MADMEN trading strategy

nonetheless · Tue, 11 Feb 2020 22:28:20 +0000

Here’s a nice simply strategy for the SP 1h, long only. WF is good, robustness reasonably good. 4 year backtest with MM is v nice. Position size is €9, comparable margin to €1 on the DJ. All suggestions welcome… // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 5000 Capital = 10000 MinSize = 9 //The minimum position size allowed for the instrument. MM1stType = 0 //Starting type of moneymanagement. Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased. MM2ndType = 1 //Type of money management to switch to after TradesQtyForSwitch number of trades and ProfitNeededForSwitch profit has occurred TradesQtyForSwitch = 5 //Quantity of trades required before switching to second money management choice. ProfitNeededForSwitch = 2 //% profit needed before allowing a money management type change to MM2ndType. DrawdownNeededToSwitch = 8 //% draw down from max equity needed before money management type is changed back to MM1stType. DrawdownNeededToQuit = 25 //% draw down from max equity needed to stop strategy Once MoneyManagement = MM1stType Equity = Capital + StrategyProfit maxequity = max(equity,maxequity) if equity < maxequity * (1 - (DrawdownNeededToSwitch/100)) then enoughtrades = 0 tradecount = 0 moneymanagement = MM1stType endif if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then quit endif if not EnoughTrades then if abs(countofposition) > abs(countofposition[1]) then tradecount = tradecount + 1 endif if tradecount > TradesQtyForSwitch and maxequity >= Capital * (1 + (ProfitNeededForSwitch/100)) then EnoughTrades = 1 MoneyManagement = MM2ndType endif endif IF MoneyManagement = 1 THEN PositionSize = Max(MinSize, Equity * (MinSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinSize ENDIF PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 // Size of POSITIONS PositionSizeLong = 1 * positionsize TIMEFRAME(240minutes,updateonclose) indicator2 = Average[6](typicalPrice) indicator3 = Average[10](typicalPrice) c1 = (indicator2 > indicator3) TIMEFRAME(60 minutes,updateonclose) indicator1 = SuperTrend[6,15] c2 = (close > indicator1) // Conditions to enter long positions IF c1 and c2 THEN BUY PositionSizeLong CONTRACT AT MARKET ENDIF SET STOP %LOSS 2.2 SET TARGET %PROFIT 1.6 //trailing stop function trailingstart = 30 //trailing will start @trailinstart points profit trailingstep = 1 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

This topic has 18 replies, 5 voices, and was last updated 5 years ago by nonetheless.

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02/12/2020 at 6:59 PM #119473

fifi743

Some modification
Pay attention to the 1 stop for 1 or 2 take profit ratio

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boonet

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02/12/2020 at 7:44 PM #119481

nonetheless

Thanks Fifi, the daily TF is a good idea and that is a smoother line … but it still doesn’t beat buy and hold. Over 10 years it really has to be more profitable! Hmf.

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02/12/2020 at 8:13 PM #119485

fifi743

We have to work on Mother of Dragons,
There is great potential

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02/12/2020 at 11:37 PM #119507

nonetheless

Yeah, I agree it looks the better option. I just posted a new version with different MM, check it out.

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fifi743

nonetheless
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MADMEN trading strategy

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