EURUSD Morning Entry V1
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- This topic has 67 replies, 20 voices, and was last updated 4 years ago by Vonasi.
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06/13/2019 at 11:55 AM #100533
Hello Guys,
Paul, thanks for posting this code. I really like it.
Overall I did a little Analysis and the conditions C1, C2 and C5 are not improving the performance significantly. As Jebus89 already mentioned the strategy is already very profitable by just applying the time condition. In my opinion only rule c3 and C4 adding a substantial surplus which improves the Netprofit/DD ratio.
See the chart attached.Overall I think it is important not to add too many rules and rise the level of complexity artificially to tweak it until the maximum.
06/13/2019 at 12:37 PM #10053906/13/2019 at 12:49 PM #100542Using the same time in eurJPY as well? I thought i tried that without good results?
Im running this live using 1 contract just to see what happens, the max DD is so low so its no worries for my account.
Im using all the C rules, but as mentioned by me and other i think im going to review them a bit more and remove the not important ones as stated in earlier comment.
06/13/2019 at 1:24 PM #10054506/13/2019 at 1:31 PM #100547Overall I did a little Analysis
Very interesting, thank you! Not seen this done before.
- Did it take long?
- Is it an analysis you do on other Systems or a first time one-off?
- If not a first time … are results generally similar to findings on the link above?
06/13/2019 at 1:35 PM #100550I’m trying to test the strategy with long trades. The results aren’t as good as short trades. Trading hours between 18h and 20h (UTC+2) improves a bit the strategy and maintain a smoothed equity curve. I’ve only made a test with 100k data. Do you still have an improvement with 200k data?
EURUSD 15M Morning Entry LONG1234567891011121314151617181920212223242526272829DEFPARAM CUMULATEORDERS = falseCtimeAchat = time >= 180000 AND time < 200000//LONGSif time=200000 thenlevel=low[1]endifc1= close > dopen(0)c2= low > dlow(1)c3= level < dhigh(1)c4= level < dhigh(2)bu= BollingerUp[20](close)bd= BollingerDown[20](close)ba= (bu+bd)/2c5= ba>ba[1] or low < buif CtimeAchat and c1 and c2 and c3 and c4 and c5 THENbuy 1 contract at marketendifif LongOnMarket and time=200000 THENsell at marketendifset stop %loss 0.506/13/2019 at 5:28 PM #100569Sometimes I will have an optimized variable such as ‘c’ which is used purely to select a set of conditions to use in the back test. This way it is easy to test every possible combination side by side to see which ones have the most benefit. With a lot of conditions it can result in a lot of options but once you have the code then it is a simple thing just to change the c1, c2, c3 conditions to whatever your latest idea uses and paste it into your new strategy.
Something like:
12345678910111213141516171819202122232425//c = 0 //optimized variablec1 = open > closec2 = open > high[1]c3 = open < low[1]if c = 1 thencondition = c1 and c2 and c3endifif c = 2 thencondition = c1 and c2endifif c = 3 thencondition = c1 and c3endifif c = 4 thencondition = c2 and c3endifif condition thenbuy 1 contract at marketendif06/13/2019 at 5:45 PM #10057106/14/2019 at 10:13 AM #10063306/14/2019 at 10:34 AM #100636select a set of conditions to use in the back test.
I added above code to here
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06/14/2019 at 12:06 PM #10064306/14/2019 at 1:18 PM #10064906/14/2019 at 1:19 PM #10065006/14/2019 at 2:23 PM #100660The breakeven is a pain to quickly test 200k bars.
An alternative can be to close the position when the Bollingerbands distance are getting smaller.
1234bu= BollingerUp[20](close)bd= BollingerDown[20](close)ba= (bu+bd)/2br= (bu-bd)1234567if shortonmarket and time=141500 and positionperf(0)*100<0.3 thenexitshort at marketelseif time> 141500 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] thenexitshort at marketendifendifFound this quick, perhaps there’s room to improve without a breakeven!
Small one, lower the entrycriteria for the bollingerbands, and use previous bu, instead of the current
1c5= ba<ba[1] or high > bu[1]06/14/2019 at 4:37 PM #100686Hi Grahal,
- It can be quick if one prepared everything on Excel already. There you just need the final result from each added condition
- I just read it in the book (trading systems a new approach to system optimisattion from Jaekle/Tomasini) Was the first time I did it and will continue do to so for future optimisations
Overall I can only recommend to read that book for systematic trading, especially how to optimise
Same is true for the book “Kevin Davey – Building Algorithmic Trading Systems”
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