Dax adaptable strategy Breackout/Mean reversion

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04/24/2017 at 9:16 PM #33249 quote

StantonR
Participant

Senior

Please could somebody explain this to me.

Is this minimum 2 contracts or 1 contract per point.

Capture2.jpg

04/24/2017 at 10:43 PM #33253 quote

GraHal
Participant

Master

I would interpret it as minimum 2 contracts @ £1 per point.

04/24/2017 at 10:47 PM #33254 quote

StantonR
Participant

Senior

It’s strange because I am running a dax strategy live that trades 1 contract but when I trade manually I have to enter minimum 2 contracts. Must be a glitch in ig / pro real time connection. Happy glitch I am not complaining.

04/25/2017 at 11:40 AM #33310 quote

Francesco78
Participant

Master

have done some more work on this code, I noticed that the strategy was poor when ATR (or VOl) was low, so I thought to make a position sizing inversely proportional to the ATR.

Furthermore I created 2 scenarios,

1 ATR is bigger than x

2 ATR is smaller than x

Now the curve in the 1hr case looks steeper and smoother.

I attach the results.

Regards

GraHal, victormork and Nicolas thanked this post

Dax1hrMNandBreakv2-1.itf dax_1hr-2.png

04/27/2017 at 5:59 PM #33716 quote

Francesco78
Participant

Master

I have incorporated seasonality factor from Pathfinder Dax

Here are the results and the code

Regards

Francesco

reb and Nicolas thanked this post

Dax1hrMNandBreakv2withseas-1.png Dax1hrMNandBreakwithseas.itf

04/27/2017 at 6:41 PM #33725 quote

Nicolas
Keymaster

Legend

Thank you Francesco, new ideas are always refreshing!

05/02/2017 at 5:17 PM #34291 quote

Cosmic1
Participant

Senior

Hey Francesco, following on from our discussion on your strategies page.

I tried the code you pasted on 200k units but the same story as 30min. Classic curve fitted picture. I’m not a fan of the seasonal code, especially splitting the months in to two parts but will keep it in there for testing.

I will try to make some time to run an IN/OUT sample on your variables on 200k and let you know the results soon.

Henrik thanked this post

adaptable.jpg

05/02/2017 at 5:23 PM #34294 quote

Francesco78
Participant

Master

Thanks a lot Cosmic1 for your follow up. Very kind of you to do the test on 200k bars.

There are a few variables in the code so I was expecting curve fitting to a higher then necessary degree.

I hope further discussion could help in finding ideas that decrease the amount of fine tuning and maybe we could come up with a more general framework.

Regards.

Francesco

05/02/2017 at 6:57 PM #34305 quote

Nicolas
Keymaster

Legend

Avoid overfitting:

Develop, code and tune your idea on 70% of the history. If it looks ok, do a final backtest on the last 30% of the history. IS/OOS should be your best companion 🙂

EDIT: By looking twice on the screenshot Cosmic1 provided, the final look of the equity curve depends a lot of when you start the backtest. Your strategy didn’t loose so much in the past, so please don’t throw this idea to garbage! 🙂

Francesco78 thanked this post

05/02/2017 at 9:46 PM #34348 quote

Cosmic1
Participant

Senior

I agree 70/30 IN/OUT sample is your best friend.

I also agree not to bin it as some modifications could work here. It’s certainly worth a try.

I tried a quick IN/OUT on adxval, atrmin, m, and n. This did not work too well but I have to admit this is a quick and dirty test before jumping in to the code to fully understand everything about it.

Francesco, you will have a better understanding on what will and wont work. Can you try on 100k units but IN/OUT sample? Let me know if anything works for you? Then I can run a similar approach to 200k…

Francesco78 thanked this post

05/02/2017 at 9:49 PM #34349 quote

Francesco78
Participant

Master

Absolutely Cosmic1, will work on it tomorrow afternoon. At your disposal for any question about the code.

Best

Francesco

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05/03/2017 at 1:51 PM #34418 quote

Francesco78
Participant

Master

Cosmic1,

I have tun a wf test 70/30 for 5 windows.

the results are quite good for the 100,000 bar case as far I understand as all the WF efficiency are well above 50%

I attach the results.

Maybe this strategy just doesnt work before 2014, but in this market I think it makes sense.

Please let me know your thoughts about it.

GraHal thanked this post

wfresults.png

05/03/2017 at 1:54 PM #34421 quote

Francesco78
Participant

Master

and the equity line..

wfchart.png

05/03/2017 at 3:30 PM #34443 quote

Francesco78
Participant

Master

I have also tried with EURUSD, the results are less good but still accettable.

Attached.

Regards

Francesco

eurusdwf_2.png eurusdwf_2-1.png

05/03/2017 at 3:31 PM #34447 quote

Francesco78
Participant

Master

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eurusdwf_1.png
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