DAX 15 M (EUR 1 Mini) Rottura Resistenza Spread 1

Alex · Mon, 30 Jan 2017 08:10:27 +0000

La strateggia necessita 2 indicatori da allegare.Si accettano consigli per migliorarla grazie. DEFPARAM CumulateOrders = false ONCE Positionsize=1 // define saisonal position multiplier >0 - long ONCE Januaryl = 2//DD 1263 ONCE Februaryl = 2//DD 1263 ONCE Marchl = 2//2 migliora 12% Ma DD 1580 ONCE Aprill = 2//2 MM 20% DD 1360 ONCE Mayl = 2//MM DD 1252 Abbassa ONCE Junel = 0 //23% DD 1298 ONCE Julyl = 0 //3% dd < 900 ONCE Augustl = 2//8% dd > 938 ONCE Septemberl = 0//5% < dd 906 ONCE Octoberl = 2//34% dd = 906 ONCE Novemberl = 2//26% dd > 934 ONCE Decemberl = 2//25% DD > 954 // saisonal pattern long position IF CurrentMonth = 1 THEN saisonalPatternMultiplierl = Januaryl ELSIF CurrentMonth = 2 THEN saisonalPatternMultiplierl = Februaryl ELSIF CurrentMonth = 3 THEN saisonalPatternMultiplierl = Marchl ELSIF CurrentMonth = 4 THEN saisonalPatternMultiplierl = Aprill ELSIF CurrentMonth = 5 THEN saisonalPatternMultiplierl = Mayl ELSIF CurrentMonth = 6 THEN saisonalPatternMultiplierl = Junel ELSIF CurrentMonth = 7 THEN saisonalPatternMultiplierl = Julyl ELSIF CurrentMonth = 8 THEN saisonalPatternMultiplierl = Augustl ELSIF CurrentMonth = 9 THEN saisonalPatternMultiplierl = Septemberl ELSIF CurrentMonth = 10 THEN saisonalPatternMultiplierl = Octoberl ELSIF CurrentMonth = 11 THEN saisonalPatternMultiplierl = Novemberl ELSIF CurrentMonth = 12 THEN saisonalPatternMultiplierl = Decemberl ENDIF // define saisonal position multiplier >0 short ONCE Januarys = 1//2 >25% DD 954 > 1041 ONCE Februarys = 1//% Poco ONCE Marchs = 2 //5% DD =954 ONCE Aprils = 2//9% DD=954 ONCE Mays = 0//13% DD=954 ONCE Junes = 0//1% DD=954 Ratio aumenta ONCE Julys = 2//9% DD 954 > 1004 ONCE Augusts = 2//25% DD=1004 ONCE Septembers = 1//da rivedere ONCE Octobers = 1//da rivedere ONCE Novembers = 0//20% DD=1004 ONCE Decembers = 2//10% DD=1004 // saisonal pattern short position IF CurrentMonth = 1 THEN saisonalPatternMultipliers = Januarys ELSIF CurrentMonth = 2 THEN saisonalPatternMultipliers = Februarys ELSIF CurrentMonth = 3 THEN saisonalPatternMultipliers = Marchs ELSIF CurrentMonth = 4 THEN saisonalPatternMultipliers = Aprils ELSIF CurrentMonth = 5 THEN saisonalPatternMultipliers = Mays ELSIF CurrentMonth = 6 THEN saisonalPatternMultipliers = Junes ELSIF CurrentMonth = 7 THEN saisonalPatternMultipliers = Julys ELSIF CurrentMonth = 8 THEN saisonalPatternMultipliers = Augusts ELSIF CurrentMonth = 9 THEN saisonalPatternMultipliers = Septembers ELSIF CurrentMonth = 10 THEN saisonalPatternMultipliers = Octobers ELSIF CurrentMonth = 11 THEN saisonalPatternMultipliers = Novembers ELSIF CurrentMonth = 12 THEN saisonalPatternMultipliers = Decembers ENDIF // Condizioni per entrare su posizioni long myLong, mySell, my0 = CALL "Flag_Buy" myEntriShort, myEsciShort, my1 = CALL "Flag_Sell" IF TIME >= 90000 AND TIME <= 173000 AND close > myLong AND my0 THEN IF saisonalPatternMultiplierl > 0 THEN BUY Positionsize * saisonalPatternMultiplierl CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni long IF close < mySell THEN SELL AT MARKET ENDIF // Condizioni per entrare su posizioni short IF TIME >= 90000 AND TIME <= 173000 AND close < myEntriShort AND my1 THEN IF saisonalPatternMultipliers > 0 THEN SELLSHORT Positionsize * saisonalPatternMultipliers CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni short IF close > myEsciShort THEN EXITSHORT AT MARKET ENDIF ONCE maxCandlesShortWithoutProfit =63// limit short loss latest after 63 candles // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ms = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF SHORTONMARKET AND ms THEN EXITSHORT AT MARKET ENDIF // Stop e target: SET Target Pprofit 86 SET STOP PLOSS 63 ————————————————————————————- //Flag_Buy if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close>= wilderaverage[200*8](close) RETURN tth AS “Long”, ttl AS “Sell”,c1 AS “(0)” ————————————————————————————– //Flag_Sell if box=1 and (high>tth or low<ttl) then box=0 flag=0 endif if box=0 and flag=0 and low>low[3] and low[2]>low[3] and low[2]>low[1] then th=low[3] flag=1 endif if flag=1 and box=0 and low<th then flag=0 endif if flag=1 and box=0 and high<high[2] and high[1]<high[3] and high[2]<high[3] then tth=high[3] ttl=th box=1 endif once tth=undefined once ttl=undefined c1=close>= wilderaverage[200*8](close) RETURN tth AS “Long”, ttl AS “Sell”,c1 AS “(0)”

This topic has 18 replies, 2 voices, and was last updated 7 years ago by Nicolas.

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02/01/2017 at 7:23 AM #23368

Nicolas

Che è grande Alex, ma di tenere presente che se ti piace per ottimizzare i parametri, sempre usare “IN SAMPLE” e “OUT OF SAMPLE” test di convalida per favore.
Si può leggere un articolo del blog ho scritto qualche tempo fa qui: https://www.prorealcode.com/blog/avoid-equity-curve-fitting-with-probacktest-trading-strategy-optimisation/

Nicolas
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02/01/2017 at 4:47 PM #23437

Alex

Scusa Nicolas per caso non si puo mettere il libreria questo trading system?

Alex
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02/02/2017 at 8:54 PM #23694

Alex

Dalle mie parti non rispondere non e cortese anzi e poco educato,comunque ti faccio vedere l’originale che uso.

Alex
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02/03/2017 at 8:56 AM #23742

Nicolas

Si prega di leggere il mio precedente post su “overfitting“:

Sono sicuro che si può capire che cosa è tutto. Se la strategia è troppo ottimizzata sui dati del passato, si riduce drasticamente la sua robustezza per il trading futuro. La vostra strategia non è male, penso che si dovrebbe solo rivedere un po’ il take profit e stop loss . Grazie.

Nicolas
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