DAX Parabolic System
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Hi guys,
Let me show you this simple strategy using SAR. It use a simple SAR with two filters (stochastic and macd) to select better operations.
I have a lot of fake signals but anyway winners are better than lossers so it make money.
It works for DAX 1h.
Any idea to improve this strategy?
// Definición de los parámetros del código DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada // Condiciones para entrada de posiciones largas parabolic = SAR[0.02,0.02,0.2] sto = Stochastic[5,3](close) signal = average[3](sto) mac = MACD[12,26,9](close) c1 = (parabolic < close) c2 = (signal > 50) c3 = (parabolic[1] > close[1]) IF c1 AND c2 AND c3 and mac >0 THEN BUY 1 CONTRACT AT MARKET ENDIF // Condiciones de salida de posiciones largas c4 = (close < parabolic) IF c4 THEN SELL AT MARKET ENDIF c5 = (parabolic > close) c6 = (parabolic[1] < close[1]) if not c2 and c5 and c6 and mac < 0 then Sellshort 1 contract at market endif c7 = (close > parabolic) IF c7 THEN EXITSHORT AT MARKET ENDIF SET STOP pTRAILING 55Nicolas thanked this postThanks for sharing with us online.
With TS = 55, I get attached error message and the Strategy stopped at the red arrowheads.
Do you get same over 100k bars?
But with TS = 75 I get attached … much better! 🙂
And using the TS code found at Log 65 here …
I get attached … better again! 🙂
Alfred thanked this postIn deed, with no TS you will get the best result, but the DD is more high. Check the picture
Ideas to improve it? 😀
Hello.
Forgive my ignorance and my English, I am new.
Applying it to Gold I get this (photo attached).
As you see ???. Thanks. Greetings.
Hi, I’d improved this system with fix stop loss and take profit and Nicolas’s trailing stop. I add a condition that close trade on friday after time that I setted.
I attach file and images of equity and report. In my opinion we have to filter much better, because there are a lot of trade and we have to consider overnight costs (if someone expert coder can do that).
I backtested this system from 2010 to now with tick by tick mode with 2point spread.
I came across this in the library – thanks to AE for sharing.
Made a few changes, tweaked the numbers here and there, I’m sure there’s still room for improvement.
***Optimized on 100% of data so still needs out of sample testing***
No reason this shouldn’t be re-optimized for the NAS, SP etc.
// 25/11/21 DEFPARAM CumulateOrders = False // Acumulación de posiciones desactivada DEFPARAM preloadbars = 10000 positionsize=1 Timeframe (4 hours) ma = average[p,t](typicalprice) cb1 = ma > ma[1] mb = average[p2,t2](typicalprice) cs1 = mb < mb[1] Timeframe (default) parabolic = SAR[q,w,e] parabolicS = SAR[qs,ws,es] sto = Stochastic[s1,s2](close) signal = average[av,t3](sto) mac = MACD[m,a,c](close) cb2 = (close > parabolic) cb3 = (close[1] < parabolic[1]) cs2 = (close < parabolicS) cs3 = (close[1] > parabolicS[1]) cb4 = (signal > l) cs4 = (signal < s) //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) cb5 = K>D cs5 = K<D //Volatility Filter Vol = (Std[v1](Close) / Close) * 100 cb6 = Vol < v2 cs6 = Vol < v3 CB = cb1 AND cb2 AND cb3 and cb4 and cb5 and cb6 and mac >0 CS = cs1 AND cs2 AND cs3 and cs4 and cs5 and cs6 and mac <0 IF CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF // Condiciones de salida de posiciones largas IF cs2 THEN SELL AT MARKET ENDIF if CS then Sellshort positionsize contract at market SET STOP %LOSS sls SET TARGET %PROFIT tps endif IF cb2 THEN EXITSHORT AT MARKET ENDIF // %trailing stop function incl. cumulative positions once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong = tsl // % trailingpercentshort = tss // % once acceleratorlong = a1 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= a2 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif //***************************************** //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif //=================================== RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>rs and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endifOboeOpt, Roger and Midlanddave thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/16/2019 |
| Status: | Active |
| Attachments: | 17 files |
