DAX 5 min long+short

Barney · 2017-11-15T14:38:13+00:00

Has made a simple code for DAX 30 which runs between 09:00 and 17:20. According to the 100k backtest, is looks ok.. It would be interesting to see a 200k backtest on it 🙂 Spread 1p. DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 090000 DEFPARAM FLATAFTER = 172000 // Conditions to enter long positions indicator1 = BollingerDown[19](close) c1 = (close = indicator10) indicator20 = Stochastic[14,3](close) c20 = (indicator20 CROSSES OVER 70) IF c10 AND c20 THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Stops and targets SLL = 27 TPL = 14 if longonmarket then SET STOP pLOSS SLL sET TARGET pPROFIT TPL ENDIF SLS = 30 TPS = 10 if SHORTonmarket then SET STOP pLOSS SLS sET TARGET pPROFIT TPS ENDIF

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11/24/2017 at 2:13 PM #53851 quote

T-rader
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Hey Jebus!
It´s acting different when you change your time settings because the indicators are based on what happens between 09:00 and 17:30. I don´t want to add the data for the first hour Dax is open or even less 00:00-00:00 because it messes upp the indicators accordning to me.
Thanks for working on it. The R/R ratio isn´t the greatest but with enough wins it seems to work. Do you mind posting the 200k backtest?
Cheers

11/24/2017 at 2:36 PM #53858 quote

jebus89
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Master

Hey T-rader, aha of course! That explains the difference in win/loss 🙂 Im also going to try different sort of trail stops, might help with the R/R because you might be able to have a higher profit target for those trades that go further than 10pips, if your able to keep the winrate 🙂 Have you tried anything like that?Also, you have run this since may 2016? No changes been made? have you tried it on other markets?

Edit: Added photo, dummy variable 10 periods 70/30 wfa. No changes made to the algo

aroon.png

11/24/2017 at 3:15 PM #53864 quote

T-rader
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Average

Thanks for the 200k backtest!
That´s a good idea maybe tp 20-30 and a tight trailing stop? I´ve been trying with an atr sl and tp but It dosent get anny better than with sl20 and tp10.
I´ve been running it live since may 2017.
To be honest I haven´t spend alot of time with this system since my “thing” is 1-4h systems. Haven´t tried it on other markets. Dax is easiest of the indices because of the high volatility and low spread.
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