StrategyProfit < StrategyProfit[1] THEN
  LotSize = LotSize + Fall
  ENDIF

  Vorrei però aggiungere nel codice B (Martingala), come stava provando Roberto,  il flag: RADDOPPIO, per fare in modo che il TS usi due contratti solo dopo la PRIMA perdita, mentre il codice che hai postato mantiene due contratti anche se ci sono più operazioni in perdita consecutive (vd foto).

  Siccome però funziona, Roberto potrebbe aggiungere il suo flag RADDOPPIO in questo codice.

  

  MauroPro

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  06/01/2022 at 8:48 AM #194383
  phoentzs

  Ovviamente puoi anche ottimizzare “Rise” e “Fall” (1-5 entrambi nell’ottimizzatore).
  Per la codifica di livello superiore, come Flag, Roberto deve intervenire. Non ne ho idea.

  

  phoentzs

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  06/01/2022 at 9:03 AM #194385
  MauroPro

  Roberto puoi inserire in questo codice il flag per raddoppiare la posizione in perdita soltanto la prima volta? (vedi immagine allegata sopra)

  defParam cumulateOrders = false //(test DAX 15m) ONCE LotSize = 1 //starting number of lots/contracts ONCE MinLots = 1 //minimum lot size required by the broker ONCE MaxLots = 2 //999 max lots allowed (to be also set in AutoTradung) ONCE Rise = 1 //numebe of lots to increment ONCE Fall = 1 //number of lots to decrement IF StrategyProfit > StrategyProfit[1] THEN LotSize = LotSize - Rise ELSIF StrategyProfit < StrategyProfit[1] THEN LotSize = LotSize + Fall ENDIF LotSize = min(MaxLots,max(MinLots,LotSize)) //check both Maximum and Minimum //-------------- avg50 = average[50,0](close) if close crosses over avg50 then buy lotSize contract at market endif if longOnMarket and close < (avg50 - 50*pointSize) then sell lotSize contract at market endif //------------------------------------- set target pProfit 500 set stop pLoss 200 //--------------------------------------------

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  defParam cumulateOrders = false //(test DAX 15m) ONCE LotSize = 1      //starting number of lots/contracts ONCE MinLots = 1    //minimum lot size required by the broker ONCE MaxLots = 2    //999  max lots allowed (to be also set in AutoTradung) ONCE Rise    = 1      //numebe of lots to increment ONCE Fall    = 1      //number of lots to decrement IF StrategyProfit > StrategyProfit[1] THEN LotSize = LotSize - Rise ELSIF StrategyProfit < StrategyProfit[1] THEN LotSize = LotSize + Fall ENDIF LotSize = min(MaxLots,max(MinLots,LotSize)) //check both Maximum and Minimum   //-------------- avg50 = average[50,0](close) if close crosses over avg50 then buy lotSize contract at market endif if longOnMarket and close < (avg50 - 50*pointSize) then sell lotSize contract at market endif //------------------------------------- set target pProfit 500 set stop   pLoss   200 //--------------------------------------------

   

  

  MauroPro

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  06/01/2022 at 9:04 AM #194386
  phoentzs

  Ne ho uno in più. Mi è venuto in mente solo dopo aver letto la tua frase… Basta girare il “>”. Poi fa quasi quello che vuoi. Ho appena provato una strategia diversa… stessa performance ma riduce il drawdown.

   

  IF StrategyProfit < StrategyProfit[1] THEN //erhöht bei Verlust
  LotSize = LotSize + Rise
  ELSIF StrategyProfit > StrategyProfit[1] THEN
  LotSize = LotSize – Fall
  ENDIF

  

  phoentzs

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  06/01/2022 at 9:11 AM #194390
  MauroPro

  Questo che hai postato è il codice martingala che raddoppia la posizione in caso di perdita (come il mio caso B sopra).

  Nel tuo “TS Multi” NON usavi il martingala, ma raddoppiavi la posizione in caso di guadagno (che è un altra tecnica).

  

  MauroPro

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  06/01/2022 at 9:19 AM #194391
  phoentzs

  Giusto. Rilancio a MaxPosition se vinco. Dopo aver parlato con te, ho scoperto che se rilanci in caso di perdita e torni a MinPosition in caso di vittoria, il drawdown del sistema diminuisce. Che a quanto pare è meglio. Questo sarebbe l’ultimo codice che ho postato. Ma penso che funzioni allo stesso modo del tuo codice B. Scritto in modo diverso.

  

  phoentzs

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  06/01/2022 at 9:21 AM #194392
  MauroPro

  Il vero Martingala raddoppia la posizione OGNI volta che si perde ( e porta ad azzerare i conti in quanto il capitale a disposizione non è infinito!)

  Il codice che ho postato per Roberto, che utilizza la tua formula (strategyProfit < StrategyProfit[1]  e lotSize +1) è un Martingala che raddoppia una volta la posizione e la mantiene raddoppiata fino che non capita un guadagno…)

  Il codice che ho postato sopra e che vorrei che Roberto modificasse con il suo flag dovrebbe raddoppiare solo per la prima perdita la posizione e poi, anche se capitano perdite consecutive, utilizzare sempre un contratto.

  Poi c’è il tuo codice Multi che invece raddoppia una posizione vincente e la mantiene raddoppiate per tutte le vincite consecutive fino a che non capita una perdita.

  

  MauroPro

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  06/01/2022 at 9:34 AM #194396
  phoentzs

  Sono onestamente curioso di sapere come si comporta il codice con il “flag”.
  Perdonami se mi sono intromesso qui.

   

  

  phoentzs

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  06/01/2022 at 9:36 AM #194397
  MauroPro

  Aspettiamo Roberto che sui flags è un mago!

  

  MauroPro

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  06/01/2022 at 3:54 PM #194440
  robertogozzi

  Ho cambiato una riga ONCE iniziale, più la verifica del raddoppio.

  Adesso sembra segua perfettamente la regola del raddoppio solo quando c’è un risultato POSITIVO seguito da uno NEGATIVO (+-), negli altri casi (++ oppure –, oppure -+) non raddoppia.

  defParam cumulateOrders = false //(test DAX 15m) once orderSize = 1 once raddoppio = 1 if StrategyProfit < StrategyProfit[1] then IF Raddoppio = 1 THEN orderSize = orderSize * 2 Raddoppio = 0 ELSE orderSize = 1 ENDIF elsif StrategyProfit > StrategyProfit[1] THEN orderSize = 1 Raddoppio = 1 endif //-------------- avg50 = average[50,0](close) if close crosses over avg50 then buy orderSize contract at market endif if longOnMarket and close < (avg50 - 50*pointSize) then sell orderSize contract at market endif //------------------------------------- set target pProfit 500 set stop pLoss 200 //-------------------------------------------- graph ordersize coloured(255,0,0,255) graph Raddoppio coloured(0,0,255,255) graph StrategyProfit < StrategyProfit[1] coloured(0,0,0,150)

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  defParam cumulateOrders = false //(test DAX 15m) once orderSize = 1 once raddoppio = 1   if StrategyProfit < StrategyProfit[1] then IF Raddoppio = 1 THEN orderSize = orderSize * 2 Raddoppio = 0 ELSE orderSize = 1 ENDIF elsif StrategyProfit > StrategyProfit[1] THEN orderSize = 1 Raddoppio = 1 endif   //-------------- avg50 = average[50,0](close) if close crosses over avg50 then buy orderSize contract at market endif if longOnMarket and close < (avg50 - 50*pointSize) then sell orderSize contract at market endif //------------------------------------- set target pProfit 500 set stop   pLoss   200 //-------------------------------------------- graph ordersize                          coloured(255,0,0,255) graph Raddoppio                          coloured(0,0,255,255) graph StrategyProfit < StrategyProfit[1] coloured(0,0,0,150)

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  robertogozzi

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  06/01/2022 at 4:04 PM #194441
  robertogozzi

  Quello scritto da phoentzs va bene, il suo scopo è incrementare di uno o diminuire di uno in caso di perdita o di guadagno, rispettando i limiti di 1 e 2 (senza la regola +-)

  Per modificarlo devo farlo uguale al mio, non ha molto senso.

   

  

  robertogozzi

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  06/01/2022 at 5:38 PM #194455
  MauroPro

  Ciao Roberto, ho provato ed ora funziona.

  Per raddoppiare la posizione (la prima volta)  non di un trade perdente, ma vincente (anti martingala) ho visto (e funziona) che basta invertire <  e > nelle rughe 5 e 12.

  Volevo apportare un ultima modifica nel seguente TS anti martingala di prova: attendere prima di raddoppiare (la prima volta soltanto) la posizione vincente non un trade vincente, ma due trade vincenti (quindi si raddoppierebbe dopo -++).

  Pensavo che bastava scrivere nella riga 5 : if strategyProfit > strategyProfit[1] and strategyProft[1] > strategyProfit[2], ma non funziona (tutte le op. tornano ad essere di un contratto), sai come si corregge?

   

  

  MauroPro

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