Dax adaptable strategy Breackout/Mean reversion

• 05/15/2017 at 12:03 AM #35519
  noisette

  Thank you for code.

  I found a little bit better result with:

  • max size for stop loss
  • different values for adxval and atrmin between morning and afternoon (US open time 2:30PM or 3:30pm).

  Regards

  

  noisette

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  05/15/2017 at 12:09 AM #35520
  Francesco78

  Thanks a lot Noisette, what do you mean by max size for stop loss?

  

  Francesco78

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  05/15/2017 at 7:51 AM #35531
  noisette

  Sorry, I mean max value fo stop loss.

  Try to add:

  If pl > xxx then

  Pl = xxx

  Endif

  Best value for xxx seems to be around 80~85 points.

  Regards.

  

  noisette

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  05/15/2017 at 9:24 AM #35548
  Nicolas

  My WF analysis has been stucked by the 12 hours limitations .. I should consider reduce the variables values ranges..

  Anyway, @Noisette, could you kindly post here your settings to discuss about? Thanks.

  

  Nicolas

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  05/15/2017 at 11:27 AM #35569
  Francesco78

  Hi Nicolas,

  yes unfortunatley there are a few variables.

  I can suggest this variable ranges:

  ADXVAL [18:28, 2]

  M,N,M1,N1 = [1:4,1]

  k,y [3:10,1]

  atrmin :[15:40,5]

  timestart and timeend I think can be optimized later, they dont have a big impact.

  Hope this help

  

  Francesco78

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  05/15/2017 at 4:12 PM #35610
  kg6450

  @Francesco78 sorry for taking so long to respond, been very busy with work!

  Yes I’ve been running the 30 min and 1hr on my live account and had good results, although I have to admit that I tend to close positions manually when they show a good profit… Although I also run the same systems on my demo account too.

  As for the optimisation are those variables you posted recently the ones to optimise for? I am just trying to understand the logic of the system so I can play around with it, once the volatility has been determined does it simply enter at a multiple of the ATR? What made you think to try a system such as this?

  Once again thanks a lot and great work! 🙂

   

  

  kg6450

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  05/15/2017 at 11:50 PM #35656
  noisette

  Here the modified code:

  • Different values morning vs afternoon
  • Maximum value for stop loss
  • Positions can be stopped later (20h instead of 17h30)

  I think that we can add trailing stop (Nicolas code) to improve this code.

  Regards.

  // dax  - IG MARKETS // TIME FRAME 30min // SPREAD 1.0 PIPS DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 070000 DEFPARAM FLATAFTER = 200000 ONCE POSITION =1 timestart = 080000 timeend = 173000 timeenterbefore = time <= timeend timeenterafter = time >= timestart //highvolume = average[30](volume)<=volume// //lowvolume = average[30](volume)>=volume adxperiod =15//15 atrperiod = 17//17 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] //exitafternbars = 1 //// OPTIMIZED VARIABLES///// K = 8 //8 Y = 3 //5 MAXPL = 80 AFTERNOON = 143000 IF TIME < AFTERNOON THEN adxval = AA//20//20 atrmin = BB//27//19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout Z = 1 //1.4 ELSE adxval = CC//26//20 atrmin = DD//22//19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout Z = 1 //0.8 ENDIF m1 = m- Z //1 // low vol coefficient for mean reversion n1 = n// low vol coefficient for breakout pr = K*atr pl = Y*atr IF PL > MAXPL THEN PLL = MAXPL ELSE PLL = PL ENDIF /////////////////////////////////////// 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 POSITION CONTRACTS AT MARKET ENDIF // short IF (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) and timeenterbefore and timeenterafter THEN sellshort POSITION CONTRACTS AT MARKET ENDIF IF TIME > TIMEEND AND LONGONMARKET AND (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) THEN SELL AT MARKET ENDIF IF TIME > TIMEEND AND SHORTONMARKET AND (buyhighvolmeanreverting or buyhighvoltrendy or buylowvolmeanreverting or buylowvoltrendy ) THEN EXITSHORT AT MARKET ENDIF

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  // dax  - IG MARKETS // TIME FRAME 30min // SPREAD 1.0 PIPS DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 070000 DEFPARAM FLATAFTER = 200000   ONCE POSITION =1   timestart = 080000 timeend = 173000   timeenterbefore = time <= timeend timeenterafter = time >= timestart   //highvolume = average[30](volume)<=volume// //lowvolume = average[30](volume)>=volume   adxperiod =15//15 atrperiod = 17//17 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] //exitafternbars = 1   //// OPTIMIZED VARIABLES///// K = 8 //8 Y = 3 //5 MAXPL = 80 AFTERNOON = 143000   IF TIME < AFTERNOON THEN adxval = AA//20//20 atrmin = BB//27//19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout Z = 1 //1.4 ELSE adxval = CC//26//20 atrmin = DD//22//19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout Z = 1 //0.8 ENDIF   m1 = m- Z //1 // low vol coefficient for mean reversion n1 = n// low vol coefficient for breakout pr = K*atr pl = Y*atr   IF PL > MAXPL THEN PLL = MAXPL ELSE PLL = PL ENDIF /////////////////////////////////////// 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 POSITION CONTRACTS AT MARKET ENDIF // short IF (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) and timeenterbefore and timeenterafter THEN sellshort POSITION CONTRACTS AT MARKET ENDIF   IF TIME > TIMEEND AND LONGONMARKET AND (sellhighvolmeanreverting or sellhighvoltrendy or selllowvolmeanreverting or selllowvoltrendy) THEN SELL AT MARKET ENDIF   IF TIME > TIMEEND AND SHORTONMARKET AND (buyhighvolmeanreverting or buyhighvoltrendy or buylowvolmeanreverting or buylowvoltrendy ) THEN EXITSHORT AT MARKET ENDIF

   

  

  noisette

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  05/16/2017 at 7:42 AM #35665
  Nicolas

  @Francesco78

  I ran a 5 iterations Walk Forward analysis yesterday (on 100k bars only) with the variables ranges you gave me (for the 30 minutes version), PFA the results. Even if the equity curve is not steady, the WF study is not so “critical”. Remember that in its current state, the WF tool only give the result of the most profitable OOS settings at the end, it doesn’t mean that other settings wouldn’t have made a more “steady” curve..

  

  Nicolas

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  05/16/2017 at 7:47 AM #35669
  Francesco78

  Thank you very much Noisette will have a look this afternoon.

  Thanks Nicolas for your time spent on the code. Just for my info can you tell me which version of the code you used for the wf? Thanks again

  

  Francesco78

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  05/16/2017 at 8:39 AM #35671
  Nicolas

  I used this one:

  fixed lot+variables names modified

  // dax - IG MARKETS // TIME FRAME 30min // SPREAD 1.0 PIPS DEFPARAM CumulateOrders = False timestart = 080000 timeend = 200000 timeenterbefore = time <= timeend timeenterafter = time >= timestart adxperiod = 14 atrperiod = 14 myADX = adx[adxperiod] atr = AverageTrueRange[atrperiod] //// OPTIMIZED VARIABLES///// profitCoeff = 8 lossCoeff = 5 myprofit = profitCoeff*atr myloss = lossCoeff*atr //adxval = 20 //atrmin = 19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout m1 = m-1 // low vol coefficient for mean reversion n1 = n // low vol coefficient for breakout /////////////////////////////////////// positionlong = 1 // define sixe of long trades positionshort = 1 // define size of short trade 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 = myADX < adxval //define meanreverting environment trendenv = myADX > adxval // define trendy environment //////description of the possible combinations //mean reverting 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 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 //trend following 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 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 myprofit set stop ploss myloss

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  // dax  - IG MARKETS // TIME FRAME 30min // SPREAD 1.0 PIPS   DEFPARAM CumulateOrders = False   timestart = 080000 timeend = 200000   timeenterbefore = time <= timeend timeenterafter =  time >= timestart   adxperiod = 14 atrperiod = 14 myADX = adx[adxperiod] atr = AverageTrueRange[atrperiod]   //// OPTIMIZED VARIABLES///// profitCoeff = 8 lossCoeff = 5 myprofit = profitCoeff*atr myloss = lossCoeff*atr //adxval = 20 //atrmin = 19 m = 3 // high vol coefficient for mean reversion n = 2 //high vol coefficient for breakout m1 = m-1 // low vol coefficient for mean reversion n1 = n // low vol coefficient for breakout   ///////////////////////////////////////   positionlong = 1 // define sixe of long trades positionshort = 1 // define size of short trade   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 = myADX < adxval //define meanreverting environment trendenv = myADX > adxval // define trendy environment   //////description of the possible combinations //mean reverting 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 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   //trend following 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 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 myprofit set stop ploss myloss

   

  

  Nicolas

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  05/16/2017 at 11:49 AM #35697
  Francesco78

  Noisette, I cant run it, can you make a version with only the relevant variables?

  THanks a lot

  

  Francesco78

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  05/16/2017 at 12:21 PM #35700
  noisette

  Ok, I’ll post itf file tonight.

  Please also note that conditions from line 79 to the end don’t modify results if you suppress them.

  Regards.

  

  noisette

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  05/16/2017 at 8:14 PM #35745
  noisette

  Herewith the code without the last line of the code that don’t improve strategy.

  

  noisette

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  05/16/2017 at 8:30 PM #35748
  Francesco78

  Thanks Noisette!

  

  Francesco78

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  05/18/2017 at 11:34 AM #35977
  Francesco78

  kg6450

  Sorry for the late reply.

  As for the optimisation are those variables you posted recently the ones to optimise for? 

  yes that’s correct

  I am just trying to understand the logic of the system so I can play around with it, once the volatility has been determined does it simply enter at a multiple of the ATR?

  yes that’s correct, ATR is the measure of volatility that I like to use in my codes

  What made you think to try a system such as this?

  Honestly in this case is just logic, I wanted to create a system that could work on both mean reverting and trendy market so I just split my scenario in 2 parts depending on the ADX indicator that measure the trendiness of the market. As far as the ATR, I think in general it is very useful to smoothen the curve when you define your position size as inverse function of the ATR, so the system will automatically reduce the position in case of high volatility and viceversa.

  

  Francesco78

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