DAX 30 sec 5 trads/day

• 11/23/2019 at 12:53 PM #113469
  bullbear

  Have, as you know, worked on an algo that has taken many trads / day.

  Do not believe in an complicated code, then there will be fewer trads.

  Here is a simple code that takes 5 trads / day with low DD.

  I haven’t tested it with WF.

  It’s probably a bit over op.

  An idea anyway.

  Spread=1

  DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2) indicator100 = close indicator101 = Supertrend[5,4] c100 = indicator100 > indicator101 IF c1 and c100 THEN BUY 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 17// 20trailing will start @trailinstart points profit trailingstep = 5// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 17

  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

  DEFPARAM CumulateOrders=false   defparam flatbefore =090000 defparam flatafter = 180000   // Conditions to enter long positions indicator1 = Average[20](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2)   indicator100 = close indicator101 = Supertrend[5,4] c100 = indicator100 > indicator101   IF c1 and c100 THEN BUY 1 CONTRACT AT MARKET   endif   //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 17// 20trailing will start @trailinstart points profit trailingstep = 5// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 17

   

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  Dr Manhattan

  

  bullbear

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  11/23/2019 at 1:05 PM #113472
  GraHal

  Love the principle … we think alike! 🙂

  Love that staircase equity curve!

  Will it make any money? Easy to find out … I will Forward Test on Demo!

  I let you know if I make any improvements.

  Thank You

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  bullbear

  

  GraHal

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  11/24/2019 at 2:43 PM #113502
  Lifen

  Hi Bullbear,

  Very interesting system, thanks for sharing. Have you tried similar algo for short positions ?

  I will run it in demo and let you know if I find any solution to improve it !

  

  Lifen

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  11/24/2019 at 6:51 PM #113512
  bullbear

  @Lifen

  I did a similar for short positions.

  Uses the same trailing as for long positions with the same settings.

  All in order not to over-optimize.

  It doesn’t look very funny, but still it makes 136 € in 10 days.

  Think it is next to impossible to manage to get an algo with such a short TF.

  You probably have to optimize about it very often if you are going to make it work.

  Will run it on demo for the week to com.

  Who knows the two might complement each other?

  You should probably not have too high hopes 🙂

  DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[70](close) indicator2 = Average[80](close) c1 = (indicator1 CROSSES UNDER indicator2) indicator100 = close indicator101 = Supertrend[4,11] c100 = indicator100 > indicator101 IF c1 and c100 THEN sellshort 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 17// 20trailing will start @trailinstart points profit trailingstep = 5// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 17

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  DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[70](close) indicator2 = Average[80](close) c1 = (indicator1 CROSSES UNDER indicator2) indicator100 = close indicator101 = Supertrend[4,11] c100 = indicator100 > indicator101 IF c1 and c100 THEN sellshort 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 17// 20trailing will start @trailinstart points profit trailingstep = 5// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 17

   

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  bullbear

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  11/24/2019 at 11:37 PM #113523
  Lifen

  @bullbear

  Thanks for the code for short position. I will run long and short algo in demo for the coming Week and will see if we can make any improvements.

  Will keep you informed. Should be better if we would have a higher TF but who knows…

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  Nicolas

  

  Lifen

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  11/25/2019 at 3:56 PM #113555
  bullbear

  Did a 3 min DAX algo instead of getting some more data to do backtest on.

  WF is also made.

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  bullbear

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  11/25/2019 at 4:04 PM #113558
  bullbear

  Long

  DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[10](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2) indicator100 = close indicator101 = Supertrend[7,1] c100 = indicator100 > indicator101 IF c1 and c100 THEN BUY 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 19// 20trailing will start @trailinstart points profit trailingstep = 1// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 24

  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

  DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[10](close) indicator2 = Average[50](close) c1 = (indicator1 CROSSES OVER indicator2) indicator100 = close indicator101 = Supertrend[7,1] c100 = indicator100 > indicator101 IF c1 and c100 THEN BUY 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 19// 20trailing will start @trailinstart points profit trailingstep = 1// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 24

  Short

  //------------------------------------------------------------------------- // Main code : MySystem(30) //------------------------------------------------------------------------- DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[70](close) indicator2 = Average[100](close) c1 = (indicator1 CROSSES UNDER indicator2) indicator100 = close indicator101 = Supertrend[7,13] c100 = indicator100 > indicator101 IF c1 and c100 THEN sellshort 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 20// 20trailing will start @trailinstart points profit trailingstep = 17// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 44

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  //------------------------------------------------------------------------- // Main code : MySystem(30) //-------------------------------------------------------------------------   DEFPARAM CumulateOrders=false defparam flatbefore =090000 defparam flatafter = 180000 // Conditions to enter long positions indicator1 = Average[70](close) indicator2 = Average[100](close) c1 = (indicator1 CROSSES UNDER indicator2) indicator100 = close indicator101 = Supertrend[7,13] c100 = indicator100 > indicator101 IF c1 and c100 THEN sellshort 1 CONTRACT AT MARKET endif //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 20// 20trailing will start @trailinstart points profit trailingstep = 17// 5trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF set stop ploss 44

   

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  bullbear

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