DAX Mtf strategy using a custom trend indicator
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User @Alessio posted a custom indicator on the italian forum, to tell Trending from Ranging markets (https://www.prorealcode.com/topic/indicatore-per-laterale-laterale-inclinato-trend/).
I liked it and wanted to give it a try on DAX, 1-hour TF, with Nicolas’trailing stop code on the 20-second TF. I decided to embed the indicator in the strategy, instead of CALLing it.
The indicators returns 1 for ranging market, 2 for sloping ranges and 3 for trending markets. I decided to enter a position (based on the direction of each candle) whenever it rises from 2 to 3.
Performance seems rewarding:
ONCE TP = 42 //42 ONCE SL = 21 //21 ///////////////////////////////////////////////////////////////////////////////// TIMEFRAME (1 hour, updateonclose) //h1 ONCE n = 5 //5 ONCE punti = 5 //5 ONCE mediamobile = 45 //45 ONCE puntiinclinato = 15 //15 ONCE x = punti * pipsize MA50 = LinearRegression[mediamobile](close) MAhigh = highest[n](MA50) MAlow = lowest[n](MA50) MA50range = Mahigh - MAlow laterale = MA50range <= x lateraleinclinato = MA50range>x and ma50range<puntiinclinato+x trend = ma50range>lateraleinclinato+puntiinclinato if laterale then result=1 elsif lateraleinclinato then result=2 elsif trend then result=3 endif // --- LONG conditions a1 = close > open a2 = (Result = 3) AND (Result > Result[1]) // --- SHORT conditions b1 = close < open b2 = (Result = 3) AND (Result > Result[1]) ///////////////////////////////////////////////////////////////////////////////// TIMEFRAME (default) //20 sec. // --- LONG trades IF a1 AND a2 AND Not Onmarket THEN BUY 1 CONTRACT AT MARKET ENDIF // --- SHORT trades IF b1 AND b2 AND Not Onmarket THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // SET TARGET pPROFIT TP SET STOP pLOSS SL //************************************************************************** //trailing stop function trailingstart = 10 //10 trailing will start @trailinstart points profit trailingstep = 3 //3 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIFNicolas, nonetheless, GraHal and monkeys nuts thanked this postFirst, thanks to for this very effective trailing stop. You can see from the screenshot very little difference between MFE and exit price.
I was impressed with the effectiveness of the indicator shared by on the Italian forum, so I called it “Da Vinci”. Thank you !
I’m stuck with an MTF issue. I’m testing this H1 System run on 5min chart, which I’m testing only on 2k for the example. I expect the signals to be taken on the 1 hour basis. However, some of the trades are taken outside of this rule. For example, on 4 Jan. 2022 at 12:15 the System took a Long trade, while there is no Signal on the H1 chart between 11 and 13 and the Signal is Short on the 5min chart.
Can you please help to fix this MTF issue?
Any suggestions how to this strategy? Your ideas or comments are welcome!
DEFPARAM CUMULATEORDERS= FALSE DEFPARAM PreLoadBars = 2000 ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TIMEFRAME(60 MINUTES, UPDATEONCLOSE) ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Ehlers RMS flen = 8//5//9//8//40 //fast length slen = 21//26//21//60 //slow length if barindex>slen then a1= 5/flen a2= 5/slen PB = (a1 - a2) * close + (a2*(1 - a1) - a1 * (1 - a2))* close[1] + ((1 - a1) + (1 - a2))*(PB[1])- (1 - a1)* (1 - a2)*(PB[2]) RMSa = summation[50](PB*PB) RMSplus = sqrt(RMSa/50) RMSminus = -RMSplus endif IF PB > RMSminus and PB > PB[1] THEN LongRMS=+1 ENDIF IF PB < RMSplus and PB < PB[1] THEN ShortRMS=-1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Stochastics StoK = Stochastic[8,1](close) StoD = Average[3](Stochastic[8,1](close)) IF (StoK >= 20) and (StoK > StoD) and (StoK > StoK[1]) THEN LongSto=+1 ENDIF IF (StoK <= 80) and (StoK < StoD) and (StoK < StoK[1]) THEN ShortSto=-1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Vigor Index PeriodRVI = 8 //5//12 diffRVI = close - open ind1RVI = (diffRVI + 2*diffRVI[1] + 2*diffRVI[2] + diffRVI[3]) / 6 ind2RVI = (Range + 2*Range[1] + 2*Range[2] + Range[3]) / 6 condRVI = Summation[periodRVI](ind2RVI) IF condRVI = 0 THEN temp = 0.0001 ELSE temp = condRVI ENDIF RVI = Summation[periodRVI](ind1RVI) / temp RVIsig = (RVI + 2*RVI[1] + 2*RVI[2] + RVI[3]) / 6 IF (RVI > RVI[1]) and (RVI > RVIsig) THEN LongRVI=+1 ENDIF IF (RVI < RVI[1]) and (RVI < RVIsig) THEN ShortRVI=-1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Moving Average Crossing PFast = 8//5 PSlow = 21//13 HullFast = HullAverage[PFast](close) HullSlow = HullAverage[PSlow](close) EndPFast = EndPointAverage[PFast](close) EndPSlow = EndPointAverage[PSlow](close) TSFast = TimeSeriesAverage[PFast](close) TSSlow = TimeSeriesAverage[PSlow](close) LRFast = LinearRegression[PFast](close) LRSlow = LinearRegression[PSlow](close) ZLEMAFast = ZLEMA[PFast](close) ZLEMASlow = ZLEMA[PSlow](close) iRSI = RSI[14](close) IF HullFast > HullSlow and iRSI > iRSI[1] THEN LongMA1=1 elsif HullFast < HullSlow and iRSI < iRSI[1] THEN ShortMA1=-1 ENDIF IF EndPFast > EndPSlow and iRSI > iRSI[1] THEN LongMA2=2 elsif EndPFast < EndPSlow and iRSI < iRSI[1] THEN ShortMA2=-2 ENDIF IF TSFast > TSSlow and iRSI > iRSI[1] THEN LongMA3=3 elsif TSFast < TSSlow and iRSI < iRSI[1] THEN ShortMA3=-3 ENDIF IF LRFast > LRSlow and iRSI > iRSI[1] THEN LongMA4=4 elsif LRFast < LRSlow and iRSI < iRSI[1] THEN ShortMA4=-4 ENDIF IF ZLEMAFast > ZLEMASlow and iRSI > iRSI[1] THEN LongMA5=5 elsif ZLEMAFast < ZLEMASlow and iRSI < iRSI[1] THEN ShortMA5=-5 ENDIF IF LongMA1=1 OR LongMA2=2 OR LongMA3=3 OR LongMA4=4 OR LongMA5=5 THEN LongMA=+1 ENDIF IF ShortMA1=-1 OR ShortMA2=-2 OR ShortMA3=-3 OR ShortMA4=-4 OR ShortMA5=-5 THEN ShortMA=-1 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Da Vinci Trend Detector PeriodRangelateral = 8//5 MultiplierATR = 0.5 Points = AverageTrueRange[14](close) * MultiplierATR InclinedPoints = 15 MAPeriod = 50 n = PeriodRangelateral //4 dax x = Points * pipsize //5 a 15 laterale dax MA50 = LinearRegression[MAPeriod](close) //da 20 a 60 triangolare MAhigh = highest[n](MA50) MAlow = lowest[n](MA50) MA50range = Mahigh - MAlow laterale = MA50range <= x lateraleinclinato = MA50range>x and ma50range<InclinedPoints+x trend = ma50range>lateraleinclinato+InclinedPoints if laterale then ResultDaVinci=1 elsif lateraleinclinato then ResultDaVinci=2 elsif trend then ResultDaVinci=3 endif IF ResultDaVinci>=2 THEN //and (ResultDaVinci <> ResultDaVinci[1]) TrendDaVinci=+1 ENDIF // TSI PeriodTSIFast = 9 PeriodTSISlow = 2 * PeriodTSIFast aTSI = (ExponentialAverage[PeriodTSIFast](ExponentialAverage[PeriodTSISlow](ROC[1](close)))) bTSI = (ExponentialAverage[PeriodTSIFast](ExponentialAverage[PeriodTSISlow](ABS(ROC[1](close))))) TSI = 100 * (aTSI/bTSI) LongMAExit = HullAverage[PExitL](close) ShortMAExit = HullAverage[PExitS](close) //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Combo LongDaVinci=0 ShortDaVinci=0 IF LongRMS=+1 AND LongSto=+1 AND LongRVI=+1 AND LongMA=+1 AND TrendDaVinci=+1 AND (TSI>TSI[1]) AND (close>open and close>close[1] and close>open[1]) THEN LongDaVinci=+1 ENDIF IF ShortRMS=-1 AND ShortSto=-1 AND ShortRVI=-1 AND ShortMA=-1 AND TrendDaVinci=+1 AND (TSI<TSI[1]) AND (close<open and close<close[1] and close<open[1]) THEN ShortDaVinci=-1 ENDIF IF LongDaVinci=+1 THEN MySignal = LongDaVinci ENDIF IF ShortDaVinci=-1 THEN MySignal = ShortDaVinci ENDIF x = MySignal IF MySignal = MySignal[1] THEN x = 0 ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TIMEFRAME(DEFAULT) ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// IF NOT LongOnMarket AND (x = 1) THEN BUY 1 CONTRACTS AT MARKET endif if LongOnMarket and -(x = -1) then SELL AT MARKET SELLSHORT 1 CONTRACTS AT MARKET ENDIF IF NOT ShortOnMarket AND -(x = -1) THEN SELLSHORT 1 CONTRACTS AT MARKET endif if ShortOnMarket and (x = 1) then EXITSHORT AT MARKET BUY 1 CONTRACTS AT MARKET ENDIF //TIMEFRAME(DEFAULT) If LongOnMarket AND (close crosses under LongMAExit OR -(x = -1)) THEN SELL AT MARKET ENDIF IF ShortOnMarket AND (close crosses over ShortMAExit OR (x = 1)) THEN EXITSHORT AT MARKET ENDIF ////////////////////////////////////////////////////////////////////////////////////////////////////////////////// /////// BREAKEAVEN /////////// once breakeaven = 1//0 //1 on - 0 off //StartBreakeven = 30 //PointsToKeep = 5 //reset the breakevenLevel when no trade are on market if breakeaven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN //TrailStart = 10 //10 Start trailing profits from this point //BasePerCent = 0.100 //10.0% Profit to keep //StepSize = 6 //6 Pips chunks to increase Percentage //PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer PriceDistance = 4 * pipsize//8.9 minimun distance from current price y1 = 0 y2 = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if N+ pips Diff1 = abs(TrailStart - x1) Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if N+ pips Diff2 = abs(TrailStart - x2) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF SET STOP %LOSS 0.5I tried to limit to 1 trade per hour on H1/M1 TF, but results were not satisfactory.
I kept H1/M1 and optimized Trailing Stop, Stop Loss and Exit Strategy and I now have a reasonable outcome on 5k, R/R 2.28, Sharpe 1.2, Win Rate 69% and Net Gain/Drawdown = 6.4. Now, time to test on 100k and see.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/25/2019 |
| Status: | Active |
| Attachments: | 5 files |
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