Dax adaptable strategy Breackout/Mean reversion

Francesco78 · Sat, 22 Apr 2017 16:39:09 +0000

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

This topic has 82 replies, 13 voices, and was last updated 3 years ago by xburrex.

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05/03/2017 at 9:34 PM #34479

Cosmic1

Hi, busy day today. Haven’t had a chance to take a look at 200k. Equity curve looks very similar to the original…

Are any of your WF OOS variables hitting your optimisations min and max values?

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05/03/2017 at 9:40 PM #34480

Francesco78

Hi Cosmic, unfortunately I did not take note of the optimized variables of the wf test and it took few hours to run it. Im going to check again but Im travelling until tuesday. Maybe I could work on it tomorrow afternoon.

Regards

Francesco

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05/03/2017 at 10:33 PM #34485

Cosmic1

No worries. You can drag those results to an excel spreadsheet. It does not drag the variables used though. You have to input those manually to Excel for each OOS sample. Just hover over the x with your mouse.

Also best to take a screen shot of your optimise window so you know what you were optimising and the min and max variables you were using for them.

I tend to run 1 pass at 70/30 to begin with especially for the bigger time frames / limited amount of trades.

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05/06/2017 at 8:05 AM #34666

volpiemanuele

Hi,

very interesting strategy. Please can you indicate the latest version, with the indication of the best TF, in order to try to develope it in other instruments ?

Thanks

volpiemanuele

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05/06/2017 at 12:51 PM #34695

Francesco78

Hi Emanuele,

thank you for your interests in the strategy.

Sure, I attach the latest 2 version on the DAX. TIme frame 1hr and 30 mins.

I have added stoplosses and profit taking, that are optimized on the basis of a multiplier to the ATR.

Would be extremely good to know if the strategy could work on other instruments, I had a look to EUR/USD with nice results, FTSE100 and CAC40 too might be promising .

Regards

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Paris

Francesco78

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05/06/2017 at 3:56 PM #34715

volpiemanuele

Grazie Francesco,

testero’ la strategia e provero’ su altri strumenti. Sono italiano rispondo solo questa volta in italiano e seguiranno commenti in inglese a supporto di tutti.

Grazie

volpiemanuele

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05/06/2017 at 5:26 PM #34720

Francesco78

Grazie a te! Speriamo che esca fuori qualcosa di interessante!

Francesco78

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05/08/2017 at 1:03 PM #34817

volpiemanuele

hi,

You also have a version without seasonality. I wanted to make tests with only one contract and then evaluate the introduction of seasonality or something else. If you do not have the season-free version I can change it. Thank you

volpiemanuele

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05/08/2017 at 9:26 PM #34871

Francesco78

There you go. I dont know if the optimizaiton works well also for the case with fixed sizes. Regards

// dax  - IG MARKETS
// TIME FRAME 30min
// SPREAD 1.0 PIPS



DEFPARAM CumulateOrders = False


//DEFPARAM FLATBEFORE = 090000
//DEFPARAM FLATAFTER = 210000


timestart = 080000
timeend = 200000

timeenterbefore = time <= timeend
timeenterafter =  time >= timestart


//highvolume = average[30](volume)<=volume//
//lowvolume = average[30](volume)>=volume

adxperiod = 15
atrperiod = 17
indicator1 = adx[adxperiod]
atr = AverageTrueRange[atrperiod]
//exitafternbars = 1

//// OPTIMIZED VARIABLES/////
k = 8
y = 5
adxval = 20
atrmin = 19
m = 3 // high vol coefficient for mean reversion
n = 2 //high vol coefficient for brekout
m1 = m-1 // low vol coefficient for mean reversion
n1 = n// low vol coefficient for breakout
pr = k*atr
pl = y *atr
///////////////////////////////////////


positionlong = 1//define sixe of long trades
positionshort = 1// define size of short trade
//a=5
lowvolenvironment = atr<atrmin //define lowvol environment use m1 and n1 as coefficient of movement
highvolenvironment = atr> atrmin //define highvol environment use m and n as coefficient of movement
meanrevertingenv = indicator1< adxval //define meanreverting environment
trendenv = indicator1 > adxval// define trendy environment


//////description of the possible combinations
sellhighvolmeanreverting = abs(open-close) > (atr*m) and close > open and meanrevertingenv and highvolenvironment
buyhighvolmeanreverting = abs(open-close) > (atr*m) and close < open and meanrevertingenv and  highvolenvironment
buyhighvoltrendy = abs(open-close) > (atr*n) and close > open and close> DOPEN(1) and trendenv and highvolenvironment
sellhighvoltrendy = abs(open-close) > (atr*n) and close < open and close< DOPEN(1) and trendenv and highvolenvironment
selllowvolmeanreverting = abs(open-close) > (atr*m1) and close > open and meanrevertingenv and lowvolenvironment
buylowvolmeanreverting = abs(open-close) > (atr*m1) and close < open and meanrevertingenv and lowvolenvironment
buylowvoltrendy = abs(open-close) > (atr*n1) and close > open and trendenv and lowvolenvironment
selllowvoltrendy = abs(open-close) > (atr*n1) and close < open and trendenv and lowvolenvironment
////////////////////////////////////////////////////////




//long
IF (buyhighvolmeanreverting or buyhighvoltrendy or buylowvolmeanreverting or buylowvoltrendy )  and timeenterbefore and timeenterafter  THEN
buy positionlong CONTRACTS AT MARKET
ENDIF

if longonmarket and time = timeend then
sell  at market
endif

// short
IF (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) and timeenterbefore and timeenterafter THEN
sellshort  positionshort CONTRACTS AT MARKET
endif

if shortonmarket and time = timeend then
exitshort at market
endif

set target pprofit  pr
set stop ploss pl

// dax - IG MARKETS

// TIME FRAME 30min

// SPREAD 1.0 PIPS

DEFPARAM CumulateOrders = False

//DEFPARAM FLATBEFORE = 090000

//DEFPARAM FLATAFTER = 210000

timestart = 080000

timeend = 200000

timeenterbefore = time <= timeend

timeenterafter = time >= timestart

//highvolume = average[30](volume)<=volume//

//lowvolume = average[30](volume)>=volume

adxperiod = 15

atrperiod = 17

indicator1 = adx[adxperiod]

atr = AverageTrueRange[atrperiod]

//exitafternbars = 1

//// OPTIMIZED VARIABLES/////

k = 8

y = 5

adxval = 20

atrmin = 19

m = 3 // high vol coefficient for mean reversion

n = 2 //high vol coefficient for brekout

m1 = m-1 // low vol coefficient for mean reversion

n1 = n// low vol coefficient for breakout

pr = k*atr

pl = y *atr

///////////////////////////////////////

positionlong = 1//define sixe of long trades

positionshort = 1// define size of short trade

//a=5

lowvolenvironment = atr<atrmin //define lowvol environment use m1 and n1 as coefficient of movement

highvolenvironment = atr> atrmin //define highvol environment use m and n as coefficient of movement

meanrevertingenv = indicator1< adxval //define meanreverting environment

trendenv = indicator1 > adxval// define trendy environment

//////description of the possible combinations

sellhighvolmeanreverting = abs(open-close) > (atr*m) and close > open and meanrevertingenv and highvolenvironment

buyhighvolmeanreverting = abs(open-close) > (atr*m) and close < open and meanrevertingenv and highvolenvironment

buyhighvoltrendy = abs(open-close) > (atr*n) and close > open and close> DOPEN(1) and trendenv and highvolenvironment

sellhighvoltrendy = abs(open-close) > (atr*n) and close < open and close< DOPEN(1) and trendenv and highvolenvironment

selllowvolmeanreverting = abs(open-close) > (atr*m1) and close > open and meanrevertingenv and lowvolenvironment

buylowvolmeanreverting = abs(open-close) > (atr*m1) and close < open and meanrevertingenv and lowvolenvironment

buylowvoltrendy = abs(open-close) > (atr*n1) and close > open and trendenv and lowvolenvironment

selllowvoltrendy = abs(open-close) > (atr*n1) and close < open and trendenv and lowvolenvironment

////////////////////////////////////////////////////////

//long

IF (buyhighvolmeanreverting or buyhighvoltrendy or buylowvolmeanreverting or buylowvoltrendy ) and timeenterbefore and timeenterafter THEN

buy positionlong CONTRACTS AT MARKET

ENDIF

if longonmarket and time = timeend then

sell at market

endif

// short

IF (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) and timeenterbefore and timeenterafter THEN

sellshort positionshort CONTRACTS AT MARKET

endif

if shortonmarket and time = timeend then

exitshort at market

endif

set target pprofit pr

set stop ploss pl

Francesco78

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05/11/2017 at 2:30 PM #35213

kg6450

This is such a great strategy, I have been running it for a while now and I really like the look of it.

It is really interesting because it takes one direction in the morning, and when that is in profit it somehow reverses the position the otherway and takes profit in that direction too.

Has anyone tried optimising it for other indices like FTSE or DOW? I am currently at work at the moment but when I get home I will see what results I can get on those.

Once again great work @Francesco78 !!

2 users thanked author for this post.

reb,

Francesco78

kg6450

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05/11/2017 at 2:54 PM #35220

Francesco78

Thank you kg6450! 🙂

Out of curiosity, have you run any of the version in real account?

Best

Francesco

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Nicolas

Francesco78

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05/12/2017 at 8:01 PM #35358

Nicolas

Thanks a lot Francesco for your work to improve this strategy. I’d like to help and might have a look at your code this week-end.

Nicolas

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05/12/2017 at 8:10 PM #35359

Francesco78

Thanks a lot Nicolas,that’s very kind of you.

Regards

Francesco

Francesco78

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05/13/2017 at 1:48 PM #35412

Nicolas

I made cleanup in the code for my understanding. Just launched a walk forward optimisation through 200k bars on the variables that should be adjusted overtime IMO. So your assumption about mean reverting, for a long order for instance, is : a low volatility (ATR) + no trend (with ADX criteria) and the actual candlestick is bearish?

Nicolas

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05/13/2017 at 2:57 PM #35428

Francesco78

Salut Nicolas, thanks a lot for your support.

Yes that is correct . But to be precise, I have define two vols scenarios. In both case the strategy is the same ( mean reverting or breakout depending on the adx) but in the 2 cases the condition to enter into a trade differs in the sense that the multiplier are differents. M and N in case of high vol and m1 and n1 in case of low vol.

I hope I calrified.

Regards

Francesco

Francesco78

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