DI TEMA Trendfollowing strategy (on DAX 5 min)

• 06/15/2019 at 11:12 PM #100774
  Jan

  You are invited to comment on the strategy “DI TEMA Trendfollowing strategy on DAX 5 min”

  Thank you very much in advance for findings, comments, robustness.

  

  Jan

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  06/16/2019 at 11:04 AM #100789
  AlgoAlex

  Where’s the strategy?

  

  AlgoAlex

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  06/16/2019 at 11:34 AM #100791
  robertogozzi

  You can find it in the library.

  

  robertogozzi

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  06/16/2019 at 12:26 PM #100793
  GraHal

  Attached for DAX spread = 2

  

  GraHal

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  06/16/2019 at 12:36 PM #100796
  GraHal

  Works even better on DJI 1 min spread = 4

  2 users thanked author for this post.

  reb, Jan

  

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  07/29/2019 at 10:28 PM #103739
  Peter

  Jan,

  thanks for sharing. I played around with time settings but nothing worked.

  My results are attached.

  /Peter

  

  Peter

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  08/22/2019 at 1:52 PM #105295
  Jesper

  I’m trying to figure out why leaving out the overnight data makes such a big difference on the outcome as the algo is server side?

  

  Jesper

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  09/05/2019 at 5:54 PM #106633
  kalleklovn

  I´m using this now with real $ and its working good i use the 30 min chart with settings.

  DEFPARAM CumulateOrders = false // Cumulating positions deactivated //VARIABLES once SLperc = 105 // Stoploss percentage 105/10000 * Close (150) once TrailSLPerc = 60 // Trailng Stoploss percentage 85/10000 * Close 60 once Tema2 = 10 // Tema setting for opening long/short positions 10 once DI2 = 7 //DI setting for opening long/short positions 7 once Duration = 12 // number of bars in trade before reducing the trailing stop 12 once Factor = 7/10//factor to reduce trailing stoploss after some time in the trade once StartE = 74500 //start time for opening positions once StartL = 103000 //ending time for opening positions (only trading in the morning) once N = 1 // initieel aantal contracten OTD = Barindex - TradeIndex(2) > IntradayBarIndex // limits the (opening) trades till 1 per day

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  DEFPARAM CumulateOrders = false // Cumulating positions deactivated //VARIABLES once SLperc = 105 // Stoploss percentage 105/10000 * Close (150) once TrailSLPerc = 60 // Trailng Stoploss percentage 85/10000 * Close 60 once Tema2 = 10 // Tema setting for opening long/short positions 10 once DI2 = 7 //DI setting for opening long/short positions 7 once Duration = 12 // number of bars in trade before reducing the trailing stop 12 once Factor = 7/10//factor to reduce trailing stoploss after some time in the trade   once StartE = 74500 //start time for opening positions once StartL = 103000 //ending time for opening positions (only trading in the morning) once N = 1 // initieel aantal contracten OTD = Barindex - TradeIndex(2) > IntradayBarIndex // limits the (opening) trades till 1 per day

   

  

  kalleklovn

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  09/05/2019 at 7:11 PM #106639
  Vonasi

  kalleklovn – please use the ‘Insert PRT Code’ button to embed code when posting as it makes it much easier for every one to read. I have tidied up your post for you. 🙂

  1 user thanked author for this post.

  kalleklovn

  

  Vonasi

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  09/05/2019 at 7:30 PM #106642
  kalleklovn

  Thanks i´m still new and never really been active on any forums 🙂

  

  kalleklovn

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  09/05/2019 at 9:01 PM #106645
  GraHal

  @kalleklovn thank you for sharing your settings.

  Your share prompted me to look at the 5 min version and I can see that it dropped off in performance after publishing in the library (as so many Systems do).

  As seen from attached the drop off just needs a bit of re-opti to get back on track. I found the variables very  very responsive!

  I’ll try and remember to check the settings regularly! 🙂

  Thank you @Jan Wind for sharing this Strategy with us all.

  EDIT / PS

  The .itf should state DAX (not DJI) … one eye on the TV again, sorry! 🙂

   

   

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  Curre68, reb

  

  GraHal

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  10/10/2019 at 12:08 AM #109771
  Jan

  Hello GraHal

  “As seen from attached the drop off just needs a bit of re-opti to get back on track. I found the variables very  very responsive!

  I’ll try and remember to check the settings regularly! 🙂 ”

  Do you have any guidelines of re optimizing your auto trading model ? Do you do it every week, and than for 1 year of history for instance ? Or how do you do this ?  Re-optimizing implicitly means that you are assuming that the last data gives the best change of predicting future movements.  Then a very important question is what is “the best” set of data ?

  Kind regards, Jan Wind

  

  Jan

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  10/10/2019 at 7:07 AM #109775
  Matriciel

  A new strategy for Jan Wind !

  Works on EUR/USD 15 minutes timeframe.

  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Horaire = time >= 000000 and time <= 200000 CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 PositionsizeV = 1 MAXSHARES = abs(COUNTOFPOSITION) <= 19 IF CloturePartielle THEN PositionsizeA = 4 PositionsizeV = 3 ENDIF MM = Average[56,3](totalprice) Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1)) Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2) CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu) // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

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  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000   daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   Horaire = time >= 000000 and time <= 200000   CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 PositionsizeV = 1 MAXSHARES = abs(COUNTOFPOSITION) <= 19   IF CloturePartielle THEN PositionsizeA = 4 PositionsizeV = 3 ENDIF   MM = Average[56,3](totalprice)   Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1))   Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2)   CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu)   // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF   IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF   IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF   IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF   IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF   // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF   IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF   IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF   IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF   //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

   

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  Jan

  

  Matriciel

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  10/10/2019 at 3:51 PM #109831
  GraHal

  Thank you for your excellent work @Matriciel, but as it is a different strategy than this Topic (DI TEMA) would it not be better posted as a separate topic then the Community can easier discuss / comment / improve your strategy?

  Not that it needs much improving! 🙂

  I reduced to 1 Lot for easier comparison to other Systems, but we can’t do Fwd Test anyway with a strategy that Sells / ExitShort on partial Lot size (as your code does)… it has to be for example Sell at ….

  I have enabled tick by tick mode! 🙂

  

  GraHal

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  10/10/2019 at 9:20 PM #109880
  Matriciel

  <span lang="en" tabindex="0">Hi Grahal, I know this is not the place for this strategy but it was Jan Wind who asked me because I have problems to copy / paste in the subject concerned.</span>

  1 2	<span lang="en" tabindex="0">Hi Grahal, I know this is not the place for this strategy but it was Jan Wind who asked me because I have problems to copy / paste in the subject concerned.</span>

  

  Matriciel

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