DAX Aroon 30 min system

• 03/08/2017 at 1:46 PM #27745
  Eric

  This system is not mine (maybe someone here recognize it) i found it years ago think it was on prorealtime site

  anyway this is the original code not optimized, the short side need improvements

  maybe with changes and money management it can be something for the library?

  DEFPARAM CumulateOrders=False REM Acquisto indicator1 = ExponentialAverage[20](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4) indicator41 = Stochastic[14,3](close) c41 = (indicator41 < 75) indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101 IF c1 AND c2 AND c41 AND c100 THEN BUY 1 contracts AT MARKET ENDIF REM Vendita indicator5 = close indicator6 = ExponentialAverage[20](close) c4 = (indicator5 < indicator6[1]) indicator7 = AroonUp[14] indicator8 = AroonDown[14] c5 = (indicator7 < indicator8[1]) IF c4 AND c5 THEN SELL AT MARKET ENDIF REM Vendita allo scoperto indicator9 = ExponentialAverage[20](close) indicator10 = ExponentialAverage[50](close) c6 = (indicator9 < indicator10[1]) indicator11 = AroonUp[14] indicator12 = Aroondown[14] c7 = (indicator12 CROSSES OVER indicator11) indicator43 = Stochastic[14,3](close) c43 = (indicator43 > 25) indicator110 = close indicator111 = Supertrend[2,10] c110 = indicator111 > indicator110 IF c6 AND c7 AND c43 AND c110 THEN SELLSHORT 1 contracts AT MARKET ENDIF REM Riacquisto indicator13 = close indicator14 = ExponentialAverage[20](close) c9 = (indicator13 > indicator14[1]) indicator15 = AroonUp[14] indicator16 = AroonDown[14] c10 = (indicator15 > indicator16[1]) IF c9 AND c10 THEN EXITSHORT AT MARKET ENDIF

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  DEFPARAM CumulateOrders=False REM Acquisto     indicator1 = ExponentialAverage[20](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 > indicator2[1])     indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4)     indicator41 = Stochastic[14,3](close) c41 = (indicator41 <  75)     indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101         IF c1 AND c2 AND c41 AND c100 THEN BUY 1 contracts AT MARKET ENDIF         REM Vendita     indicator5 = close indicator6 = ExponentialAverage[20](close) c4 = (indicator5 < indicator6[1])     indicator7 = AroonUp[14] indicator8 = AroonDown[14] c5 = (indicator7 < indicator8[1])     IF c4 AND c5 THEN SELL AT MARKET ENDIF         REM Vendita allo scoperto     indicator9 = ExponentialAverage[20](close) indicator10 = ExponentialAverage[50](close) c6 = (indicator9 < indicator10[1])     indicator11 = AroonUp[14] indicator12 = Aroondown[14] c7 = (indicator12 CROSSES OVER indicator11)     indicator43 = Stochastic[14,3](close) c43 = (indicator43 > 25)     indicator110 = close indicator111 = Supertrend[2,10] c110 = indicator111 > indicator110     IF c6 AND c7 AND c43 AND c110 THEN SELLSHORT 1 contracts AT MARKET ENDIF         REM Riacquisto     indicator13 = close indicator14 = ExponentialAverage[20](close) c9 = (indicator13 > indicator14[1])     indicator15 = AroonUp[14] indicator16 = AroonDown[14] c10 = (indicator15 > indicator16[1])     IF c9 AND c10 THEN EXITSHORT AT MARKET ENDIF

   

  

  Eric

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  03/08/2017 at 1:54 PM #27747
  Eric

  I have used a version live long only and removed stochastic and used a stoploss

  maybe with some kind of trailing stop it would perform better?

  2015 was pretty good but 2016 some draw down pre trump

  its not rocket science and get rich quick but its profitable

  DEFPARAM CumulateOrders=False REM Acquisto indicator1 = ExponentialAverage[20](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4) indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101 IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF REM Vendita indicator5 = close indicator6 = ExponentialAverage[20](close) c4 = (indicator5 < indicator6[1]) indicator7 = AroonUp[14] indicator8 = AroonDown[14] c5 = (indicator7 < indicator8[1]) IF c4 AND c5 THEN SELL AT MARKET ENDIF SET STOP PLOSS 100

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  DEFPARAM CumulateOrders=False REM Acquisto     indicator1 = ExponentialAverage[20](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 > indicator2[1])     indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4)         indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101         IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF         REM Vendita     indicator5 = close indicator6 = ExponentialAverage[20](close) c4 = (indicator5 < indicator6[1])     indicator7 = AroonUp[14] indicator8 = AroonDown[14] c5 = (indicator7 < indicator8[1])     IF c4 AND c5 THEN SELL AT MARKET ENDIF     SET STOP PLOSS 100

   

  

  Eric

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  03/08/2017 at 2:56 PM #27755
  Nicolas

  Thanks Eric, but you did not mention timeframe and instrument?

  

  Nicolas

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  03/08/2017 at 3:27 PM #27759
  Eric

  I have used it on DAX

  30 minute timeframe

  

  Eric

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  03/08/2017 at 3:48 PM #27764
  Eric

  I had a version (long only) with EMA 50 and EMA 90 also

  indicator1 and indicator2

   

  

  Eric

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  04/03/2017 at 11:19 AM #30807
  victormork

  It performs better with a trailing stop as you mentioned. Starting October 2015 it has a positiv result on FTSE100 too (30 min). The trailing stop function is from Nicolas blogpost.

  DEFPARAM CumulateOrders=False REM Acquisto indicator1 = ExponentialAverage[50](close) indicator2 = ExponentialAverage[90](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4) indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101 IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF SET STOP PLOSS 150 //trailing stop trailingstop = 40 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  DEFPARAM CumulateOrders=False REM Acquisto   indicator1 = ExponentialAverage[50](close) indicator2 = ExponentialAverage[90](close) c1 = (indicator1 > indicator2[1])   indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4)   indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101   IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF   SET STOP PLOSS 150   //trailing stop trailingstop = 40   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  

  victormork

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  04/25/2017 at 11:59 AM #33315
  victormork

  If anyone is interested, here’s the system with a Donchian stop loss.

  DEFPARAM CumulateOrders=False indicator1 = ExponentialAverage[50](close) indicator2 = ExponentialAverage[90](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4) indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101 IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF // DONCHIAN STOP DC=70 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket then laststop = f[1] endif if shortonmarket then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif //trailing stop trailingstop = 50 if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  DEFPARAM CumulateOrders=False   indicator1 = ExponentialAverage[50](close) indicator2 = ExponentialAverage[90](close) c1 = (indicator1 > indicator2[1])   indicator3 = AroonUp[14] indicator4 = Aroondown[14] c2 = (indicator3 CROSSES OVER indicator4)   indicator100 = close indicator101 = Supertrend[2,10] c100 = indicator100 > indicator101   IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF   // DONCHIAN STOP DC=70 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket  then laststop = f[1] endif if shortonmarket  then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif   //trailing stop trailingstop = 50   if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  5 users thanked author for this post.

  shephinc, ALE, Maz, Eric, Nicolas

  

  victormork

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  04/26/2017 at 7:36 PM #33568
  Maz

  Hi guys,

  @Eric, thank you for sharing this idea, which I quite like; @victormork thank you for your contribution with the stop logic.

  I have optimized some of the logic statements and added few more “bells and whistles” (modules) to the system which can be easily switched on and off. Most of the modules are in the interest of increasing hit rate and reducing equity curve volatility.

  As it stands, I have optimized a bit on DAX M30 and experimented a little on DAX H1. I think it may almost be ready to submit this to the library (Nicolas?) but hoping you guys will test it out and play around on different markets etc. Add or remove modules as you wish until it makes sense. I suggest to disengage all the modules when trying a new asset or asset class, optimize the basic variables and then add the modules one by one. Please post your results here.

  The modules I have added are:

  • Variable-set selection framework
    You can optimize differently for whatever asset and timeframe  and save the set inside a
    elsif optimization = (x) then

    1	elsif optimization = (x) then

  • Soft time stop
    The soft time stop simply counts the total number of bars of in loss endured during the trade (not consecutive but total bars of loss) and once a threshold is reached, triggers a break even signal so that the trade will at least break even if/when given the chance. The variable to adjust is softTimeStopBars (0 for off else positive number for number of bars in loss to trigger)

  • Second chance Stop
    The second chance stop, if engaged, monitors for a trade going into profit, followed by losing x% of the maximum gain  (typically 70-90% retracement towards original entry). If this occurs a trigger is set to exit the trade when the gain reaches or exceeds the highest high of that trade’s equity curve (a second chance).  The variable scRetraceTrigger is used to set the percentage retrace before we grab a second chance exit. 0.5 = 50% retracement. 1 =  100% retracement. It can also be set to negative value for monitoring if it went into loss after first being profitable). scMinBarsInTrade suspends monitoring until the trade has been on for at least a given number of bars.

  • ATR based target (limit)
    Often times you want limit orders to be a proportion of the current market volatility (so that you don’t set them too far or too near). Set useATRTarget to 1 to engage the system. atrTargetMultiple determines the limit order target by multiple of atr[40]

  • ATR filter
    When ATR filter is engaged, no trades will be taken unless atr[40] is above the given threshold. This reduces the likelihood of weak setups.

  // -- // -- // -- // -- // -- | // // -- // -- // -- // -- // | // == Aroon System DAX M30 == | // -- // -- // -- // -- // -- | // // -- // -- // -- // -- // | // Aroon System // Version 1.01 // Contributors: // Eric @ prorealcode.com // Victormork @ prorealcode.com // Maz @ prorealcode.com // -------------- // Modules: // Variable set selection framework // Optional donchian stop (useDonchianStop) // Optional trailing stop (useTrailingStop) // Optional soft time stop (softTimeStopBars > 0) // Optional second chance Stop (useSecondChanceStop) [version 0.11 alpha] // Optional ATR based target (useATRTarget) // Optional ATR filter (useATRFilter) // -------------- // Originally developed for DAX M30 DEFPARAM CumulateOrders = false // -- Variable Selection -- once positionSize = 1 once optimization = 1 if optimization = 1 then // DAX M30 (June 2016 - Apr 2017) useDonchianStop = 1 // Engage Donchian Stop? 0:no | 1: yes useTrailingStop = 1 // Engage trailing stop? 0:no | 1: yes trailingStop = 51 //50 // trailing stop distance once tsLongDistance = trailingStop once tsShortDistance= trailingStop useATRTarget = 1 // Engage ATR Limit 0:no | 1: yes atrTargetMultiple = 21 // Limit is x times current ATR[40] useATRFilter = 1 // Engage ATR filter 0: no | 1: yes atrThreshold = 15 // 11 // only trade if ATR is above x useSecondChanceStop = 0 // Engage 2nd chance stop. 0: off | 1: on scRetraceTrigger = 0.5 // 0.4 // % of max profit reduction to trigger scMinBarsInTrade = 14 // 2 // min # bars before trigger softTimeStopBars = 37 // 35 // 0: off | lower = higher hit rate maShortPeriod = 50 // short term MA period maLongPeriod = 90 // long term MA period arroonPeriod = 14 once arroonUpPeriod = arroonPeriod once arroonDnPeriod = arroonPeriod stMultiplier = 2 // Super trend multiplier stPeriods = 7 // 10 // Super trend period donchianChPeriod = 61 //70 tradingTime = 1//(time >= 080000 and time < 163000) elsif optimization = 2 then // DAX H1 (experimental) useATRTarget = 0 atrTargetMultiple = 21 softTimeStopBars = 0 useATRFilter = 0 atrThreshold = 15 useSecondChanceStop = 0 //scRetraceTrigger = 0.5 // 0.4 //scMinBarsInTrade = 14 // 2 useDonchianStop = 1 useTrailingStop = 1 trailingStop = 45 // 48 //43 once tsLongDistance = trailingStop once tsShortDistance = trailingStop arroonPeriod = 14 // 15 once arroonUpPeriod = arroonPeriod once arroonDnPeriod = arroonPeriod stMultiplier = 3.5 // 3.75 stPeriods = 14 // 13 donchianChPeriod = 50 // 55 //70 maShortPeriod = 53 maLongPeriod = 90 tradingTime = 1 //(time >= 080000 and time < 163000) endif // -- Indicators ----- maShrt = exponentialAverage[maShortPeriod](close) maLong = exponentialAverage[maLongPeriod](close) arUp = aroonUp[arroonUpPeriod] arDn = aroonDown[arroonDnPeriod] sTrend = supertrend[stMultiplier, stPeriods] atr = averageTrueRange[40] inProfit = onMarket and positionPerf > 0 // ignore for now // -- Entry conditions ----- // - Long entry - bc1 = not longOnMarket and tradingTime bc1 = bc1 and (arUp CROSSES OVER arDn) bc1 = bc1 and (maShrt > maLong[1]) and (close > sTrend) bc1 = (bc1 and useATRFilter and atr > atrThreshold) or (bc1 and (not useATRFilter)) // -- Short entry conditions (AKA long exit) ---- sc1 = not ShortOnMarket sc1 = sc1 and (arUp crosses under arDn) sc1 = sc1 and (maShrt < maLong[1]) and (close < sTrend) //sc1 = sc1 and (maLong < maLong[2]) // -- Donchian Stop Logic ----- if useDonchianStop and onMarket then if longOnMarket then dcLo = lowest[donchianChPeriod](low) dcLastStop = dcLo[1] sell at dcLastStop stop elsif shortOnMarket then dcHi = highest[donchianChPeriod](high) dcLastStop = dcHi[1] exitshort at dcLastStop stop endif endif // -- Trailing Stop Logic ----- if useTrailingStop then once tsLong = tsLongDistance * pointsize once tsShort = tsShortDistance * pointsize if (not onMarket) then tsMaxPrice = 0 tsMinPrice = close tsExitLevel = 0 elsif (onMarket and tsExitLevel > 0) then exitShort at tsExitLevel stop sell at tsExitLevel stop elsif longOnMarket then tsMaxPrice = max(tsMaxPrice,close) if tsMaxPrice-tradeprice(1) >= tsLong then tsExitLevel = tsMaxPrice - tsLong endif elsif shortOnMarket then tsMinPrice = MIN(tsMinPrice,close) if tradePrice(1)-tsMinPrice >= tsShort then tsExitLevel = tsMinPrice + tsShort endif endif endif // -- ATR based target -- if onMarket and useATRTarget then set target pProfit (atr * atrTargetMultiple) * pointSize endif // -- Soft Time Stop -- if onMarket and softTimeStopBars > 0 then if not inProfit then countLosingBars = countLosingBars + 1 endif if countLosingBars >= softTimeStopBars and inProfit then sc1 = 1 /// can exit endif elsif not onMarket and countLosingBars > 0 then countLosingBars = 0 endif // -- Second chance profit lock ----- if onMarket and useSecondChanceStop then once scTriggered = 0 once maxPerf = 0 if scTriggered and positionPerf >= maxPerf then sc1 = 1 else maxPerf = max(maxPerf, positionPerf) scTriggered = (barIndex - tradeIndex >= scMinBarsInTrade) scTriggered = scTriggered and positionPerf <= (maxPerf * scRetraceTrigger) endif elsif useSecondChanceStop and (not onMarket) and maxPerf > 0 then // Reset when off market maxPerf = 0 scTriggered = 0 endif // -- execution logic ----- if bc1 then buy positionSize contracts at market elsif sc1 then // and (not inProfit) then if onmarket then sell at market // exit long position if short setup triggerd endif //sellshort positionSize contracts at market endif

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  // -- // -- // -- // -- // -- | // // -- // -- // -- // -- // | // == Aroon System DAX M30 == | // -- // -- // -- // -- // -- | // // -- // -- // -- // -- // |   // Aroon System // Version 1.01 // Contributors: //    Eric @ prorealcode.com //    Victormork @ prorealcode.com //    Maz @ prorealcode.com // -------------- // Modules: //    Variable set selection framework //    Optional donchian stop      (useDonchianStop) //    Optional trailing stop      (useTrailingStop) //    Optional soft time stop     (softTimeStopBars > 0) //    Optional second chance Stop (useSecondChanceStop) [version 0.11 alpha] //    Optional ATR based target   (useATRTarget) //    Optional ATR filter         (useATRFilter) // -------------- // Originally developed for DAX M30   DEFPARAM CumulateOrders = false   // -- Variable Selection -- once positionSize = 1 once optimization = 1   if optimization = 1 then // DAX M30 (June 2016 - Apr 2017) useDonchianStop     = 1                    // Engage Donchian Stop? 0:no | 1: yes useTrailingStop     = 1                    // Engage trailing stop? 0:no | 1: yes trailingStop        = 51 //50                // trailing stop distance once tsLongDistance = trailingStop once tsShortDistance= trailingStop   useATRTarget        = 1                   // Engage ATR Limit 0:no | 1: yes atrTargetMultiple   = 21                    // Limit is x times current ATR[40]   useATRFilter        = 1                   // Engage ATR filter 0: no | 1: yes atrThreshold        = 15 // 11              // only trade if ATR is above x   useSecondChanceStop = 0                   // Engage 2nd chance stop. 0: off | 1: on scRetraceTrigger    = 0.5 // 0.4            // % of max profit reduction to trigger scMinBarsInTrade    = 14  // 2              // min # bars before trigger       softTimeStopBars    = 37 // 35 // 0: off | lower = higher hit rate   maShortPeriod       = 50                  // short term MA period maLongPeriod        = 90                  // long term MA period arroonPeriod        = 14 once arroonUpPeriod = arroonPeriod once arroonDnPeriod = arroonPeriod   stMultiplier        = 2                   // Super trend multiplier stPeriods           = 7 // 10             // Super trend period donchianChPeriod    = 61 //70   tradingTime         = 1//(time >= 080000 and time < 163000)   elsif optimization = 2 then // DAX H1 (experimental) useATRTarget         = 0 atrTargetMultiple   = 21 softTimeStopBars    = 0 useATRFilter         = 0 atrThreshold         = 15 useSecondChanceStop = 0 //scRetraceTrigger    = 0.5 // 0.4 //scMinBarsInTrade    = 14  // 2   useDonchianStop      = 1 useTrailingStop      = 1 trailingStop         = 45 // 48 //43 once tsLongDistance  = trailingStop once tsShortDistance = trailingStop   arroonPeriod         =  14 // 15 once arroonUpPeriod = arroonPeriod once arroonDnPeriod = arroonPeriod   stMultiplier        = 3.5 // 3.75 stPeriods           = 14 // 13 donchianChPeriod    = 50 // 55 //70   maShortPeriod       = 53 maLongPeriod        = 90   tradingTime = 1 //(time >= 080000 and time < 163000)   endif     // -- Indicators ----- maShrt = exponentialAverage[maShortPeriod](close) maLong = exponentialAverage[maLongPeriod](close) arUp   = aroonUp[arroonUpPeriod] arDn   = aroonDown[arroonDnPeriod] sTrend = supertrend[stMultiplier, stPeriods] atr    = averageTrueRange[40] inProfit = onMarket and positionPerf > 0 // ignore for now   // -- Entry conditions ----- // - Long entry - bc1 = not longOnMarket and tradingTime bc1 = bc1 and (arUp CROSSES OVER arDn) bc1 = bc1 and (maShrt > maLong[1]) and (close > sTrend) bc1 = (bc1 and useATRFilter and atr > atrThreshold) or (bc1 and (not useATRFilter))   // -- Short entry conditions (AKA long exit) ---- sc1 = not ShortOnMarket sc1 = sc1 and (arUp crosses under arDn) sc1 = sc1 and (maShrt < maLong[1]) and (close < sTrend) //sc1 = sc1 and (maLong < maLong[2])     // -- Donchian Stop Logic ----- if useDonchianStop and onMarket then if longOnMarket  then dcLo = lowest[donchianChPeriod](low) dcLastStop = dcLo[1] sell at dcLastStop stop elsif shortOnMarket  then dcHi = highest[donchianChPeriod](high) dcLastStop = dcHi[1] exitshort at dcLastStop stop endif endif     // -- Trailing Stop Logic ----- if useTrailingStop then once tsLong  = tsLongDistance  * pointsize once tsShort = tsShortDistance * pointsize if (not onMarket) then tsMaxPrice = 0 tsMinPrice = close tsExitLevel = 0 elsif (onMarket and tsExitLevel > 0) then exitShort at tsExitLevel stop sell      at tsExitLevel stop elsif longOnMarket then tsMaxPrice = max(tsMaxPrice,close) if tsMaxPrice-tradeprice(1) >= tsLong then tsExitLevel = tsMaxPrice - tsLong endif elsif shortOnMarket then tsMinPrice = MIN(tsMinPrice,close) if tradePrice(1)-tsMinPrice >= tsShort then tsExitLevel = tsMinPrice + tsShort endif endif endif     // -- ATR based target -- if onMarket and useATRTarget then set target pProfit (atr * atrTargetMultiple) * pointSize endif     // -- Soft Time Stop -- if onMarket and softTimeStopBars > 0 then if not inProfit then countLosingBars = countLosingBars + 1 endif if countLosingBars >= softTimeStopBars and inProfit then sc1 = 1 /// can exit endif elsif not onMarket and countLosingBars > 0 then countLosingBars = 0 endif     // -- Second chance profit lock ----- if onMarket and useSecondChanceStop then once scTriggered = 0 once maxPerf     = 0 if scTriggered and positionPerf >= maxPerf then sc1 = 1 else maxPerf     = max(maxPerf, positionPerf) scTriggered = (barIndex - tradeIndex >= scMinBarsInTrade) scTriggered = scTriggered and positionPerf <= (maxPerf * scRetraceTrigger) endif elsif useSecondChanceStop and (not onMarket) and maxPerf > 0 then // Reset when off market maxPerf = 0 scTriggered = 0 endif     // -- execution logic ----- if bc1 then buy positionSize contracts at market elsif sc1 then // and (not inProfit) then if onmarket then sell at market // exit long position if short setup triggerd endif //sellshort positionSize contracts at market endif

   

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  Maz

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  04/28/2017 at 9:13 AM #33801
  victormork

  As always, beautiful work Maz! Is there anyone who can test this on 200 000 bars?

   

  

  victormork

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  04/28/2017 at 9:42 AM #33804
  ALE

  Hi Guys,

  here below test results 200.000

  as soon a possible I’ll test variables optim. by Walk farward

  Regards
  Ale

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  ALE

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  04/28/2017 at 10:18 AM #33821
  Maz

  @ALE I see your backtest begins in 2008. I have a couple of points about these kind of backtests:

  1. It’s nice to see that even with the current variable set, the system stays roughly stable on historic OOS data. That’s a good sign
  2. In 2008 we had completely different market dynamics – it was another decade which is ancient in terms of optimizing modern algos. Price action dynamics didn’t shift as fast then as they do now. So whether it makes sense to go that far back on a 30 minute system?
  3. It will be very interesting to see walk forward results for that whole period. I’d imagine you’d need to keep the ranges quite wide to accommodate the difference in volume and volatility. In 2008 we are going through a crash / bear market; then low volatility period (towards 2013) and then high volatility period (now).
  4. Spreads were VERY VERY different in 2008!
  5. I don’t expect most of my production algos that we run today to work in 2 years from now, let alone in 10 years – but if they do, that’s a great sign!

  Thanks for the contribution. Looking forward to the results.

  

  Maz

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  04/28/2017 at 10:32 AM #33822
  ALE

  @Maz,

  Very interesting your opininion, I’m agree with you.

  your post opens a very interesting discussion. We want to talk about it in a specific topic. I would like to ask some questions, I have always been in the midst of two schools of thought.
  Thanks
  PS: I’l came back soon with the results!

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  ALE

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  05/30/2017 at 8:52 PM #37067
  Henrik

  Hi!

  Have anyone tried this one on the short side?

  Regards

  Henrik

   

  

  Henrik

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  05/30/2017 at 9:15 PM #37068
  Nicolas

  I can not believe I missed this topic previously .. Thank you Maz for the enhanced version with add-ons! Has anyone managed to do a walk-forward analysis?

  

  Nicolas

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  09/25/2017 at 8:43 PM #47305
  Eric

  i try this one on bitcoin (demo) just for fun, the spread will make it hard to make some profit

   

  p.s i have sometimes problem with the “usedonchianstop” so i dont use it (changed it to zero) i think its something with price distance to the stoporder?

  

  Eric

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