Donchian Breakout DAX M5 with Volume

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  • #76535 quote
    Fabian
    Participant
    Master

    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

     

    DC-M5-Prorealcode.itf dcmprorealcode-1532362745p48lc.png dcmprorealcode-1532362745p48lc.png
    #77177 quote
    Nicolas
    Keymaster
    Master

    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? 🙂

    #77431 quote
    Fabian
    Participant
    Master

    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?

    #77520 quote
    GraHal
    Participant
    Master

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

    Thank You for Sharing HeikinAshi 🙂
    GraHal

    #77711 quote
    Nicolas
    Keymaster
    Master

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

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Donchian Breakout DAX M5 with Volume


ProOrder: Automated Strategies & Backtesting

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Fabian @heikinashi Participant
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This topic contains 4 replies,
has 3 voices, and was last updated by Nicolas
7 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/31/2018
Status: Active
Attachments: 2 files
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