D.I.+RSIOMA Trend Following on Dax

• 07/01/2018 at 2:41 PM #75002
  AlgoAlex

  Hi guys,

  I was trying to figure out some strategies with a mtf trend background and entry in direction of it, and I found this out:

  a double-Directional Movement to set the direction of the trend, and RSIOMA crossing overbought or oversold for entry signal.

  A little bit of money management (to improve possibly with your help) optimization and here an interesting result on 100k backtest.

  //ADX+RSIOMA Trend Follower by AlexF81 //DAX 1H optimized on 100k bars DEFPARAM CUMULATEORDERS=true //time and days daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 TODFromHour = 090000 //time of the day TODToHour = 170000 //time of the day inTimeInterval = time>=TODFromHour and time<TODToHour //indicators ADX89=DI[89](close) ADX144=DI[144](close) trendlong=ADX89>0 and ADX144>0 trendshort=ADX89<0 and ADX144<0 ma=ExponentialAverage[14](WeightedClose) rsioma=rsi[14](ma) entrylong=rsioma crosses over 80 entryshort=rsioma crosses under 20 /////////////////////////////////////////// if inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif if inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif ////money management - breakeven startBreakeven = 10 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 2 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- //sell side IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF //SuperTrend as Trailing and Stop mySuper=1.5*Supertrend[3,10] if longonmarket and close crosses under mySuper then sell at market endif if shortonmarket and close crosses over mySuper then exitshort at market endif set target pprofit 200

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  //ADX+RSIOMA Trend Follower by AlexF81 //DAX 1H optimized on 100k bars   DEFPARAM CUMULATEORDERS=true   //time and days daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 TODFromHour = 090000 //time of the day TODToHour = 170000 //time of the day inTimeInterval = time>=TODFromHour and time<TODToHour   //indicators ADX89=DI[89](close) ADX144=DI[144](close)   trendlong=ADX89>0 and ADX144>0 trendshort=ADX89<0 and ADX144<0   ma=ExponentialAverage[14](WeightedClose) rsioma=rsi[14](ma) entrylong=rsioma crosses over 80 entryshort=rsioma crosses under 20   /////////////////////////////////////////// if inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif   if inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif   ////money management - breakeven startBreakeven = 10 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 2 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated   //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE ---   //sell side IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF       //SuperTrend as Trailing and Stop mySuper=1.5*Supertrend[3,10]   if longonmarket and close crosses under mySuper then sell at market endif   if shortonmarket and close crosses over mySuper then exitshort at market endif     set target pprofit 200

   

  

  AlgoAlex

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  07/01/2018 at 3:46 PM #75008
  Vonasi

  By just making sure that any additional positions are only bought at a more favourable price you can improve the gain/loss ratio, gain per trade and win rate considerably and make a nicer equity curve. This is obviously at the cost of less trades which in real life is a good thing but for a back test result is a bad thing as you have a smaller data sample to build confidence in the results.

  I used a spread of 2 and my equity curve with your code was much uglier than yours – what spread did you use? My trading time may be different too – what time are you trading on?

  I got these results with that simple addition:

  

  

   

   

  

  Vonasi

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  07/01/2018 at 3:48 PM #75012
  AlgoAlex

  Thanks Vonasi,

  would you share the code you added?

  Thanks

  

  AlgoAlex

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  07/01/2018 at 3:52 PM #75014
  Vonasi

  Ooops – just realised that I posted only images for 10K bars!

  Here are the right ones:

  

  

  

  Vonasi

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  07/01/2018 at 3:55 PM #75018
  Vonasi

  Not sure that code adds much then although I don’t know what your draw down was as it is not in your image.

  

  Vonasi

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  07/01/2018 at 4:08 PM #75019
  AlgoAlex

  Here my drowdown.

  Please would you share the code added?

  

  AlgoAlex

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  07/01/2018 at 4:18 PM #75022
  Vonasi

  I changed lines 25 to 31 with this:

  if not longonmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif if longonmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong and close < positionprice then buy 1 contracts at market endif if not shortonmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif if shortonmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort and close > positionprice then sellshort 1 contracts at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  if not longonmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif   if longonmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong and close < positionprice then buy 1 contracts at market endif if not shortonmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif   if shortonmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort and close > positionprice then sellshort 1 contracts at market endif

   

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  AlgoAlex

  

  Vonasi

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  07/01/2018 at 4:29 PM #75023
  AlgoAlex

  Ok, now I understood your idea.

  Not sure how much is an improvement though, since this strategy enter when a strong trend occurs, so a retracement of price is not common (unless a reversal take place).

  

  AlgoAlex

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  07/01/2018 at 4:29 PM #75024
  Vonasi

  Removing the trendlong and trendshort conditions from the second buy conditions helps a lot:

  
  

  You need to be aware that this is a version of averaging down and comes with some dangers. I have not really checked out your stop criteria yet to know how dangerous this idea is!

  

  Vonasi

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  07/01/2018 at 4:34 PM #75028
  Vonasi

  This is the code used in that last idea. It also changed not longonmarket and not shortonmarket to not onmarket.

  if not onmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif if longonmarket and inTimeInterval and not daysForbiddenEntry and entrylong and close < positionprice then buy 1 contracts at market endif if not onmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif if shortonmarket and inTimeInterval and not daysForbiddenEntry and entryshort and close > positionprice then sellshort 1 contracts at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  if not onmarket and inTimeInterval and not daysForbiddenEntry and trendlong and entrylong then buy 1 contracts at market endif   if longonmarket and inTimeInterval and not daysForbiddenEntry and entrylong and close < positionprice then buy 1 contracts at market endif if not onmarket and inTimeInterval and not daysForbiddenEntry and trendshort and entryshort then sellshort 1 contracts at market endif   if shortonmarket and inTimeInterval and not daysForbiddenEntry and entryshort and close > positionprice then sellshort 1 contracts at market endif

   

  

  Vonasi

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