Dax 5 minute RSI extreme Strategy Feedback Please

• 01/25/2020 at 6:57 PM #117824
  DrChips

  Hi all,

  Newbie here with creating PRT strategies and would really welcome feedback on my first effort.

  I am developing a strategy for 5 minute candles on DAX.

  The concept is such:

  1. Price makes an extreme RSI reading (Less than 20; Greater than 80)
  2. Price subsequently closes beyond 21ma (Above for long; below for short)
  3. Order is placed 2 pips beyond high/low of candle which closed beyond 21ma
  4. Stop is at the entry candle high/low
  5. Target = 2*stop distance

  Code below and screenshots of results attached. Results use a risk of 1% with compounding.

  Would really appreciate a critical review to determine if this is worth pursuing?

  Many thanks

  Chip

  //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups //Setting stops and targets stoplongpoints = longentryprice - low stopshortpoints = high - shortentryprice targetlongpoints = stoplongpoints*2 //RR for long trades can be set here targetshortpoints = stopshortpoints*2 //RR for short trades can be set here //Detecting RSI extreme If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif //Detecting close beyond 21 If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif If close < ma21 then //As above for short mylongsetup = 0 endif //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif // Money Management Capital = 10000 Risk = 0.01 If mylongsetup = 1 then stoploss = stoplongpoints endif If myshortsetup = 1 then stoploss = stopshortpoints endif //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //Entry conditions IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY positionsize lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort positionsize lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

  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 66 67 68 69 70 71 72 73 74 75 76 77

  //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles     Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups   //Setting stops and targets stoplongpoints = longentryprice - low stopshortpoints = high - shortentryprice targetlongpoints = stoplongpoints*2 //RR for long trades can be set here targetshortpoints = stopshortpoints*2 //RR for short trades can be set here     //Detecting RSI extreme   If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif   If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif   //Detecting close beyond 21   If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif   If close < ma21 then //As above for short mylongsetup = 0 endif   //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif     // Money Management Capital = 10000 Risk = 0.01   If mylongsetup = 1 then stoploss = stoplongpoints endif   If myshortsetup = 1 then stoploss = stopshortpoints endif   //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   //Entry conditions   IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY positionsize lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif   IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort positionsize lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

   

  

  DrChips

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  01/25/2020 at 7:35 PM #117830
  Francesco

  200k backtest, take a look.

  

  Francesco

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  01/25/2020 at 7:58 PM #117836
  GraHal

  Hey looks good esp for  a first attempt and doesn’t blow the Account on OOS Test (over the 1st 100k bars provided by Francesco).

  Looks like it has a bias towards a rising market, but even so it holds up (no big losses) in that downtrend end June 19 to late Aug 19.  Might just need re-optimising as / when  the market turns down?

  I’m going to try it on my Platform

  Thank You for sharing

  

  GraHal

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  01/25/2020 at 9:34 PM #117840
  GraHal

  Mmm … attached is what I get Lot size = 1 … and I didn’t get same as you anyway even with Lot Size same as you had it?

  I can’t think why my results are different than yours? I’ve only had 2 stubby bottles of beer! 🙂

  It’s always best to get a System running as best you can with Lot Size = 1 as compounding can hides problems

  

  GraHal

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  01/26/2020 at 12:14 AM #117844
  deletedaccount100622

  Hi @DR Chips

  My initial thought is that the numbers of contracts traded are scary and looking at IG.com if you had the stomach for 100+ contracts you system would not have the margin based on the starting capital

  Based on my own RSI systems I would suggest trading the EU session only as the spreads are closer along with more volume

  I am currently having a play with your code but I would suggest looking at the code here: https://www.prorealcode.com/prorealtime-trading-strategies/grinder-eurusd-5-min-intraday-trading-strategy/ it is similar to yours but adds in a trend filter and is a solid basis across multiple time frames and products

  Systems are always worth pursuing as producing them is always a learning experience and any system should be run on a demo account so that you can have an indication as to how it will perform in real life as opposed to a back test and have  a feel for it before risking any actual cash

  

  deletedaccount100622

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  01/26/2020 at 1:40 AM #117846
  deletedaccount100622

  Dr Chips RSI RB Editv1

  //UK CodeFIN 1 candle delay DEFPARAM FLATBEFORE = 080000 DEFPARAM FLATAFTER = 163000 //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups //Setting stops and targets stoplongpoints = 20 stopshortpoints = 10 targetlongpoints = 80 targetshortpoints = 20 //Detecting RSI extreme If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif //Detecting close beyond 21 If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif If close [1] < ma21 then //As above for short myshortsetup = 0 endif //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif // Money Management //Capital = 10000 //Risk = 0.01 // //If mylongsetup = 1 then //stoploss = stoplongpoints //endif // //If myshortsetup = 1 then //stoploss = stopshortpoints //endif //Calculate contracts //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //Entry conditions IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY 1 lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort 1 lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

  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 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83

  //UK CodeFIN 1 candle delay DEFPARAM FLATBEFORE = 080000 DEFPARAM FLATAFTER = 163000     //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles     Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups //Setting stops and targets stoplongpoints = 20 stopshortpoints = 10 targetlongpoints = 80 targetshortpoints = 20 //Detecting RSI extreme If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif //Detecting close beyond 21 If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif If close [1] < ma21 then //As above for short myshortsetup = 0 endif //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif // Money Management //Capital = 10000 //Risk = 0.01 // //If mylongsetup = 1 then //stoploss = stoplongpoints //endif // //If myshortsetup = 1 then //stoploss = stopshortpoints //endif //Calculate contracts //equity = Capital + StrategyProfit //maxrisk = round(equity*Risk) //PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //Entry conditions IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY 1 lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort 1 lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

   

  Hi @Dr Chips

  In your original code line 38 appears to have mylongsetup repeated rather than myshortsetup

  The code above is a bit over optimised but it’s nearly midnight so please forgive me

  Looking at your results I have changed the system to only trade in the EU session (Lines 1+2) and worked on the stops and take profits (lines 18-21), the attachments compare the original code to the code inserted above

  Besides the EU session change one thing I noticed but haven’t got into yet is the timings of the trades, if you look at the opening and closing times of the trades it appears that trade 1 will open and close either with profit or loss then the system waits 5-10 minutes and then trade 2 is placed and so on. This happens with codes that have a prevailing condition in this system the RSI property and can cause several consecutive losses

  I also added a delay on line 40 of the above code to short positions

  One of the things that I need to do is to put together a video of taking some code and working on it and fully testing it, if it is okay with you then I could do that for this code?

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  GraHal

  

  deletedaccount100622

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  01/26/2020 at 10:59 AM #117863
  DrChips

  Morning all,

  Really appreciate your comments and responses here.

  Grahal – I wouldn’t know either why your results are different I’m afraid… as I said, I’m very much a newbie! So even without the beers I’m still struggling to get my head around things!!

  Robo Futures Trader – thanks very much for your input on things. I’m going to take some time later to properly read through what you have done here (and do a fair amount of googling to explore further) but yes do please feel free to use as an example for a video – that would be really helpful, thank you!

  Many thanks all

  Chip

   

  

  DrChips

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  01/26/2020 at 11:07 AM #117864
  DrChips

  Just had a quick look re your point about the duplication on line 38 @Robo Futures Trade

  Yup, this is an error! Have changed this and reposting my (now correct) original code and results below for reference.

  //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups //Setting stops and targets stoplongpoints = longentryprice - low stopshortpoints = high - shortentryprice targetlongpoints = stoplongpoints*2 //RR for long trades can be set here targetshortpoints = stopshortpoints*2 //RR for short trades can be set here //Detecting RSI extreme If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif //Detecting close beyond 21 If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif If close > ma21 then //As above for short myshortsetup = 0 endif //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif // Money Management Capital = 10000 Risk = 0.01 If mylongsetup = 1 then stoploss = stoplongpoints endif If myshortsetup = 1 then stoploss = stopshortpoints endif //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) //Entry conditions IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY positionsize lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort positionsize lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

  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 66 67 68 69 70 71 72 73 74 75 76 77

  //Defining variables ma21 = average [21] (close) Shortentryprice = low - 2 //Entries taken when low of prior candle is surpassed Longentryprice = high + 2 //Entries taken when high of prior candle is surpassed myrsi = RSI [14] (close) lowestrsi = lowest [20] (myrsi) //Sets to lowest RSI reading for past 20 candles highestrsi = highest [20] (myrsi) //Sets to highest RSI reading for past 20 candles     Mylongsetup= 1 //This variable is used to determine if a long trade is entered; if set to 0 an entry will not occur Myshortsetup = 1 //As for above for short setups   //Setting stops and targets stoplongpoints = longentryprice - low stopshortpoints = high - shortentryprice targetlongpoints = stoplongpoints*2 //RR for long trades can be set here targetshortpoints = stopshortpoints*2 //RR for short trades can be set here     //Detecting RSI extreme   If lowestRSI > 20 then //Cancels long entry by setting mylongsetup to 0 if lowest RSI reading for past 20 candles > 20. I.e. there has been no extreme mylongsetup = 0 endif   If highestrsi < 80 then //As above but for an extreme of above 80 on RSI myshortsetup = 0 endif   //Detecting close beyond 21   If close < ma21 then //Cancels long entry if close beyond 21 hasn't occured. mylongsetup = 0 endif   If close > ma21 then //As above for short myshortsetup = 0 endif   //Don't take at end of the week If currentdayofweek = 5 AND currenttime = 215500 then mylongsetup = 0 myshortsetup = 0 endif     // Money Management Capital = 10000 Risk = 0.01   If mylongsetup = 1 then stoploss = stoplongpoints endif   If myshortsetup = 1 then stoploss = stopshortpoints endif   //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)   //Entry conditions   IF NOT LongOnMarket AND mylongsetup = 1 THEN BUY positionsize lot AT longentryprice stop set stop ploss stoplongpoints set target pprofit targetlongpoints endif   IF NOT shortOnMarket AND myshortsetup = 1 THEN sellshort positionsize lot AT Shortentryprice stop set stop ploss stopshortpoints set target pprofit targetshortpoints endif

   

   

   

  

  DrChips

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  01/26/2020 at 11:55 AM #117870
  GraHal

  Why are you not showing Lot size under your equity curves?

  Position size is needed else it is only half a story.

  It be sooo much better if you delete the RSI Chart and add back in the positions Chart.

  An average gain of £22.45 does not mean much unless we know how many open positions we need to lose sleep over!? 🙂

   

  

  GraHal

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  01/26/2020 at 3:02 PM #117895
  DrChips

  Like this?

   

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  GraHal

  

  DrChips

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  01/26/2020 at 3:52 PM #117908
  GraHal

  Yeah that’s it thank you.

  We can now see how much stress there would be to make £10K ish profit (£7.6k to date) over 18 months.

  

  GraHal

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  01/26/2020 at 10:58 PM #117962
  Vonasi

  It seems like a simple strategy but in reality there are fourteen possible variables that can be optimised that cover the following areas:

  • Time
  • Periods for indicators
  • Levels
  • Order levels
  • Stop loss and take profit distances

   

  As it is on a five minute time frame that leaves us with a not very big data sample and a big possibility of curve fitting due to so many variables. I would try optimising each variable independently to see how quickly the strategy falls apart with different values for each of them and then when you spot which variables have the biggest effect then test combinations of them.

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  DrChips

  

  Vonasi

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  02/01/2020 at 1:19 PM #118422
  DrChips

  Thanks for the advice @vonasi

  

  DrChips

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  08/03/2020 at 10:15 AM #140713
  bertrandpinoy

  hello Dr Chips, hope you are in a good shape, how does the strategy work now? do you have any improvement for eur / usd use? cordially

  

  bertrandpinoy

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  08/03/2020 at 8:12 PM #140790
  VinzentVega

  bertrandpinoy wrote:

  hello Dr Chips, hope you are in a good shape, how does the strategy work now? do you have any improvement for eur / usd use? cordially

  The code from the first postig doesn´t work on my desk. The result from my backtest.

  

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