Discussing PsycoKiller breakout DAX strategy

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06/05/2020 at 3:41 PM #134726 quote

sfl
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Average

Hi,

I am new to the forum and platform, I was playing with this strategy I created by assembling other codes. This is a breakout strategy on DAX 15minutes, it seems to work on the long run as you can see from the equity line but still has many issues, I ran it live for the last month.

In the last versione (which I enclose) I have used trailing and breakeven function from MoD strategy and other code probably from Nicolas.

The strategy works from 9:30am to 19:00pm ( I prefer filtering volatility during opening hours due to false breakouts).The only parameters that have been optimized are TakeProfit, StopLoss and TrailingProfit because they can be adapted to the current market conditions. Others parameters like lookbackperiods or ADX or RSI should NOT be optimized in order to reduce overfitting.

I usually refit SL,TP and Trailing every 4 weeks, it should be nice to try to implement some kind of autorefitting ( I saw something ML in this forum ).

Well, feel free to comment and discuss this strategy along with suggestion and critics.

thank you for your time,

Sfl

backtest_200periods_15min.png backtest2_200periods_15min.png last2000periods.png PsycoKiller_DAX_v5.itf

06/05/2020 at 4:01 PM #134736 quote

zilliq
Participant

Master

Thanks for your work

Max drawdown/runup =0 ?? I think there is an error

And for me Win/loss 1.16 is too low and on market>50 % is to high (Higher you are in the market more you can have problems)

I think in your code you need to cut loss faster

Just my opinion

06/05/2020 at 4:12 PM #134739 quote

Francesco
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Veteran

zilliq wrote:

Max drawdown/runup =0 ?? I think there is an error

It’s not an error, is a common bug of the v10.3

zilliq thanked this post

06/05/2020 at 4:26 PM #134743 quote

robertogozzi
Moderator

Master

Clicking the spanner inside the highlighted tab, then click “Detailed Report” and all correct stats will be redisplayed correctly.

x-2.jpg

06/05/2020 at 4:46 PM #134746 quote

sfl
Participant

Average

HI,

I forgot to mention that I am using prorealtiem v10.3 with IG account.

Here we have maxDD which is around 1600euro, let’s say 2000euro, a way to much high for my taste 🙂

06/05/2020 at 5:12 PM #134750 quote

sfl
Participant

Average

zilliq wrote:

Thanks for your work

Max drawdown/runup =0 ?? I think there is an error

And for me Win/loss 1.16 is too low and on market>50 % is to high (Higher you are in the market more you can have problems)

I think in your code you need to cut loss faster

Just my opinion

Thank you, yes but the profit factor dosent tell the truth becasue I usually refit the Sl,TP and trailing every month based on last market conditions.

Anyway I agree, cut losses or change the entry,any idea is welcomed.

Have a good weekend

ciao

06/05/2020 at 5:22 PM #134751 quote

zilliq
Participant

Master

You Too 😉

Ps: More than the absolute Max drawndown I think the % of max drawdown is better (you can have it in the complete result, sadly not in the window with results).

Lower is better. Personaly <5 % is very good, 5-10 % good, 10-20 average and never more than 20 %
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