Dax adaptable strategy Breackout/Mean reversion

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  • 06/09/2017 at 12:45 PM #37886 quote
    Francesco78
    Participant
    Master

    Hello Noisette,

    I havent tried this strategy on demo, I have it on real and I cant say if I noticed discrepancies between the 2

    06/09/2017 at 10:06 PM #37926 quote
    noisette
    Participant
    Veteran

    Hello Francesco78,
    Direclty real mode: great! Wich other strategy do you use in real mode?
    Perhaps sometime there are long and short condition for same candle that may cause problem. I’ll try to code something to choose long or short in this case or code an indicator to see if it is the case.
    Regards.

    06/10/2017 at 1:19 PM #37969 quote
    noisette
    Participant
    Veteran

    I made a verification to find if there were long and short condition for same candle in backtest and answer is NO.

    Demo mode is probably less reliable than real mode, hope so!

    So here is my last update.

    Probably a little bit overfited, so need regular update.

    I’m interested if someone can make a 200000 candle backtest.

    DAX-BOMR-M30-v1Da.png DAX-BOMR-M30-v1Da.png DAX-BOMR-M30-v1Da.itf
    06/10/2017 at 4:02 PM #37986 quote
    Francesco78
    Participant
    Master

    Thank you very much noisette, great job and good idea!

    Yes I have the impression the risk of overfitting here is big, have you tried any walkforward analysis by chance?

    Thanks again

    Francesco

    06/10/2017 at 4:17 PM #37987 quote
    Francesco78
    Participant
    Master

    As far as other system I used, I’m using a few that I took from this forum, one that is performing quite well at the moment is the brent oil 5minutes

    Brent Oil 5 minutes trading strategy

    you might be interest maybe also in the set of strategies that I named n_candle and reverse

    ncandle and reversal filtered strategy

    Didnt get noticed but I think it might a promising class of strategies if you want to invest a bit of time on them 🙂

    I have working on them adding trailing stops recently and the one that I like most is the 15 min one on usd jpy, I attach it here for your reference.

    usd_jpy_ncandlereversion_15m_2.itf usdjpy15min.png usdjpy15min.png
    06/24/2017 at 5:39 PM #38965 quote
    noisette
    Participant
    Veteran

    I ran the code in real during the last 2 weeks and stopped manually some trades, so I earn about 30 points instead of loosing points. How did perform last weeks?

    So I think that opening conditions are very good but we should find an additional condition to close trades without opening reverse position.

    I will also try to backtest atrmin in % of Dax level instead of fixed value.

    Regards.

    Francesco78 thanked this post
    06/25/2017 at 9:14 AM #38973 quote
    Francesco78
    Participant
    Master

    Hi Noisette, I actually did the same, closing manually, the volatiliy has been extremely low last week so I think no system could perform well under this conditions. I agree that the opening levels seems good but the closing condition has to be faster. I was thinking about it but couldnt find yet anything that improved the equity line of the strat we have.

    12/04/2020 at 6:56 PM #152634 quote
    xburrex
    Participant
    New

    Hello, Is someone running this strategy live right now? And has it performed? Looks really nice! 🙂 Great work!

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Dax adaptable strategy Breackout/Mean reversion


ProOrder: Automated Strategies & Backtesting

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Francesco78 @francesco78 Participant
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This topic contains 82 replies,
has 13 voices, and was last updated by xburrex
5 years, 2 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 04/22/2017
Status: Active
Attachments: 26 files
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