M15 SP500 LowBuyHighSell Strategy
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please note as mentioned that I was running the code on futures data, and on time zone of u.s.-exchange. there main trading hours are 08:30-15:15, which usually corresponds to 15:30-22:15 CET, but not always – because of other time differences during “daylight saving”-adjustments in u.s. and europe. so you will need some tricks and effort just in order to replicate 100% correctly the time data if your run the code on sp500 cfds in the CET zone. please note as well that in my code system considers only entries from 00:00 till 13:30, so in the (CET-adjusted) line
“if not onmarket and time < 203000 then”
you have to add a time condition “and time >= 070000” if you run it on cfds/CET (and change to different time during dayligh-saving adjustments)
there are other differences as well, which one has to consider when running a system on cfds vs futures, so you will probably never see exactly 100% same result on both even for exactly same code.
phoentzs,
my code for futures does not really look at daily/24h candle. as you see I even removed the daily timeframe. as “close” I am taking the close at 15:15 – so at the end of the main trading hours. and for day’s high and low I am taking the highest/lowest price points which where set by market from midnight through the main trading hours until 15:15= very end of main trading hours (maybe it would be enough just to consider high/low/close of main trading hours 08:30-15:15, I did not test it yet, but sure I will).
yep, me was well – I am very convinced about robstness of your general idea/concept. you have very few very stright forward parameters, which you either cannot “optimize” at all, or which you cannot “optimize” a lot, and even quite significant changes of some parameters do not destroy the system totally. it’s very hard to “kill” this system (unless one changes it in some way which happens to be total nonsense). and this is what one wants/needs to do – try to “kill” system, instead of “optimizing” it for beutiful equity curves (and then sell them on “marketplace” :-D). maybe it’s like serious science: scientist invent a theory – and then they try their best to falsify it, serious scientists are not trying to prove it. for “normal” people it’s very depressing approach, when it comes to science, and when it comes to trading. but “normal” people lose money in the markets, right? and lose at lot, and lose very consistently…(I mean – I am talking here my own loser-experience as well!) so “you and me” need to do/behave very ab-normal in order to make money in the markets. (see what happens right now: dax is making new all time highs – and what is the customer sentiment on IG platform? 83% are short… no need to add anything about “normal” behaviour)
now, about you “spilling the beans” 😀 my personal view is – you should not have done it. but it is always up to you… I was also thinking some while before publishing my adjustments (still not all of them… there is a very simple way to quite significantly improve short trades of that system) and insights from s&p futures backtest. but in the end I decided to publish it – because you published your general concept. I hope folks here appreciate a lot your contribution/inspiration!
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Hi Phoentzs, thanks for sharing this algo – nice idea.
Here’s a treatment with a few small changes.
UK times, positionsize = 5
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Hey Grahal, hope all is well with you. I’ve been lurking around in the background for a while, always good to see new ideas!
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