Dax 30mn – Kama Supertrend Opening

• 11/21/2019 at 9:02 AM #113163
  BobFlynn

  Hello guys,

  I’ve been on this forum for a few weeks now, and I’m really grateful to be part of this community. I feel it’s now time for me to contribute as I can.

  So I’ve decided to share with you this short idea, basically it takes position only in the first few hours of cash market.

  Using SuperTrend and KAMA to filter entries, and trailstop with another (faster) Supertrend.

  It is just a draft yet, looking forward to your inputs and ideas on how to make it better.

  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" // DEFPARAM FLATAFTER = 220000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 113000 timeEnterAfter = time < noEntryAfterTime IF (CurrentTime = 090000) THEN OpeningPrice = Open[0] ENDIF /// --- MONEY MANAGEMENT //Capital = 350 //Risk = 0.0714 //StopLoss = 50 // Could be our variable X //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs((maxrisk/StopLoss)/PointValue) PositionSize = 1 /// ---------------------------------- Indicators ------------------------------------- /// iMACD1850 = MACDline[18,50,9](close) signal1850 = ExponentialAverage[9](iMACD1850) iSuperTrend = SuperTrend[3,17] kama = CALL "KAMA 50"[50, 2, 30] iVolatStop = SuperTrend[2,15] //LongStop = close[1] - (iATR[1] * 2) //ShortStop = close[1] - (iATR[1] * 2) iATR = AverageTrueRange[20](close) multiplicatorATR = 1.2 /// ---------------------------------------------------------------------------------- /// /// --- LONG ENTRY PRICE DEF BullishOpening = (OpeningPrice > kama) AND (OpeningPrice > iSuperTrend) PriceBelowKamaST = (close < kama) AND (close < iSuperTrend) IF BullishOpening THEN LongEntryPrice = OpeningPrice + (multiplicatorATR*iATR) ENDIF IF PriceBelowKamaST THEN LongEntryPrice = iSuperTrend ENDIF ///------------------------------------------------------------------/// /// --- SHORT ENTRY PRICES PriceAboveKamaST = (close > kama) AND (close > iSuperTrend) BearishOpening = (OpeningPrice < kama) AND (OpeningPrice < iSuperTrend) IF BearishOpening THEN ShortEntryPrice = OpeningPrice - (multiplicatorATR *iATR) ENDIF IF PriceAboveKamaST THEN ShortEntryPrice = iSuperTrend ENDIF /// -------------------------------- /// OpenLong = (iMACD1850 > signal1850) AND PriceBelowKamaST OpenShort = (iMACD1850 < signal1850) AND PriceAboveKamaST /// BUY IF OpenLong AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF IF BullishOpening AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF SELL AT lowOpen STOP SELL AT iVolatStop STOP /// SELL IF OpenShort AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF IF BearishOpening AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF EXITSHORT AT highOpen STOP EXITSHORT AT iVolatStop STOP SET STOP pLOSS iATR*2.5 // TRAILING //////////////////////////////////////////////////////////

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  // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" // DEFPARAM FLATAFTER = 220000   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 113000 timeEnterAfter = time < noEntryAfterTime   IF (CurrentTime = 090000) THEN OpeningPrice = Open[0] ENDIF   /// --- MONEY MANAGEMENT //Capital = 350 //Risk = 0.0714 //StopLoss = 50 // Could be our variable X   //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs((maxrisk/StopLoss)/PointValue)   PositionSize = 1 /// ---------------------------------- Indicators ------------------------------------- /// iMACD1850 = MACDline[18,50,9](close) signal1850 = ExponentialAverage[9](iMACD1850) iSuperTrend = SuperTrend[3,17] kama = CALL "KAMA 50"[50, 2, 30] iVolatStop = SuperTrend[2,15] //LongStop = close[1] - (iATR[1] * 2) //ShortStop = close[1] - (iATR[1] * 2) iATR = AverageTrueRange[20](close) multiplicatorATR = 1.2 /// ---------------------------------------------------------------------------------- ///   /// --- LONG ENTRY PRICE DEF BullishOpening = (OpeningPrice > kama) AND (OpeningPrice > iSuperTrend) PriceBelowKamaST = (close < kama) AND (close < iSuperTrend)   IF BullishOpening THEN LongEntryPrice = OpeningPrice + (multiplicatorATR*iATR) ENDIF   IF PriceBelowKamaST THEN LongEntryPrice = iSuperTrend ENDIF     ///------------------------------------------------------------------///   /// --- SHORT ENTRY PRICES PriceAboveKamaST = (close > kama) AND (close > iSuperTrend) BearishOpening = (OpeningPrice < kama) AND (OpeningPrice < iSuperTrend)   IF BearishOpening THEN ShortEntryPrice = OpeningPrice - (multiplicatorATR *iATR) ENDIF   IF PriceAboveKamaST THEN ShortEntryPrice = iSuperTrend ENDIF   /// -------------------------------- ///   OpenLong = (iMACD1850 > signal1850) AND PriceBelowKamaST OpenShort = (iMACD1850 < signal1850) AND PriceAboveKamaST   /// BUY IF OpenLong AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF IF BullishOpening AND timeEnterBefore AND timeEnterAfter THEN BUY PositionSize CONTRACT AT LongEntryPrice STOP lowOpen = low[1] ENDIF SELL AT lowOpen STOP SELL AT iVolatStop STOP   /// SELL IF OpenShort AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF IF BearishOpening AND timeEnterBefore AND timeEnterAfter THEN SELLSHORT PositionSize CONTRACT AT ShortEntryPrice STOP highOpen = high[1] ENDIF EXITSHORT AT highOpen STOP EXITSHORT AT iVolatStop STOP   SET STOP pLOSS iATR*2.5   // TRAILING //////////////////////////////////////////////////////////

   

  

  BobFlynn

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  11/21/2019 at 9:53 AM #113285
  Nicolas

  Hi Bob and thanks a lot for sharing this strategy. In order to complete the review process before sending it into the library, it would be kind of you if you could do some WF testing, is it possible? Thanks again for your contribution to the website which is greatly appreciate! 😉

  

  Nicolas

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  11/21/2019 at 10:09 AM #113287
  BobFlynn

  Hello Nicolas,

  Thanks for your reply. I’ve never run a WF on ProRealTime. Any resources/documentation available to help me with my first one ?

  ( Et bravo pour le site, c’est top ! Belle communauté 🙂 )

  

  BobFlynn

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  11/21/2019 at 10:25 AM #113294
  GraHal

  Is below the Indicator you refer to in your code as KAMA 50 ?

  If No, where is KAMA 50 or has my coffee not worked through yet? 🙂

  https://www.prorealcode.com/prorealtime-indicators/kaufman-adaptive-moving-average-kama/

   

  

  GraHal

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  11/21/2019 at 10:41 AM #113303
  BobFlynn

  Hello Grahal,

  Haha actually I just imported to try the code of this topic : https://www.prorealcode.com/topic/kama-200-2/

  So I don’t know really …

  

  BobFlynn

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  11/21/2019 at 4:22 PM #113328
  Roger

  Hi, I ve added the definition of KAMA50 (i think its the good one)  and its not too bad on DAX 30 minutes

  2 users thanked author for this post.

  BobFlynn, GraHal

  

  Roger

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  11/21/2019 at 7:25 PM #113349
  GraHal

  I get attached over 100k bars with spread = 2.

  I like that losses are cut early and not stay in the trade hoping to finish all good!?

  Be good if we can increase the Gain to Loss ratio.

  

  GraHal

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  11/21/2019 at 9:14 PM #113362
  Razz

  Hello Roger
  Thank you for sharing your trading system. Do you have an explanation why there was movement in the Dax in the gray areas it was not really reflected in the profit? In the areas with the blue line he behaves completely differently?

  Probacktest   100.00 Einheiten , 2 Positionen , Spread 1

  

  Razz

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  11/21/2019 at 9:31 PM #113365
  Roger

  I am on my phone I am not at home tonight but I try to work on it tomorrow.

  What bothers me is the % winning because you lose money most of the time so it is mentally hard.

  This kind of strategy reminds me the popular Breakout cac40 strat and these strategies need big and proper market move to make money. You typically lose money when the market reverses on the same day.

  

  Roger

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  11/21/2019 at 9:47 PM #113367
  Razz

  Thanks for the answer then until tomorrow

  

  Razz

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  11/22/2019 at 8:15 AM #113384
  BobFlynn

  Roger wrote:

  This kind of strategy reminds me the popular Breakout cac40 strat and these strategies need big and proper market move to make money. You typically lose money when the market reverses on the same day.

  Yes Roger, I just learned about London Morning breakout strategy. That’s very similar indeed, what’s funny is that I noticed the pattern myself while live trading. Unfortunately i didn’t find a good way to trail stop the trade… I used MACD crosses, Supertrend, ATR, lowest low… all with no success.

  

  BobFlynn

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  11/22/2019 at 8:32 AM #113386
  jebus89

  @BobFlynn have u tried the different kinds of trailing stop losses from this site? Has helped me alot on multiple strategies.

  

  jebus89

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  11/22/2019 at 9:02 AM #113390
  BobFlynn

  Thanks for your message Jebus. Do you have any useful links ? I think I tried all the basics… but maybe with the wrong parameters so it’s hard to tell.

  

  BobFlynn

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  11/22/2019 at 9:14 AM #113391
  jebus89

  Try these ones, maybe they can help.
  https://www.prorealcode.com/blog/learning/trailing-stop-max-favorable-excursion-mfe/

   

  and

   

  //************************************************************************ // TSL trailing stop function //************************************************************************ //************************************************************************ //trailing stop function trailingstart = 50// 20trailing will start @trailinstart points profit trailingstep = 10// 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 //************************************************************************

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  //************************************************************************ // TSL trailing stop function //************************************************************************     //************************************************************************ //trailing stop function trailingstart = 50// 20trailing will start @trailinstart points profit trailingstep = 10// 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     //************************************************************************

   

  

  jebus89

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  11/22/2019 at 11:33 AM #113401
  Roger

  Attached is a walk forward test. I have randomly chosen some parameters. And its not very good.

  Bobflynn have you already optimized the parameters in the code you have posted ?

  

  Roger

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