Dax adaptable strategy Breackout/Mean reversion

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Viewing 15 posts - 16 through 30 (of 83 total)
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  • 04/24/2017 at 9:16 PM #33249
    StantonR

    Please could somebody explain this to me.

    Is this minimum 2 contracts or 1 contract per point.

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

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

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

    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
    Francesco78

    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

    3 users thanked author for this post.
    avatar Nicolas, avatar victormork, avatar GraHal
    04/27/2017 at 5:59 PM #33716
    Francesco78

    I have incorporated seasonality factor from Pathfinder Dax

    Here are the results and the code

    Regards

    Francesco

    2 users thanked author for this post.
    avatar Nicolas, avatar reb
    04/27/2017 at 6:41 PM #33725
    Nicolas

    Thank you Francesco, new ideas are always refreshing!

    05/02/2017 at 5:17 PM #34291
    Cosmic1

    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.

    1 user thanked author for this post.
    avatar Henrik
    05/02/2017 at 5:23 PM #34294
    Francesco78

    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
    Nicolas

    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! 🙂

    1 user thanked author for this post.
    avatar Francesco78
    05/02/2017 at 9:46 PM #34348
    Cosmic1

    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…

    1 user thanked author for this post.
    avatar Francesco78
    05/02/2017 at 9:49 PM #34349
    Francesco78

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

    Best

    Francesco

    1 user thanked author for this post.
    avatar Cosmic1
    05/03/2017 at 1:51 PM #34418
    Francesco78

    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.

    1 user thanked author for this post.
    avatar GraHal
    05/03/2017 at 1:54 PM #34421
    Francesco78

    and the equity line..

    05/03/2017 at 3:30 PM #34443
    Francesco78

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

    Attached.

    Regards

    Francesco

    05/03/2017 at 3:31 PM #34447
    Francesco78

    //

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