Donchian Breakout DAX M5 with Volume

• 07/31/2018 at 10:42 AM #76535
  Fabian

  This is an optimized Donchian Volume Breakout System for the DAX M5 with SMA, Volume, ATR, ADXR, CCI which brings around 1.700 % in 16 months with a 5 Lot in 1 € DAX.

  The System only trades from 09 AM to 6 PM.

  The idea is to run the system for only a few weeks, and then optimize it again (mainly because of the SMAs and to avoid the negative effects of over-optimization)

  Of course you can also use some trailing stop exit or other take profits which can make the system more profitabel (trendfollowing) In this version we have a fixed % SL and TP.

  Another idea was to automate it with important resistances and supports but but I was stuck here. Maybe you have some ideas?

  //------------------------------------------------------------------------- // Hauptcode : DC-M5 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars = 2000 Handelszeit = CurrentTime > 090000 and CurrentTime < 173000 WochentagOK = (DayOfWeek = 1 OR DayOfWeek = 2 OR DayOfWeek = 3 OR DayOfWeek = 4 OR DayOfWeek = 5) // //SMA smasteigtwert SMAsteigt = Average[13](close) > Average[13](close[1]) //smasteigtwert = 100 // 460 SMAfaellt = Average[51](close) < Average[51](close[1]) //smasteigtwert = 90 // Volumen Volumensteigt = Average[30](Volume) > Average[30](Volume[1]) //VolumenMinWert = Volume > volminwert // volminwert 100 VolumenMinWert1 = Average[100](Volume) > 124 // volminwert 100 VolumenMinWert2 = Average[100](Volume) > 19 ATRminWert1 = (AverageTrueRange[10](close)) > 4.9 // minwert ATRminWert2 = (AverageTrueRange[10](close)) > 6.9 // minwert ADXRMinWert1 = ADXR[14] > 9 ADXRMinWert2 = ADXR[14] > 24 CommodityMinWertLong = CCI[20](close) > 131 // Donchian Channel N = 20 // dcperiod 20 IF BarIndex > N THEN DONupperBand = Highest[N](High)[1] DONlowerBand = Lowest[N](Low)[1] //DONmiddleBand = (DONupperBand + DONlowerBand)/2 ELSE DONupperBand = Undefined DONlowerBand = Undefined //DONmiddleBand = Undefined ENDIF PreisUeberDONupperBand = Close > DONupperBand PreisUnterDONlowerBand = Close < DONlowerBand Lotsize = 5 IF (Handelszeit AND WochentagOK AND PreisUeberDONupperBand AND ADXRMinWert1 AND VolumenMinWert1 AND SMAsteigt AND CommodityMinWertLong AND ATRminWert1 AND Volumensteigt) THEN BUY Lotsize CONTRACT AT MARKET SET STOP %LOSS 0.7 // slwert 0.5 SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4 ENDIF IF (Handelszeit AND WochentagOK AND PreisUnterDONlowerBand AND ADXRMinWert2 AND VolumenMinWert2 AND SMAfaellt AND ATRminWert2 AND Volumensteigt) THEN SELLSHORT Lotsize CONTRACT AT MARKET SET STOP %LOSS 0.7 SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4 ENDIF

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  //------------------------------------------------------------------------- // Hauptcode : DC-M5 //------------------------------------------------------------------------- DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars = 2000 Handelszeit = CurrentTime > 090000 and CurrentTime < 173000   WochentagOK = (DayOfWeek = 1 OR DayOfWeek = 2 OR DayOfWeek = 3 OR DayOfWeek = 4 OR DayOfWeek = 5) //   //SMA smasteigtwert SMAsteigt = Average[13](close) > Average[13](close[1]) //smasteigtwert = 100 // 460 SMAfaellt = Average[51](close) < Average[51](close[1]) //smasteigtwert = 90   // Volumen Volumensteigt = Average[30](Volume) > Average[30](Volume[1])   //VolumenMinWert = Volume > volminwert // volminwert 100 VolumenMinWert1 = Average[100](Volume) > 124 // volminwert 100 VolumenMinWert2 = Average[100](Volume) > 19   ATRminWert1 = (AverageTrueRange[10](close)) > 4.9 // minwert ATRminWert2 = (AverageTrueRange[10](close)) > 6.9 // minwert   ADXRMinWert1 = ADXR[14] > 9 ADXRMinWert2 = ADXR[14] > 24   CommodityMinWertLong = CCI[20](close) > 131   // Donchian Channel N = 20 // dcperiod 20 IF BarIndex > N THEN DONupperBand = Highest[N](High)[1] DONlowerBand = Lowest[N](Low)[1] //DONmiddleBand = (DONupperBand + DONlowerBand)/2 ELSE DONupperBand = Undefined DONlowerBand = Undefined //DONmiddleBand = Undefined ENDIF   PreisUeberDONupperBand = Close > DONupperBand PreisUnterDONlowerBand = Close < DONlowerBand   Lotsize = 5   IF (Handelszeit AND WochentagOK AND PreisUeberDONupperBand AND ADXRMinWert1 AND VolumenMinWert1 AND SMAsteigt AND CommodityMinWertLong AND ATRminWert1 AND Volumensteigt) THEN BUY Lotsize CONTRACT AT MARKET SET STOP %LOSS 0.7 // slwert 0.5 SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4 ENDIF   IF (Handelszeit AND WochentagOK AND PreisUnterDONlowerBand AND ADXRMinWert2 AND VolumenMinWert2 AND SMAfaellt AND ATRminWert2 AND Volumensteigt) THEN SELLSHORT Lotsize CONTRACT AT MARKET SET STOP %LOSS 0.7 SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4 ENDIF

   

  

  Fabian

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  07/31/2018 at 10:48 AM #77177
  Nicolas

  Hi HeikinAshi, thank you for sharing with us this nice strategy. Because it has been heavily optimized, as you state in your description, I can’t add it into the library until some robustness analysis had been conducted with the walk forward tool. Did you made some WFA already? 🙂

  

  Nicolas

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  08/02/2018 at 6:40 PM #77431
  Fabian

  Hi Nicolas,

  thanks for your answer. I did a lot of WFA, but not with this automatic system. Shall I do some and let you know?

  

  Fabian

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  08/04/2018 at 7:06 AM #77520
  GraHal

  Yes please let us all know, but I am going to test it out now anyway.

  Thank You for Sharing HeikinAshi 🙂
  GraHal

   

  

  GraHal

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  08/07/2018 at 11:53 AM #77711
  Nicolas

  Yes, you should make some. It’s the only way to know about overfitting or not of your optimized variables!

  

  Nicolas

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