DI TEMA Trendfollowing strategy (on DAX 5 min)

• 10/10/2019 at 9:55 PM #109882
  GraHal

  Jan Wind wrote:

  1.  Do you have any guidelines of re optimizing your auto trading model ?
  2.  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 ?

  I never seem to settle on a regular best way of doing anything! 🙂 Every week nearly I am trying a new angle!

  Your questions prompted me to check recent performance (past 4 weeks) of the version I posted here
  https://www.prorealcode.com/topic/di-tema-trendfollowing-strategy-on-dax-5-min/#post-106645

  I noticed from the equity curve that most of the gain was during that long downtrend (up to Feb 19) so it is understandable why the strategy may not perform well in the last 4 weeks choppy sessions?

  Anyway another new angle today  … I optimised over 50k bars and then backtested over 100k bars and attached is the result.

  So in answer to your Q.2 above … I don’t re-optimise over a recent period only, but I do want strategy settings to suit recent market movements so when performance drops then I re-optimise and put emphasis on recent periods … using Walk Forward as required.

  Mods … should not this Topic be in the Pro-Order Support Forum? 

   

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  Jan

  

  GraHal

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  10/10/2019 at 10:00 PM #109884
  Vonasi

  GraHal wrote:

  Mods … should not this Topic be in the Pro-Order Support Forum?

  Well spotted GraHal. I will move the topic.

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  Vonasi

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  02/04/2022 at 12:34 PM #187517
  micquan

  @GraHal and @Matriciel  A trial question but can’t find this in the documentation, MM = Average[56,3](totalprice) – how does this works and is the number 3 the horizontal shift % or vertical shift %?

  

  micquan

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  02/04/2022 at 12:42 PM #187518
  nonetheless

  56 is the period, 3 is the MA type

  0 = SMA (can be written with no number at all, ie [56])

  1 = EMA

  2 = WMA

  3 = Wilder

  4 = Triangular

  5 = End point

  6 = Time series

  7 = Hull

  8 = ZeroLag

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  Midlanddave, Matriciel

  

  nonetheless

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