Dax adaptable strategy Breackout/Mean reversion

Forums › ProRealTime English forum › ProOrder support › Dax adaptable strategy Breackout/Mean reversion

Viewing 15 posts - 1 through 15 (of 83 total)
1 2 3 4 5 6
  • 04/22/2017 at 5:39 PM #32957
    Francesco78

    Dear all

    I have elaborated a little over an  idea originally posted in the forum by Bjoern posted as True Range Breakout EUR/USD.

    I applied to the Dax with the additional feature of switching from a breackout to a mean reversion strategy depending on some optimized value of the ADX indicator.

    The strategy is a breackout strategy when the adx is above a certain value and a mean reverting strategy when ADX value is below that same value.

    I have optimized it on several time frame and the results look quite promising, it would be great if someone think of a better way of discriminate between range trading vs trending phases.  I have used the  popular ADX indicator, but I am sure there are more efficient way to look at phase transictions in market.

    The results for different time frames are attached, together with the 30minutes code.

    Best Regards

    Francesco

    5 users thanked author for this post.
    avatar TheAccountant, avatar GraHal, avatar Henrik, avatar Nicolas
    04/23/2017 at 7:32 AM #32999
    reb

    Hi Francesco

    Your strat seems very interesting.  I see 2 points about it :

    • For the moment there isn’t any SL which can be a bit risky
    • although the strat is active between 8 and 21h, you put a spread of 1pt. It inflates the results a bit. During 8 and 9 / 17h30 and 21, the stread by IG is 2pts

    I ‘ll post a 200K backtest tonight or tom

    Reb

    04/23/2017 at 7:51 AM #33002
    Nicolas

    The strategy has been reviewed and it is now available in the library: https://www.prorealcode.com/prorealtime-trading-strategies/dax-adaptable-strategy-breakoutmean-reversion/

    04/23/2017 at 11:24 AM #33026
    Francesco78

    Thank you Nicolas,

    Reb: Regarding SL I agree they can be set in order to reduce the risk but I decided to avoid SL and Take profit because

    1. the condition to be flat at the end of every trading day is already a good risk mitigant
    2. the back test worsen if I add sl and tp and furthermore will be dependant of 2 more variables, since there are already many variables to be settled through optimization I wanted to limit the risk of overfitting.
    3. I have listened to an interview with the  trader Tomas Nesnidal   https://www.youtube.com/watch?v=X424q0Dv_0g. Apparently his main focus are breakout strategies and he said that in his experience is generally better to set exit strategy at the end of the day than set SL

    Regarding the spreads you are absolutely right.

    Many thanks for your comments and for your help with the 200k backtest

    04/23/2017 at 11:37 AM #33033
    Nicolas

    A wide stoploss to avoid flash crash would probably reassure a lot of people. In France and I think in England too, now when you open a new trading account, you can’t add any order on market without any stoploss.

    04/23/2017 at 12:07 PM #33044
    Francesco78

    I agree Nicolas

    04/23/2017 at 8:47 PM #33107
    victormork

    Hi! Have you tried this strategy on any forex pairs?

    04/23/2017 at 9:13 PM #33109
    Francesco78

    Hello Victor, It works for EUR/USD, I tried USD JPY and GBP USD but no luck for those, would be great if someone could find other suitable currency pair

    Regards

    Francesc

    3 users thanked author for this post.
    avatar victormork, avatar ALE
    04/24/2017 at 6:52 AM #33114
    Elsborgtrading

    I agree with Nicolas. Always use SL- if it breaks your strategy then widen it. It will save you on flash crashes or any other unforeseen marked changes. And again It will also in the end shows your RR and you can decide if it actually a good strategy in the future and not only in back test. A MM is also available to be implemented is SL is set.

    We still are waiting for guaranteed SL in PRT so we can be even more secure.

    Cheers Kasper

    04/24/2017 at 9:43 AM #33133
    Maz

    In production environment I would rarely have the same bot look for longs and shorts. If a strategy looks for both longs and shorts it is divided into a long and short sub-version. In the case of this system it would solve the stop-loss problem.

    Whilst the long version might go long and stay long during a crash, the short version would have found a short entry soon after increase of downward momentum. So overall you would have been market-neutral (net-zero) exposed for the remainder of the day.

    All the best,

    Maz

    2 users thanked author for this post.
    avatar Francesco78, avatar manel
    04/24/2017 at 9:57 AM #33136
    Francesco78

    Thanks Maz, I see what you mean and it sounds very clever.

    04/24/2017 at 5:26 PM #33214
    reb

    Here is Francesco

    04/24/2017 at 5:38 PM #33222
    Francesco78

    Thanks a lot Reb!

    Looks like is a specific strategy for the last couple of years..

    Francesco

    04/24/2017 at 9:00 PM #33246
    StantonR

    HI All

    Awesome strategy really like it. Just one question is the minimum contract size for dax not 2 on the IG network?

     

     

    04/24/2017 at 9:07 PM #33248
    Francesco78

    Thank you StantonR, glad that you liked it! No here where I trade (italy) the minimum size is 1 per point…

  • Author
    Posts
Viewing 15 posts - 1 through 15 (of 83 total)
1 2 3 4 5 6

Find exclusive trading pro-tools on ProRealCode Marketplace

Similar topics:
ndq mean reversion 5 min strategy
discuss the “late lunch strade dax40 strategy”
display of dax we data on dax weekly chart
late lunch trade dax40 strategy
5m ustech 100 strategy
bollinger+fractal strategy idea
changes to weekly reversal fx strategy
classic macd 200ema strategy
coding of a trend following strategy with pullback counter
combined mean strategies

Create your free account now and post your request to benefit from the help of the community
Register or Login