hi all here is my first attempt at a micro trend following algo for the dax developed for 1min chart but works better on the 2min chart .
i would love to see if any of you clever guys can improve on it at all ??
// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// Prevents the system from creating new orders to enter the market or increase position size before the specified time
timeEnterBefore = time >= 070000
// Prevents the system from placing new orders to enter the market or increase position size after the specified time
timeEnterAfter = time < 161500
// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
// Conditions to enter long positions
indicator1 = Average[5](close)
indicator2 = Average[21](close)
c1 = (indicator1 CROSSES OVER indicator2)
IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
BUY 2 CONTRACT AT MARKET
ENDIF
// Conditions to exit long positions
indicator3 = Average[5](close)
indicator4 = Average[21](close)
c2 = (indicator3 CROSSES UNDER indicator4)
IF c2 THEN
SELL AT MARKET
ENDIF
// Conditions to enter short positions
indicator5 = Average[5](close)
indicator6 = Average[21](close)
c3 = (indicator5 CROSSES UNDER indicator6)
IF c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
SELLSHORT 2 CONTRACT AT MARKET
ENDIF
// Conditions to exit short positions
indicator7 = Average[5](close)
indicator8 = Average[21](close)
c4 = (indicator7 CROSSES OVER indicator8)
IF c4 THEN
EXITSHORT AT MARKET
ENDIF
// Stops and targets
SET STOP pTRAILING 90
SET TARGET pPROFIT 500
Hi Ian
Attached is what I get with 1 point spread over 100,000 bars on a 2 min timeframe.
Have you got any spread on your results?
Cheers
Graham
Hi graham thanks for taking a look ! And no I did not include spread an oversight on my part sorry about that !
Back to the drawing board we go !!😢
Ian just set the spread in the backtest module … tick the box and enter 1 (GMT daytime) … but you know that I’m sure.
Hey Garhal thanks for the pointer no but I do now and I will add it to all my back tests on the dax now .
Thanks again 🖒