This is my improve idea on how to use FBS on Bund 1H. You can get it to work on the 30min too. And the short-side worked as well with some tweaking.
I have a okayish result on AUDUSD but it’s probably curve fitted with such short history as I have on the 30 min. If anyone else wants to have a go here it is.
ALEModerator
Master
Hello Victor,
Thanks very much, This evening I’ll work on it!
Ciao
ALE
ALEModerator
Master
Hello Guy,
Have you find big differences between demo or real and probacktest results on this strategy?
Hi, No not yet. However I just recently started with the 1H. Before I was testing the 30M on my demo, which worked fine. However when I have been trying another type of breakout strategy on Bund I did get some mixed result when the high/low price is just touching the bid/ask price zone around stop/target. Have you found something that is not working?
I did have some concerns that the dynamic target would give an incorrect backtest result since it recalculate the target on each new candle but that doesn’t seem to be the case. When I have compared my backtest end the trading on my demo it has been correct.
Good morning ALE,
Sto’ facendo girare la strategia in un piccolo conto in ambiente ‘ LIVE ‘ ( Out-of sample)…
Se anche tu come credo , stai facendo girare la strategia in reale avrai notato che la strategia lavora e pare in linea con quanto discusso e analizzato in Back test .
In quest’ultimo mese pero’ non c’è stato un buon profitto e quello che ho notato è che i guadagni realizzati sono di importi relativamente bassi ….
mentre quando il sistema perde , perde cifre consistenti in rapporto ai guadagni
Forse un mese è ancoro poco per analizzare un sistema nella realta ??
ALEModerator
Master
Buongiorno Jr
il primo problema è l’affidabilità dei dati del Probacktest, il secondo e l’affidabilità dei dati di IG. Entrambi possono essere diversi dalla realtà.
La differenza che noti, è dovuta alla chiusura delle posizioni con lo stop dinamico, molto stretto.
Good morning Jr.
The first problem is the reliability of Probacktest data, the second, and the reliability of IG data. Both can be different from reality.
The difference you notice is due to the closure of the positions with the dynamic stop, very tight.
Buongiorno Ale,
grazie per la risposta
Ok sullo STOP dinamico stretto … anche se mi aspetto che nel lungo periodo il TS possa dare soddisfazioni
Per quanto riguarda l’affidabilità dei dati , scludendo questioni di slippage , GAP ecc , bhe non mi aspetterei particolari differenze dalla realtà in quanto ne và della reputazione di IG ….
Posso chiederti se lo hai già attivato in conto live o sei ancora su conto DEMO ?
ALEModerator
Master
Sono live con differenti size, ma ho trovato discostamenti su alcuni versioni tra chiusura probacktest e chiusura reale.
Con questa versione attiva dal 16 maggio in reale non ho riscontrato differenze tra test e reale
I’m live with different sizes, but I found discrepancies on some versions between probacktest closure and real closure.
With this version active since May 16 in real I did not find any difference between test and real
//-------------------------------------------------------------------------
// Codice principale : FRACTAL BREAKOUT EURUSD 1HVb
//-------------------------------------------------------------------------
//EURUSD(-) - IG MARKET
// TIME FRAME 1H
// PROBACKTEST TICK by TICK - 200.000 bars
// SPREAD 0.6 PIP
// ALE
DEFPARAM CumulateOrders = FALSE
///BILL WILLIAM FRACTAL INDICATOR
//CP=PERIOD
CP=113
if close[cp] >= highest[2*cp+1](close) then
LH = 1
else
LH=0
endif
if close[cp] <= lowest[2*cp+1](close) then
LL= -1
else
LL=0
endif
if LH=1 then
HIL = close[cp]
endif
if LL = -1 then
LOL=close[cp]
endif
//LONG and SHORT CONDITIONS
Positionsize=1
if (time >=100000 and time < 230000) then
C1 = (close CROSSES OVER HIL)
D1 = (close CROSSES UNDER LOL)
IF c1 and not shortonmarket THEN
BUY positionsize CONTRACT AT MARKET
ENDIF
IF D1 and not longonmarket THEN
SELLSHORT positionsize CONTRACT AT MARKET
ENDIF
ENDIF
//TRAILING STOP
TGL =10
TGS=10
if not onmarket then
MAXPRICE = 0
MINPRICE = close
PREZZOUSCITA = 0
ENDIF
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close)
if MAXPRICE-tradeprice(1)>=TGL*pointsize then
PREZZOUSCITA = MAXPRICE-TGL*pointsize
ENDIF
ENDIF
if shortonmarket then
MINPRICE = MIN(MINPRICE,close)
if tradeprice(1)-MINPRICE>=TGS*pointsize then
PREZZOUSCITA = MINPRICE+TGS*pointsize
ENDIF
ENDIF
if onmarket and PREZZOUSCITA>0 then
EXITSHORT AT PREZZOUSCITA STOP
SELL AT PREZZOUSCITA STOP
ENDIF
// DONCHIAN STOP
DC=20
e= Highest[DC](high)
f=Lowest[DC](low)
if longonmarket then
laststop = f[1]
endif
if shortonmarket then
laststop = e[1]
endif
if onmarket then
sell at laststop stop
exitshort at laststop stop
endif
set target pprofit 30
ALEModerator
Master
Mr Jr,
Please write in english to permit comprehension for the others
Thanks
Ale
Ale,
I founded all TS version very interested , actually I ‘am using the version pubblished in page 1 ( with KAsper reinvestment version) but I ‘am looked there were some different , for example the TGL/TGS used is 5 and in you last post ( up here) are 10 .
I test with 10 , Could be better ?
Regards.
ALEModerator
Master
Hello Jr
yes I prefer it.
Ciao Ale, volevo chiederti se i TS che hai sono validati, perchè se non si validano i TS sono destinati inesorabilmente a crashare dopo poche settimane o meno..
naturalmente questo vale per tutti quelli che postano TS 🙂
c è anche l Average net profit che deve essere capiente per contenere i costi e lo sleeppage… non è possibile tradare TS che hanno un guadagnoper trade di pochi eur.
P.S.
volevo chiederti ,se non sono troppo di disturbo , visto che conosci bene le strategie break-out , se potevi dirmi come modificare il seguente codice di un TS sul pattern IDNR4,
il TS va long al superamento del max della candela di set-up e va sellshort a condizioni inverse, ma l autore dell IDRN4 dice che se una volta entrati long (o shortsell) e i prezzi scendono e rompono il minimo della stessa candela di set-up il sistema si mette sell-short , l autore dice che si potrebbero avere sino a 3 false rotture dopo di che il Ts va flat.
grazie tante Alex
ID = high<high[1] and low>low[1]
rang = range
NR4 = rang<range[1] and rang<range[2] and rang<range[3]
if ID and NR4 then
test = 1
hh = highest[4](high)
ll = lowest[4](low)
endif
if test = 1 then
BUY 1 SHARE AT hh STOP
SELL 1 SHARE AT ll STOP
endif
if longonmarket then
SELL AT ll STOP
test = 0
elsif shortonmarket then
EXITSHORT AT hh STOP
test = 0
endif
Hi Ale, I wanted to ask you if the TSs you have are validated, because if you do not validate the TSs they are inexorably destined to crash after a few weeks .
Of course this applies to all those who post ts 🙂
There is also the Average net profit that must be capacious to contain costs and sleeppage … TS can not trade with a few eur trading profits.
I wanted to ask you, if I’m not too disturbed, as you know the break-out strategies, if you could tell me how to modify the following code of a TS on the IDNR4 pattern,the TS goes long to overcome of candle -high ,and sellshort to inverse conditions, but IDRN4 writer says that if we enter long (or shortsell) and prices go-back and break the minimum of the same set- Up candle the system close the trade long and open sell-short , the author says it could have up to 3 false breaks after which the Ts goes flat
Thanks so much anyway
edited line 5 (by robertogozzi)
ALEModerator
Master
Hello Enzo,
You validate TS using the data, but you can discover that your Montecarlo analisys or WF… etc , are made by false data… So you have a validation, but TS doesn’t work in real. Do you understand what I mean?. If you make analisys of it, you will never find a loses, because Montecarlo uses the same data that you are looking in the pictures.
I let you know about your questions..
Thanks
Ale
