Dax adaptable strategy Breackout/Mean reversion

• 06/01/2017 at 7:52 AM #37185
  noisette

  Hello,

  I didn’t saw before but short positions are more profitable than long positions. Do you find same results?

  I tried to add stoploss at breakeven but results are not much better.

  Good point is that demo and backtest results are more or less the same.

  I’ll try to code automatic closing position after x candles because i have the impression that most of the point are win during the first candles.

  Regards.

  

  noisette

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  06/04/2017 at 9:18 AM #37367
  kg6450

  Hi Noisette, I also found that the results for the backtest and live are more or less the same too. Also short positions tend to be more profitable too.

  Have you tried to optimise this strategy for other markets? I have tried with little success so far

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  Francesco78

  

  kg6450

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  06/04/2017 at 7:07 PM #37396
  noisette

  Hi kg6450 ,

  I didn’t try so far with other markets. It could be interesting with CAC to have lower leverage.

  But because DAX is nervous compare with CAC, it is probably difficult to find same result.

  I also should try to find wich of the conditions are the more profitable.

  Regards.

  I also try M15 timeframe but not good so far.

   

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  noisette

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  06/04/2017 at 9:03 PM #37404
  Francesco78

  Thanks a lot Noisette and kg6450, I have tried with other markets too and I find something more or less nice with EUR/USD, but not as good as with DAX 30mina nd Dax 1hr

  

  Francesco78

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  06/06/2017 at 8:32 AM #37539
  kg6450

  I have tried to optimise it for BUND, FTSE and the S&P500 on the 1hr timeframe and while they all end in profit, none of the strategies are feasible enough to run over the long term.

  I am running the optimiser for the original version of the DAX1hrMNandBK strategy that you posted earlier, is that the correct one?

  I will test a few more markets today too

  

  kg6450

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  06/06/2017 at 9:36 AM #37548
  Francesco78

  Hi kg6450, yes, that’s the one, many thanks for your help!

  

  Francesco78

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  06/06/2017 at 12:44 PM #37607
  kg6450

  That’s ok!

  I just finished the DOW; with a single position it is showing profit but the drawdown is still too high for some of them (about 1/3 of the profit)

  Do you have any suggestions for reducing the drawdown?

  

  kg6450

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  06/06/2017 at 1:35 PM #37622
  Francesco78

  kg 6450, you can try by adding seasonality parameters pathfinder style if the strategy is good enough without.

  on  the dax I did try it and this is the code, you could try to do the same for the dow hopefully you will get a nicer result.

  //------------------------------------------------------------------------- // Main code : Dax1hrMNandBreakwithseas //------------------------------------------------------------------------- // dax - IG MARKETS // TIME FRAME 1H // SPREAD 1.0 PIPS DEFPARAM CumulateOrders = False //DEFPARAM FLATBEFORE = 090000 //DEFPARAM FLATAFTER = 210000 timestart = 070000 timeend = 200000 timeenterbefore = time <= timeend timeenterafter = time >= timestart //highvolume = average[30](volume)<=volume// //lowvolume = average[30](volume)>=volume adxperiod = 14 atrperiod = 14 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] //exitafternbars = 1 //// OPTIMIZED VARIABLES///// k = 5 y = 6 adxval = 18 atrmin = 25 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 = saisonalpatternmultiplier*round(100/atr/2.1666)//define sixe of long trades positionshort = round(100/atr)// 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 //////////////////////////////////////////////////////// // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 //0 risk(3) ONCE January2 = 0 //3 ok ONCE February1 = 3 //3 ok ONCE February2 = 3 //0 risk(3) ONCE March1 = 3 //0 risk(3) ONCE March2 = 2 //3 ok ONCE April1 = 3 //3 ok ONCE April2 = 3 //3 ok ONCE May1 = 1 //0 risk(1) ONCE May2 = 1 //0 risk(1) ONCE June1 = 1 //1 ok 2 ONCE June2 = 2 //3 ok ONCE July1 = 3 //1 chance ONCE July2 = 2 //3 ok ONCE August1 = 2 //1 chance 1 ONCE August2 = 3 //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3 //0 risk(3) ONCE October2 = 2 //3 ok ONCE November1 = 1 //1 ok ONCE November2 = 3 //3 ok ONCE December1 = 3 // 1 chance ONCE December2 = 2 //3 ok // set saisonal multiplier currentDayOfTheMonth = Day midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF endif //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

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  //------------------------------------------------------------------------- // Main code : Dax1hrMNandBreakwithseas //------------------------------------------------------------------------- // dax  - IG MARKETS // TIME FRAME 1H // SPREAD 1.0 PIPS       DEFPARAM CumulateOrders = False     //DEFPARAM FLATBEFORE = 090000 //DEFPARAM FLATAFTER = 210000     timestart = 070000 timeend = 200000   timeenterbefore = time <= timeend timeenterafter =  time >= timestart     //highvolume = average[30](volume)<=volume// //lowvolume = average[30](volume)>=volume   adxperiod = 14 atrperiod = 14 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] //exitafternbars = 1   //// OPTIMIZED VARIABLES///// k = 5 y = 6 adxval = 18 atrmin = 25 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 = saisonalpatternmultiplier*round(100/atr/2.1666)//define sixe of long trades positionshort = round(100/atr)// 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 ////////////////////////////////////////////////////////       // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 //0 risk(3) ONCE January2 = 0 //3 ok ONCE February1 = 3 //3 ok ONCE February2 = 3 //0 risk(3) ONCE March1 = 3 //0 risk(3) ONCE March2 = 2 //3 ok ONCE April1 = 3 //3 ok ONCE April2 = 3 //3 ok ONCE May1 = 1 //0 risk(1) ONCE May2 = 1 //0 risk(1) ONCE June1 = 1 //1 ok 2 ONCE June2 = 2 //3 ok ONCE July1 = 3 //1 chance ONCE July2 = 2 //3 ok ONCE August1 = 2 //1 chance 1 ONCE August2 = 3 //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3 //0 risk(3) ONCE October2 = 2 //3 ok ONCE November1 = 1 //1 ok ONCE November2 = 3 //3 ok ONCE December1 = 3 // 1 chance ONCE December2 = 2 //3 ok     // set saisonal multiplier currentDayOfTheMonth = Day midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF   endif     //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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  06/06/2017 at 10:43 PM #37673
  kg6450

  Ok thanks I will add that and see how it goes, is the seasonality the same for both the DOW and the DAX though?

  I tested on some currency pairs and single position for EURUSD looks promising. The equity curve could do with a bit of smoothing though

  

  kg6450

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  06/06/2017 at 10:48 PM #37675
  Francesco78

  Hi, no I dont think so, we should retrieve them from the pathfinder discussions somewhere, Ill see if I can find them tomorrow, good job for the EURUSD, I have been tried that as well before and I confirm it looked promising, but your equity looks a bit better than mine, do you mind sharing your version of the code?

  Best

  

  Francesco78

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  06/06/2017 at 11:11 PM #37677
  kg6450

  Ok I’ll have a look there.

   

  Here is the code for EURUSD with a 0.6 spread

  // EUR/USD(mini) - IG MARKETS // TIME FRAME 1H // SPREAD 0.6 PIPS DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE =080000 DEFPARAM FLATAFTER =210000 adxperiod = 14 atrperiod = 14 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] adxval = 22 atrmin = 35 position = 1 //round(100/atr) m = 3 n = 1 m1 = 2 n1 = 2 if atr>atrmin then c1 = indicator1 <adxval c2 = indicator1 >adxval if c1 then // short IF (abs(open-close) > (atr*m) and close > open) THEN sellshort position CONTRACTS AT MARKET ENDIF //long IF (abs(open-close) > (atr*m) and close < open) THEN buy position CONTRACTS AT MARKET ENDIF endif if c2 then // long IF (abs(open-close) > (atr*n) and close > open and close> DOPEN(1)) THEN buy position CONTRACTS AT MARKET ENDIF //short IF (abs(open-close) > (atr*n) and close < open and close< DOPEN(1)) THEN sellshort position CONTRACTS AT MARKET ENDIF endif endif if atr<atrmin then c1 = indicator1 <adxval c2 = indicator1 >adxval if c1 then // short IF (abs(open-close) > (atr*m1) and close > open) THEN sellshort position CONTRACTS AT MARKET ENDIF //long IF (abs(open-close) > (atr*m1) and close < open) THEN buy position CONTRACTS AT MARKET ENDIF endif if c2 then // long IF (abs(open-close) > (atr*n1) and close > open ) THEN buy position CONTRACTS AT MARKET ENDIF //short IF (abs(open-close) > (atr*n1) and close < open) THEN sellshort position CONTRACTS AT MARKET ENDIF endif endif

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  // EUR/USD(mini) - IG MARKETS // TIME FRAME 1H // SPREAD 0.6 PIPS   DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE =080000 DEFPARAM FLATAFTER =210000 adxperiod = 14 atrperiod = 14 indicator1 = adx[adxperiod] atr = AverageTrueRange[atrperiod] adxval = 22 atrmin = 35 position = 1 //round(100/atr)   m = 3 n = 1 m1 = 2 n1 = 2   if atr>atrmin then c1 = indicator1 <adxval c2 = indicator1 >adxval   if c1 then // short IF (abs(open-close) > (atr*m) and close > open)   THEN sellshort  position CONTRACTS AT MARKET   ENDIF   //long IF (abs(open-close) > (atr*m) and close < open)   THEN buy position CONTRACTS AT MARKET   ENDIF endif   if c2 then // long IF (abs(open-close) > (atr*n) and close > open and close> DOPEN(1))   THEN buy  position CONTRACTS AT MARKET ENDIF   //short IF (abs(open-close) > (atr*n) and close < open and close< DOPEN(1))   THEN sellshort  position CONTRACTS AT MARKET ENDIF endif endif   if atr<atrmin then c1 = indicator1 <adxval c2 = indicator1 >adxval   if c1 then // short IF (abs(open-close) > (atr*m1) and close > open)   THEN sellshort  position CONTRACTS AT MARKET ENDIF   //long IF (abs(open-close) > (atr*m1) and close < open)   THEN buy  position CONTRACTS AT MARKET ENDIF endif   if c2 then // long IF (abs(open-close) > (atr*n1) and close > open )   THEN buy  position CONTRACTS AT MARKET ENDIF   //short IF (abs(open-close) > (atr*n1) and close < open)   THEN sellshort  position CONTRACTS AT MARKET ENDIF endif endif

  The parameters that were optimised for were m, n, m1, n1, atrmin and adxmin

  

  kg6450

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  06/07/2017 at 11:00 AM #37729
  Francesco78

  great thanks

  here are the seasonals for the dow as per pathfinder

  // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 0//0 ok 1 ONCE January2 = 3//2 chance ONCE February1 = 2//1 chance ONCE February2 = 2//0 risk(2) ONCE March1 = 2//0 risk(2) 0 ONCE March2 = 3//2 chance ONCE April1 = 3//3 ok ONCE April2 = 3//3 ok ONCE May1 = 0//3 ok ONCE May2 = 0//0 ok ONCE June1 = 2//0 risk(2) 3 ONCE June2 = 2//0 risk(2) 3 ONCE July1 = 3//1 chance ok 1 ONCE July2 = 1//1 ok ONCE August1 = 0// ok ONCE August2 = 0// ok ONCE September1 = 3//0 risk(3) ONCE September2 = 3//0 risk(3) ONCE October1 = 0//0 ok ONCE October2 = 3//3 ok ONCE November1 = 0//0 ok ONCE November2 = 3//3 ok ONCE December1 = 3//3 ok ONCE December2 = 3//2 chance

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  // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 0//0 ok 1 ONCE January2 = 3//2 chance ONCE February1 = 2//1 chance ONCE February2 = 2//0 risk(2) ONCE March1 = 2//0 risk(2) 0 ONCE March2 = 3//2 chance ONCE April1 = 3//3 ok ONCE April2 = 3//3 ok ONCE May1 = 0//3 ok ONCE May2 = 0//0 ok ONCE June1 = 2//0 risk(2) 3 ONCE June2 = 2//0 risk(2) 3 ONCE July1 = 3//1 chance ok 1 ONCE July2 = 1//1 ok ONCE August1 = 0// ok ONCE August2 = 0// ok ONCE September1 = 3//0 risk(3) ONCE September2 = 3//0 risk(3) ONCE October1 = 0//0 ok ONCE October2 = 3//3 ok ONCE November1 = 0//0 ok ONCE November2 = 3//3 ok ONCE December1 = 3//3 ok ONCE December2 = 3//2 chance

   

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  06/08/2017 at 6:25 AM #37790
  noisette

  Hello,

  Interesting code with seasonality.

  I tried another way: as I saw with my previous code that monday is the most profitable, friday the less, and about same results for other 3 days then I applied different parameters for these 3 cases.

  I have to try another idea and i’ll send the code.

  Regards.

  

  noisette

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  06/08/2017 at 6:01 PM #37842
  Francesco78

  looking forward for it Noisette 🙂

  

  Francesco78

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  06/08/2017 at 11:48 PM #37857
  noisette

  OK.

  I still have to do some tests because today in demo mode, position was closed after the time that it was suppose to do (23h40 so not logic with M30 strategy and “flatafter = 200000) and the code stop after.

  And for my previous code, code stopped without any position.

  Do you have this reliability problem with demo mode?

  

  noisette

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