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Dax 30mn – Kama Supertrend Opening

BobFlynn · 2019-11-21T08:02:16+00:00

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) BearishOpening = (OpeningPrice 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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Dax 30mn – Kama Supertrend Opening

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11/22/2019 at 12:27 PM #113413 quote

Mauro T. “Algorithm System”
Participant

Master

If it can be useful I did tests with 200k bar with spread = 2.
Looking at the past where it has not been optimized is not bad …. there are no years at a loss.
But only 30% of winnings are for few.

DAX-30-Minuti.png Dax-30M.jpg

11/22/2019 at 12:44 PM #113416 quote

BobFlynn
Participant

Senior

Roger wrote:

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

No optimization on my side Roger.

11/22/2019 at 12:47 PM #113417 quote

BobFlynn
Participant

Senior

Mauro wrote:

But only 30% of winnings are for few.

That’s true, maybe there is a way to filter entries or exits. When i traded it manually, i use to build up the position and close partially. Like open the trade with 1 unit, then add up 0.5 every X multiple ATR.
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Dax 30mn – Kama Supertrend Opening

ProOrder: Automated Strategies & Backtesting

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BobFlynn @bobflynn Participant

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This topic contains 17 replies,
has 7 voices, and was last updated by BobFlynn
6 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	11/21/2019
Status:	Active
Attachments:	10 files

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Dax 30mn – Kama Supertrend Opening

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Dax 30mn – Kama Supertrend Opening ProOrder: Automated Strategies & Backtesting

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Dax 30mn – Kama Supertrend Opening

ProOrder: Automated Strategies & Backtesting