End Of Day – YEN M15 Strategy
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I think you know all that it takes a 67% increase on our capital to recover the 40% drop, Even if the strategy with 40% draw down and positive it’s still a shame to lose the 40% you had won
Let’s go with a first improvement that is not really an improvement, the Hit & Run, as you can see on the original code the setting value of TP and SL is :
// STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8with this value we are from 100K to 204K JPY
but with just reduce the SL from 1 to 0,5% of the trade and increasing the profit from 0,8 to 1% we are from 100K to 245K JPY
Let’s go with the second improvement :
– I reduced the code and remove some code (maybe stupid condtion for try to ride the position, I will come back to this next time)
– at this time I use only Long position, because if I’m not wrong it’s not possible to be Long and Short in he same time with the same code (I on’t know if it’s possible to be long and shot in the same time with 2 different algo on the same stoks with IG ?)
– I add some trule even it’s not perfect for magane the SLMy question is : Why the algorithm takes me out of position at 9pm ?, You can see on the screenshot the output is represented by a red triangle
// Strategy Name : END OF DAY - YEN // Version : 2.0 // Information : I don't know what is this Strategie means ;-) // Stroks : USD/JPY Mini // Initial Capital : 100 000 JPY // Test on : 50K Candles // Spread : 2 // ============================================================ Defparam cumulateorders = false Once Capital = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime = 210000 EndTime = 231500 // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF IF LongOnMarket Then Set Stop pLoss SL ENDIF trailingstart = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss" points2BE = SL //points to keep at breakeven = Set Stop pLoss 12 startBreakeven = 30 PointsToKeep = 5 IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1) >= trailingstart * pipsize THEN newSL = tradeprice(1) + Spread * pipsize // BE + 2 x Spread ENDIF //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = newSL + trailingstep * pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIFHere I think I have understood Nicolas’ reasoning on the stop follower, it’s not perfect yet but I think it’s already better than the post just before :
// Strategy Name : END OF DAY - YEN // Version : 2.0 // Information : I don't know what is this Strategie means ;-) // Stroks : USD/JPY Mini // Initial Capital : 100 000 JPY // Test on : 50K Candles // Spread : 2 // ============================================================ Defparam cumulateorders = false Once Capital = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime = 210000 EndTime = 231500 // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF IF LongOnMarket Then Set Stop pLoss SL ENDIF points2BE = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss" IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move to BreakEven IF newSL=0 AND close-tradeprice(1) >= points2BE * pipsize THEN newSL = tradeprice(1) + Spread * 2 * pipsize // BE + 2 x Spread fees ENDIF //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = High - trailingstep * pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIFWe can see that in the position just before the exit was around 140 pips (red frame), while now for the same trade the trailing stop makes us exit with a gain of 509 pips, Of course the code is not perfect, it tends to go the other way
For the first movement of the StopLoss to the breakeven with the variable Points2BE, I voluntarily left the number 140 in order to let the position breathe, On the other hand, if you have any other ideas or proposals on this point, I’d be happy to hear them.
We should also not forget the disastrous performance at the beginning of the backtest 😅
Hi
some one can tell me how to draw my newSL Variable in my graphic price pls ?, I add this line but as you can see the graphic is on a frame alone, but I want to draw if with candles price together :
GRAPH newSL coloured(255,0,0) AS "My SL Tralling"even my variable going from 0 to a big value, that is not a problem now, but if you also have a solution for this ?
I found this solution for draw the traling stop (tks you @JC_Bywan), but how to don’t draw it when we don’t have a trade open :
// Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL ELSE TrailingSL = Undefined ENDIF GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"I also tryed this but not working :
// Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop" ELSE TrailingSL = Undefined ENDIFbut how to don’t draw it when we don’t have a trade open :
// Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL If OnMarket then GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop" endif ELSE TrailingSL = Undefined ENDIFNote that really “don’t draw” does not exist. Here you see the exit from this morning (in the coffee-spoiling topic 😉 ) and it is depicted by the green line. So this line changes position because I tell it to, but when the position is exited I stop drawing that green line (and more). Now this line keeps on drawing automatically, but while this seems strange, it is even convenient. See 2nd screenshot. You can easily see where this green line was in action, and can zoom in to it when you want. In my case these are the trailing stop exits (the darker green line). Just learn a bit to utilize this feature. You will see it is quite handy.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 03/24/2023 |
| Status: | Active |
| Attachments: | 39 files |
