mlv stategy
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I have this running on us100 nasdaq 5 min tf. Was a few times about to close it, but let it run. Had the feeling live (demo) did a bit better then what I saw in the (bad) backtest.
So there’s a good 2 months of data. (ignore that it mentions dax).
//------------------------------------------------------------------------- // Hoofd code : MLV DAX v3p 24h hull #2 //------------------------------------------------------------------------- defparam cumulateorders = false defparam preloadbars = 10000 TIMEFRAME (default) once enablesl = 1 // stoploss once enablept = 1 // profit target once enablets = 1 // trailing stop atr once displaysl = 0 // stop loss once displaypt = 0 // profit target once displayts = 0 // trailing stop atr once positionweekend = 1 // weekend position then ignore time once fridayclosetime = 225500 once tds=4 // settings once positionsize = 1 once sl = 0.5 once pt = 2.0 // general underlaying=100 // strategy TIMEFRAME (15 minutes,updateonclose) // MID-LEVEL 1 ml1 = (High[i] + Low[i]) / 2 // MID-LEVEL 2 Newhigh = 0 For i = 1 to 13 do IF high[i] > Newhigh THEN Newhigh = high[i] ENDIF NEXT Newlow = 1000000000000 For i = 1 to 13 do IF low[i] < Newlow THEN Newlow= low[i] ENDIF NEXT ml2 = (Newhigh + Newlow) /2 // MID-LEVEL 3 Newhigh = 0 For i = 1 to 4 do IF high[i] > Newhigh THEN Newhigh = high[i] ENDIF NEXT Newlow = 1000000000000 For i = 1 to 4 do IF low[i] < Newlow THEN Newlow= low[i] ENDIF NEXT TIMEFRAME (default) // trend detection system if tds=0 then trendup=1 trenddown=1 else if tds=1 then // 1 hour trendup=(average[7](totalprice)>average[7](totalprice)[1]) trenddown=(average[1](totalprice)<average[1](totalprice)[1]) else if tds=2 then trendup=(Average[20](close)>Average[20](close)[1]) trenddown=(Average[35](close)<Average[35](close)[1]) else if tds=3 then period= 14 inner = 2*weightedaverage[round( period/2)](typicalprice)-weightedaverage[period](typicalprice) hull = weightedaverage[round(sqrt(period))](inner) trendup = hull > hull[1] trenddown = hull < hull[1] else if tds=4 then period= 14 inner = 2*weightedaverage[round( period/2)](totalprice)-weightedaverage[period](totalprice) hull = weightedaverage[round(sqrt(period))](inner) trendup = hull > hull[1] trenddown = hull < hull[1] endif endif endif endif endif // condbuy = ml1 crosses over ml2 condbuy = condbuy and close<close[1] and open<open[1] condbuy = condbuy and trendup condsell= ml1 crosses under ml2 condsell= condsell and close>close[1] and open>open[1] condsell= condsell and trenddown // if condbuy then buy positionsize contract at market endif if condsell then sellshort positionsize contract at market endif // close position on friday if positionweekend=0 then if onmarket then if currentdayofweek=5 and time>=fridayclosetime then sell at market exitshort at market endif endif endif // if enablets then // once steps=0.05 // set to 0 to ignore steps once minatrdist=3 once atrtrailingperiod = 14 // atr parameter once minstop = 10 // minimum trailing stop distance if barindex=tradeindex then trailingstoplong = 4 // trailing stop atr distance trailingstopshort = 4 // trailing stop atr distance else if longonmarket then if newsl>0 then if trailingstoplong>minatrdist then if newsl>newsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif endif if shortonmarket then if newsl>0 then if trailingstopshort>minatrdist then if newsl<newsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl=round(atrtrail*trailingstoplong) trailingstarts=round(atrtrail*trailingstopshort) tgl=trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close newsl=0 endif // if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then newsl=maxprice-tgl*pointsize else newsl=maxprice-minstop*pointsize endif endif endif // if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then newsl=minprice+tgs*pointsize else newsl=minprice+minstop*pointsize endif endif endif // if longonmarket then if newsl>0 then sell at newsl stop endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif endif // if displayts then //graphonprice newsl coloured(0,0,255,255) as "trailingstop atr" endif endif // display profittarget if enablept then if not onmarket then ptarget=0 elsif longonmarket then ptarget=tradeprice(1) +((tradeprice(1) *pt)/underlaying)*pointsize elsif shortonmarket then ptarget=tradeprice(1) -((tradeprice(1) *pt)/underlaying)*pointsize endif set target %profit pt if displaypt then //graphonprice ptarget coloured(121,141,35,255) as "profittarget" ptarget=ptarget endif endif // set stoploss if enablesl then if not onmarket then sloss=0 elsif longonmarket then sloss=tradeprice(1) -((tradeprice(1) *sl)/underlaying)*pointsize elsif shortonmarket then sloss=tradeprice(1) +((tradeprice(1) *sl)/underlaying)*pointsize endif set stop %loss sl if displaysl then //graphonprice sloss coloured(255,0,0,255) as "stoploss" sloss=sloss endif endifquick look at this old one, on the dow 1m.
Added part of nonetheless setup and changed entry criteria.
Optimised roughly on 200k from july ’20 & compared to 1m and of-course data before 200k is poor with exception the months april-mei-june ’20
results atm are with no trailingstop or breakeven, no overnight/weekend, a relatively small stoploss & a slightly bigger profittarget.
defparam cumulateorders = false defparam preloadbars = 2000 defparam flatbefore = 080000 once tradetype = 1 // [1]ls [2]l [3]s once positionsize=1 once sll = 0.6 // stoploss long once sls = 0.6 // stoploss short once ptl = sll*1.4 // profittarget long once pts = sls*1.4 // profittarget short // time ctime=openhour<21 TIMEFRAME (15 minutes) indicator1 = SuperTrend[2,10] indicator1a = SAR[0.015,0.015,0.02] cnd1 = (close > indicator1) or (close > indicator1a) cnd2 = (close < indicator1) or (close < indicator1a) // MID-LEVEL 1 ml1 = (High[i] + Low[i]) / 2 // MID-LEVEL 2 Newhigh = 0 For i = 1 to 2 do IF high[i] > Newhigh THEN Newhigh = high[i] ENDIF NEXT Newlow = 1000000000000 For i = 1 to 2 do IF low[i] < Newlow THEN Newlow= low[i] ENDIF NEXT ml2 = (Newhigh + Newlow) /2 // MID-LEVEL 3 Newhigh = 0 For i = 1 to 7 do IF high[i] > Newhigh THEN Newhigh = high[i] ENDIF NEXT Newlow = 1000000000000 For i = 1 to 5 do IF low[i] < Newlow THEN Newlow= low[i] ENDIF NEXT ml3 = (Newhigh + Newlow) /2 TIMEFRAME (default) max1=max(ml1,ml2) max2=max(max1,ml3) min1=min(ml1,ml2) min2=min(min1,ml3) // conditions condbuy = ml1 > ml3 and ml1 crosses under ml2 condbuy = condbuy or (ml1 > ml2 and ml1 crosses under ml3) and cnd1 condbuy = condbuy and (max2-min2)>8 condsell= ml1 < ml3 and ml1 crosses over ml2 condsell= condsell or (ml1 < ml2 and ml1 crosses over ml3) and cnd2 condsell = condsell and (max2-min2)>2 // entry criteria if ctime then if tradetype=1 then if not longonmarket and condbuy then buy positionsize contract at market set stop %loss sll set target %profit ptl endif if not shortonmarket and condsell then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif elsif tradetype=2 then if not longonmarket and condbuy then buy positionsize contract at market set stop %loss sll set target %profit ptl endif elsif tradetype=3 then if not shortonmarket and condsell then sellshort positionsize contract at market set stop %loss sls set target %profit pts endif endif endif if dayofweek=5 and time>=215500 then sell at market exitshort at market endifGraHal thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 04/16/2020 |
| Status: | Active |
| Attachments: | 8 files |
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