Mean reverting strategy on Cac40 2H

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Viewing 13 posts - 1 through 13 (of 13 total)
  • 11/04/2017 at 8:40 PM #51513
    stefou102

    Hello,

    first strategy contribution from my side, hope you will appreciate it. Wanted to share this strategy as payback for this great community, which already helped me having two very profitable automated strategies running live (goal is to reach 10).

    I haven’t reinvented the wheel with this mean reversing strategy. Some similar strategies have already been posted but I feel the results are better than what I have seen:

    • simple entry rules based on price reaching extreme level as defined by bollinger bands + some filters (candelsticks, volatility)
    • stop loss set near recent low/high
    • order accumulation (double the initial size max) if we are still in profit avec 10 bars
    • standard trailing stop
    • Take profit if we reach the opposite bollinger bands

    Optimization is very limited (for the trailing stop and the volatility filter), so intuitively it should be robust. Montecarlo simulatation gives reassuring results.

    The strategy performs very well on Cac40, ok on some other European index, but not on US index. Maybe the concept is too well known already and too much algo have run it there. So main caveat for me is that it could stop working in the future.

    Will start paper trading asap.

    There is room of improvement, so I count on your ideas!

    6 users thanked author for this post.
    avatar Ste, avatar Juan Salas, avatar rejo007, avatar Yannick, avatar Despair, avatar Nicolas
    11/04/2017 at 8:47 PM #51522
    Despair

    Looks interesting! Did you run a WFA and is the monte carlo done with OOS-trades only?

    Strange for 2h timeframe I have just a few months history though I have PRT premium. 🙁

    11/04/2017 at 10:02 PM #51533
    Nicolas

    Thanks a lot stefou, I’ll have a look next week. What kind of trailing stop in your code? And..for people browsing the forums to find strategies running well live, what are the 2 ones you are satisfied with?

    11/04/2017 at 10:35 PM #51537
    stefou102

    WFA with the main optimized paramaters, the trailing stop steps (TGL & TGS). For me, it suggests that optimizing the strategy on latest 3 years of data is robust, but you may have a different view?

    I made the error to use in-sample data for the Montecarlo simulation, sorry irrelevant then.

     

    11/04/2017 at 10:42 PM #51539
    Nicolas

    Ok so this is the coded trailing stop, sounds good.

    @Despair     welcome in the Master Member circle 😆

    1 user thanked author for this post.
    avatar Despair
    11/04/2017 at 11:01 PM #51540
    stefou102

    yes nicolas, I’m reusing some bits of code from the forum. Is there some trailing stop versions that causes an issue?

    For info, I trade live an edited version of the fractal strategy on EURUSD  proposed by ALE + Pathfinder on the index posting best perf on a rolling period

    11/04/2017 at 11:04 PM #51541
    stefou102

    I trade also a lot manually on EU+US stocks, but grow increasingly frustrated that Prorealtime doesn’t allow semi-automatic trading + auto-trading on a list of stocks. Just sharing my frustration;)

    11/05/2017 at 12:45 AM #51544
    Despair

    Autotrading on selected stocks depending on some criteria would be awesome! ProOrder connected to ProScreener somehow.

    11/06/2017 at 9:01 PM #51734
    Yannick

    Hello Stefou

    Thanks for the idea and the code

    Do you have an idea how to replace these parameters with % ? (to make it less optimised and for long term evolution of price?) in your backtest, the CAC goes from 2500 to 6000.

    Regards

     

     

    11/09/2017 at 10:37 PM #52179
    stefou102

    Hello Yannick.

    we could replace TGL and TGS by a multiple of the average true range(in my code “myATR”), so effecitvely making the trailing stop function of the volatility. + you can remove the maxATR threshold, doesn’t add any value.

    Any other ideas to improve the code?

     

    11/10/2017 at 9:34 AM #52195
    Nicolas

    I updated the code and made a quick optimization (only to validate the ATR trailing stop) :

    • fixed points trailing stop change to ATR multiple one
    • “stoploss” SLS and SLL pending orders removed and replaced by SET STOP LOSS instructions (compatibility with limited risk accounts and to avoid being 1 bar without stoploss)

    Overall result may have changed since the first version stefou102 has kindly shared with us, a new global WFA should be made.

    11/10/2017 at 12:15 PM #52220
    rejo007

    Thanks nicolas,

    PRT ask to replace the variables by fix values.

    what fix values do you use?

    thanks

    11/10/2017 at 12:23 PM #52221
    Nicolas

    The last ones that your optimisation OOS period has validated, according to your WFA.

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