Dax / UT 2mn / Long only.

• 07/06/2017 at 7:54 PM #39966
  Inertia

  Dear Nicolas,

  I am pleased to share the following strategy.

  The trade is triggered by the MACD histo / TF – 2mn / Instrument: DAX, 1eur.

  I stand ready for your kind feedback.

  IMPORTANT: Great forum, thx to Nicolas, Maz, Ale, Maverick 😉 , and everyone else for your ideas and bit of codes !

  DJ

   

  // // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 220000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 220000 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position acheteuse indicator1 = MACDline[16,26,9](close) c1 = (indicator1 > 0) indicator2 = MACD[16,26,9](close) c2 = (indicator2 CROSSES OVER 0) IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF //trailing stop trailingstop = 28 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 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 SET STOP ploss 120 SET TARGET pPROFIT 200

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  //   // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 220000   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 220000 timeEnterAfter = time < noEntryAfterTime   // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions pour ouvrir une position acheteuse indicator1 = MACDline[16,26,9](close) c1 = (indicator1 > 0) indicator2 = MACD[16,26,9](close) c2 = (indicator2 CROSSES OVER 0)   IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF   //trailing stop trailingstop = 28   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 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   SET STOP ploss 120 SET TARGET pPROFIT 200

   

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  Nicolas

  

  Inertia

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  07/06/2017 at 8:44 PM #39973
  Inertia

  The code. 😉

  

  Inertia

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  07/07/2017 at 10:51 AM #40010
  Nicolas

  Thanks Inertia. I moved the topic to ProOrder section and add the code with the correct button to insert code 🙂

  It’s great you made the walk forward analysis! So the only setting you optimized is the “trailingstop” variable? Any change to get a short version to see how it goes?

  

  Nicolas

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  07/07/2017 at 10:21 PM #40052
  Inertia

  Thank you Nicolas. Yes for the “trailingstop”, and replaced the MACD 12 26 9 by 16 26 9…Is that the correct way to do a WF ?

  Attached the short version…How does this sounds like ?

  DJ

  Dax 15 TF Short only

  //Dax 15mn / short only // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 214500 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 214500 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position en vente à découvert indicator1 = MACD[12,26,9](close) c1 = (indicator1 CROSSES UNDER 0) indicator2 = MACDline[12,26,9](close) c2 = (indicator2 < 0) indicator3 = ExponentialAverage[2000](close) c3 = (close < indicator3) indicator4 = ExponentialAverage[2000](close) indicator5 = ExponentialAverage[2000](close) c4 = (indicator4 < indicator5[1]) IF (c1 AND c2 AND c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF //trailing stop trailingstop = 28 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 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 SET STOP ploss 62// SET TARGET pPROFIT 250//

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  //Dax 15mn / short only // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 214500   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime   // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 214500 timeEnterAfter = time < noEntryAfterTime   // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions pour ouvrir une position en vente à découvert indicator1 = MACD[12,26,9](close) c1 = (indicator1 CROSSES UNDER 0) indicator2 = MACDline[12,26,9](close) c2 = (indicator2 < 0) indicator3 = ExponentialAverage[2000](close) c3 = (close < indicator3) indicator4 = ExponentialAverage[2000](close) indicator5 = ExponentialAverage[2000](close) c4 = (indicator4 < indicator5[1])   IF (c1 AND c2 AND c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF   //trailing stop trailingstop = 28 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 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 SET STOP ploss 62// SET TARGET pPROFIT 250//

  

  Inertia

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  07/08/2017 at 7:30 AM #40068
  Inertia

  Dear Nicolas,

  Attached is the best I can do: => Stop Loss set to 45 and No target (No Limits !!)

  OK?

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  Francesco78

  

  Inertia

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  07/08/2017 at 4:23 PM #40094
  T-rader

  Thanks for sharing! Is it really possible to have both trailing an stop loss in the same code?

  

  T-rader

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  07/08/2017 at 5:11 PM #40097
  Inertia

  Hi T-rader.

  Yes at first. Then it works roughly like a OCO order. Once the value of the trailing stop gain in profit, the original stop will be cxl’d to be moved to the trailing value.

  Hope this is clear. 😉

  https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

  Tx.

  

  Inertia

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  07/08/2017 at 7:07 PM #40110
  Nicolas

  I made videos in French to explain the WFA. If you made a backtest for the whole history with optimized variables of one of your OOS period, I think you did not understand how it should work 🙂

  Anyway, I think we should be careful with the result of the WF test you made for a main reason, most of the Out Of Sample results have huge WFE (>200%).

  Why did you made the test of the short version on a 15 minutes timeframe? While the long one is designed for the 2 minutes one?

  

  Nicolas

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  07/08/2017 at 7:22 PM #40115
  Inertia

  Thank you Nicolas. WF’s feedback much appreciated. I’ll have a look asap.

  Short version: It doesn’t work well with the TF 2mn. The 15TF works much better for this kind of signal.

  The idea would be to start both strategies at once and one may partially cover the losses of the other.

  But, agree, it is not a perfect TF match Long Short…

  Based on your experience, don’t you think that these 2 strategies, despite their different TF deserve a try ?

  Tx again for your time and kind help on it.

  DJ

   

  

  Inertia

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  07/08/2017 at 7:43 PM #40118
  Nicolas

  Well, the spread is not the same after 170000, you should reduce the schedules of the strategy or add at least 1 point to the spread in backtests.

  I just realized that your short version can’t work effectively because your trailing stop function doesn’t include the short orders but only the long ones!

  

  Nicolas

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  07/08/2017 at 9:10 PM #40139
  Inertia

  OMG 🙁 – but thank you…

  1 pts added (total of 2).

  Attached the versions with and without trailing stop.

  Same amount of draw downs in both case … My choice goes logically to the most profitable one.

  I will WF it and put them in a demo account see how it goes.

  Thank you Nicolas.

   

  

  Inertia

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  07/09/2017 at 9:35 AM #40155
  Nicolas

  The trailing stop version for short orders can be easily found in forums or directly into comments of the blog post related to it.

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  Inertia

  

  Nicolas

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