Dax Trend following, h2 Time zone:uk

• 01/14/2019 at 11:29 AM #88471
  Francesco78

  defparam cumulateorders = false n=2 soglia = 0.02 timestart = 90000 timeend = 180000 profitti = 275 perdite = 350 timeok = time>=timestart and time<=timeend c = (sin(atan((close-open[n])/open[n]*100/n))) if c crosses over soglia and timeok then buy 1 contract at market endif if c crosses under -soglia and timeok then sellshort 1 contract at market endif set target pprofit profitti set stop ploss perdite

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  defparam cumulateorders = false n=2 soglia = 0.02 timestart = 90000 timeend = 180000 profitti = 275 perdite = 350 timeok = time>=timestart and time<=timeend   c = (sin(atan((close-open[n])/open[n]*100/n))) if c crosses over soglia and timeok  then buy 1 contract at market endif   if c crosses under -soglia and timeok  then sellshort 1 contract at market endif   set target pprofit profitti set stop ploss perdite

   

  

  Francesco78

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  01/14/2019 at 2:18 PM #88567
  Nicolas

  Thanks again Francesco, any WFA to share for this one?

  

  Nicolas

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  01/14/2019 at 2:27 PM #88571
  Francesco78

  Yes, sure

  

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  01/15/2019 at 8:55 AM #88650
  Nicolas

  Ok but the optimized variables in your first post are the ones found for a 100% IS optimization? Better to know and explain in the post because people will ask a lot of questions 🙂

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  Wilko

  

  Nicolas

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  01/16/2019 at 10:55 AM #88756
  O-jay8

  Hello Francesco,
  Thank you again for another contribution. It is really appreciated.
  I have a question, do you optimise all of the data or do you use in-sample and out-of-sample?

  Best regards

  

  O-jay8

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  01/16/2019 at 10:58 AM #88757
  Francesco78

  The first

  Francesco78 wrote:

  defparam cumulateorders = false<br /> n=2<br /> soglia = 0.02<br /> timestart = 90000<br /> timeend = 180000<br /> profitti = 275<br /> perdite = 350<br /> timeok = time>=timestart and time<=timeend</p> <p>c = (sin(atan((close-open[n])/open[n]*100/n)))<br /> if c crosses over soglia and timeok then<br /> buy 1 contract at market<br /> endif</p> <p>if c crosses under -soglia and timeok then<br /> sellshort 1 contract at market<br /> endif</p> <p>set target pprofit profitti<br /> set stop ploss perdite

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  defparam cumulateorders = false n=2 soglia = 0.02 timestart = 90000 timeend = 180000 profitti = 275 perdite = 350 timeok = time>=timestart and time<=timeend c = (sin(atan((close–open[n])/open[n]*100/n))) if c crosses over soglia and timeok then buy 1 contract at market endif if c crosses under –soglia and timeok then sellshort 1 contract at market endif set target pprofit profitti set stop ploss perdite

  is optimized over the whole set of data.

  the second post shows walk forward 75/25

  Hope this answer your question

  Regards

   

  

  Francesco78

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  01/17/2019 at 1:31 PM #88923
  Nicolas

  Strategy added into the library: DAX Trend following: 2-hours timeframe

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  Francesco78

  

  Nicolas

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  01/17/2019 at 1:36 PM #88926
  Francesco78

  Thank you!

  

  Francesco78

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  01/20/2019 at 4:49 PM #89167
  Gianluca

  Ciao, i had very different result with 200k bars, but anyway i changed something in the code.

  i have 2 questions
  in this function

  c = (sin(atan((close–open[n])/open[n]*100/n)))

  1	c = (sin(atan((close–open[n])/open[n]*100/n)))

  i never seen the command SIN AND ATAN what are they? and how you found them? i the function search of PRT they aren’t presents. Thank you.

  This is my version of your code, hoping could help.

  defparam cumulateorders = false //1/TRAILING STOP////////////////////////////////////////////////////// once trailinstop= 1 //1 on - 0 off trailingstart = 100 //trailing will start @trailinstart points profit trailingstep = 60 //trailing step to move the "stoploss" ///2 BREAKEAVEN/////////// once breakeaven = 1 //1 on - 0 off startBreakeven = 50 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 30 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread) n=2 soglia = 0.01 sogliashort=-0.06 timestart = 90000 timeend = 180000 profitti = 165 entratalong=0 entratashort=0 timeok = time>=timestart and time<=timeend c = ((sin(atan((close-open[n])/open[n]*100/n)))*100)+close c2 = (sin(atan((close-open[n])/open[n]*100/n))) graphonprice c if c>close and c2 > soglia and timeok then entratalong=high+1*pipsize sl = (entratalong - low) / pipsize buy 1 contract at entratalong stop//market entratalong=0 set target pprofit profitti set stop ploss sl+10 endif if c<close and c2<sogliashort and timeok then entratashort=low-1*pipsize sl = (high - entratashort) * pipsize sellshort 1 contract at entratashort stop entratashort=0 set target pprofit profitti set stop ploss sl+10 endif ///1/////////////////////////////////////////////// //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF //2//////////////////////////// //test if the price have moved favourably of "startBreakeven" points already if breakeaven>0 then IF onmarket 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 endif //************************************************************************ //trailing stop function if trailinstop>0 then //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 ENDIF endif

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  defparam cumulateorders = false //1/TRAILING STOP////////////////////////////////////////////////////// once trailinstop= 1   //1 on - 0 off trailingstart = 100 //trailing will start @trailinstart points profit trailingstep = 60 //trailing step to move the "stoploss" ///2 BREAKEAVEN/////////// once breakeaven = 1    //1 on - 0 off startBreakeven = 50 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 30 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread)   n=2 soglia = 0.01 sogliashort=-0.06 timestart = 90000 timeend = 180000 profitti = 165 entratalong=0 entratashort=0 timeok = time>=timestart and time<=timeend   c = ((sin(atan((close-open[n])/open[n]*100/n)))*100)+close c2 = (sin(atan((close-open[n])/open[n]*100/n))) graphonprice c   if c>close and c2 > soglia and timeok  then entratalong=high+1*pipsize sl = (entratalong - low) / pipsize buy 1 contract at entratalong stop//market entratalong=0 set target pprofit profitti set stop ploss sl+10 endif   if c<close and c2<sogliashort and timeok then entratashort=low-1*pipsize sl = (high - entratashort) * pipsize sellshort 1 contract at entratashort stop entratashort=0 set target pprofit profitti set stop ploss sl+10 endif     ///1/////////////////////////////////////////////// //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF //2//////////////////////////// //test if the price have moved favourably of "startBreakeven" points already if breakeaven>0 then IF onmarket 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 endif   //************************************************************************ //trailing stop function if trailinstop>0 then //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 ENDIF endif

  

  

  

  Gianluca

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  01/20/2019 at 5:06 PM #89171
  Vonasi

  https://www.prorealcode.com/documentation/category/mathematical/

  https://www.prorealcode.com/documentation/sin/

  https://www.prorealcode.com/documentation/atan/

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  01/21/2019 at 3:39 PM #89251
  Gianluca

  thank you!

  

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  12/22/2019 at 11:22 PM #115397
  nonetheless

  Ciao Francesco, I have added a trailing stop to your code which seems to help but I’m unclear about the WFE. See the screen shots below, does this look over-optimized?

  This is my version:

  defparam cumulateorders = false n=2 soglia = 0.02 timestart = 90000 timeend = 180000 profitti = 280 perdite = 340 timeok = time>=timestart and time<=timeend c = (sin(atan((close-open[n])/open[n]*100/n))) if c crosses over soglia and timeok then buy 1 contract at market endif if c crosses under -soglia and timeok then sellshort 1 contract at market endif set target pprofit profitti set stop ploss perdite //trailing stop function trailingstart = 57 //trailing will start @trailinstart points profit trailingstep = 1 //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 ENDIF

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  defparam cumulateorders = false n=2 soglia = 0.02 timestart = 90000 timeend = 180000 profitti = 280 perdite = 340 timeok = time>=timestart and time<=timeend   c = (sin(atan((close-open[n])/open[n]*100/n))) if c crosses over soglia and timeok  then buy 1 contract at market endif   if c crosses under -soglia and timeok  then sellshort 1 contract at market endif   set target pprofit profitti set stop ploss perdite   //trailing stop function trailingstart = 57 //trailing will start @trailinstart points profit trailingstep = 1 //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 ENDIF

   

  

  nonetheless

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