Donchian Breakout DAX M5 with Volume
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- This topic has 4 replies, 3 voices, and was last updated 5 years ago by Nicolas.
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07/31/2018 at 10:42 AM #76535
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?1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556//-------------------------------------------------------------------------// Hauptcode : DC-M5//-------------------------------------------------------------------------DEFPARAM CumulateOrders = falseDEFPARAM PreLoadBars = 2000Handelszeit = CurrentTime > 090000 and CurrentTime < 173000WochentagOK = (DayOfWeek = 1 OR DayOfWeek = 2 OR DayOfWeek = 3 OR DayOfWeek = 4 OR DayOfWeek = 5) ////SMA smasteigtwertSMAsteigt = Average[13](close) > Average[13](close[1]) //smasteigtwert = 100 // 460SMAfaellt = Average[51](close) < Average[51](close[1]) //smasteigtwert = 90// VolumenVolumensteigt = Average[30](Volume) > Average[30](Volume[1])//VolumenMinWert = Volume > volminwert // volminwert 100VolumenMinWert1 = Average[100](Volume) > 124 // volminwert 100VolumenMinWert2 = Average[100](Volume) > 19ATRminWert1 = (AverageTrueRange[10](close)) > 4.9 // minwertATRminWert2 = (AverageTrueRange[10](close)) > 6.9 // minwertADXRMinWert1 = ADXR[14] > 9ADXRMinWert2 = ADXR[14] > 24CommodityMinWertLong = CCI[20](close) > 131// Donchian ChannelN = 20 // dcperiod 20IF BarIndex > N THENDONupperBand = Highest[N](High)[1]DONlowerBand = Lowest[N](Low)[1]//DONmiddleBand = (DONupperBand + DONlowerBand)/2ELSEDONupperBand = UndefinedDONlowerBand = Undefined//DONmiddleBand = UndefinedENDIFPreisUeberDONupperBand = Close > DONupperBandPreisUnterDONlowerBand = Close < DONlowerBandLotsize = 5IF (Handelszeit AND WochentagOK AND PreisUeberDONupperBand AND ADXRMinWert1 AND VolumenMinWert1 AND SMAsteigt AND CommodityMinWertLong AND ATRminWert1 AND Volumensteigt) THENBUY Lotsize CONTRACT AT MARKETSET STOP %LOSS 0.7 // slwert 0.5SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4ENDIFIF (Handelszeit AND WochentagOK AND PreisUnterDONlowerBand AND ADXRMinWert2 AND VolumenMinWert2 AND SMAfaellt AND ATRminWert2 AND Volumensteigt) THENSELLSHORT Lotsize CONTRACT AT MARKETSET STOP %LOSS 0.7SET TARGET %PROFIT 0.58//SET TARGET PROFIT 4ENDIF07/31/2018 at 10:48 AM #77177Hi 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? 🙂
08/02/2018 at 6:40 PM #7743108/04/2018 at 7:06 AM #77520Yes please let us all know, but I am going to test it out now anyway.
Thank You for Sharing HeikinAshi 🙂
GraHal08/07/2018 at 11:53 AM #77711 -
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