Mother of Dragons trading strategy…

nonetheless · Tue, 21 Jan 2020 10:47:18 +0000

Well, I had to call it something, right? Attached is the first code I’ve put together that ‘seems to work’. Survives all manner of WF tests: 70-30, 50-50, 30-70 – however you want to chop it. Also does well in Vonasi’s robustness tester, Random 10-10. I tried hitting it with a very big hammer but still performs well. Uses a combination of HullMA and Supertrend on the 2h TF to define the primary trend, then another HullMA + trailing stop on a 5m TF to control entry and exit. The 5m TF doesn’t give us much in the backtest but it does well in clear uptrends and downtrends. Just that choppy bit in March 2019 where it couldn’t cope. I hate to see whole month where a strategy doesn’t come good, but one out of 16 is not too shabby. It runs around the clock so I’ve allowed for a spread of 3.3, calculated for IG as: (6.5 x 2.4 + 6.5 x 1.6 + 2 x 9.8 + 9 x 3.8)/24 All backtesting was done with MM disabled but I ran the final optimization with it turned on just to demonstrate the boost it gives. Starts with position size = 1 and by the end of the run when equity has trebled, it’s placing position size of ~3.4, so more or less in keeping with standard practise. Also reduces position size in bad patches. Credit where credit is due: Vonasi wrote the Money Management part and coded the HullMA for me. The trailing stop I believe is Nicolas’ work – big thanks to both! But the really cool thing about this strategy is that the equity graph draws a perfect profile of Daenerys Targaryen! You might have to squint a bit, but if you can’t see Daenerys then you haven’t optimized correctly. All comments, suggestions, mods etc welcome! // DJI 5m DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 5000 Capital = 10000 MinSize = 1 //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 = 15 //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 PositionSizeShort = 1 * positionsize TIMEFRAME(120 minutes) Period= 520 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] indicator1 = SuperTrend[5,21] c3 = (close > indicator1) c4 = (close < indicator1) TIMEFRAME(5 minutes) Periodb= 60 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1] c6 = HULLb < HULLb[1] // Conditions to enter long positions IF c1 AND C3 AND C5 THEN BUY PositionSizeLong CONTRACT AT MARKET SET STOP %LOSS 2.1 SET TARGET %PROFIT 1 ENDIF // Conditions to enter short positions IF c2 AND C4 AND C6 THEN SELLSHORT PositionSizeShort CONTRACT AT MARKET SET STOP %LOSS 1.2 SET TARGET %PROFIT 1 ENDIF //trailing stop function trailingstart = 84 //trailing will start @trailinstart points profit trailingstep = 3 //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 522 replies, 50 voices, and was last updated 3 years ago by LaurentBZH35.

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04/09/2020 at 12:12 PM #125405

ArnoldB

Fantastique ! Merci @nonetheless

I will try it right now.

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04/09/2020 at 12:44 PM #125409

GraHal

Wow … you’re just getting too good at this Nonetheless! 🙂

Heaps of Thanks for Sharing!

It’s even well profitable on DJI and DAX with no changes … always a good sign!

I need to clear out some of my sh1te Systems and get all these Dragons of yours on Forward Test!

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nonetheless

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04/09/2020 at 7:48 PM #125488

Linus Näslund

Thanks again for CAC, looks awsome!
@nonetheless Are the Moving average Slope all the same, or do i “f**k up” the other algos if a import another file for another indice?

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04/09/2020 at 11:08 PM #125508

nonetheless

@Linus I haven’t altered the Moving Average Slope indicator at all, it’s exactly as it comes from the library, so there shouldn’t be any problem using it elsewhere. Or if you want to modify it you can always rename it.

When optimizing, the first number (the period) can be anything (typically 25 – 75) but for the second number the range has to be 0-8 as it goes through that many MA types – simple, exponential etc. But probably you already knew that. 😎

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nonetheless

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04/10/2020 at 11:38 AM #125561

nonetheless

@Linus you can also skip the Call function and just lift the relevant bit from the Moving Average Slope indicator:

ma = average[period, maType](close)
slope = ma - ma[1]
c1 = (slope > 0)
c2 = (slope < 0)

ma = average[period, maType](close)

slope = ma - ma[1]

c1 = (slope > 0)

c2 = (slope < 0)

I’m a bit slow … only just realised this.

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Linus Näslund

nonetheless

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04/30/2020 at 5:51 AM #128912

deleted03052020

When is MoD coming for Sverige30 Cash (omxs30)? Cant wait :O

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04/30/2020 at 11:49 AM #128985

nonetheless

I think you should do it! The structure is there, so you just have to re-optimize all the variables from top to bottom. Sometimes an extra indicator is needed in the 15 or 30m TF but you can play around til you find something that works.

nonetheless

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05/01/2020 at 10:32 AM #129172

nonetheless

In the 1st month of forward testing, DAX v2 comes out the clear winner. All the others stumbled on April 20 … interesting. My DOW version was stopped and started again so lost some of the data, not a full month.

Position sizes left to right are: €1, €2, €.4 and €5

Assuming €1000 capital to run each of them, collectively this would mean approx 14% return on the month.

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05/01/2020 at 6:55 PM #129297

deleted03052020

nonetheless wrote:

In the 1st month of forward testing, DAX v2 comes out the clear winner. All the others stumbled on April 20 … interesting. My DOW version was stopped and started again so lost some of the data, not a full month.

Position sizes left to right are: €1, €2, €.4 and €5

Assuming €1000 capital to run each of them, collectively this would mean approx 14% return on the month.

Sweet results, I can just see the DOW v4.2 are there a 4.5 with changes?

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05/01/2020 at 8:22 PM #129309

nonetheless

crazytrader wrote:

are there a 4.5 with changes

Very minor changes. I only changed the version number for my own purposes. Performance is near identical.

TBH, I am a bit disappointed with these results. Yes there’s a net gain but the SP version in particular made some very bad entries and huge losses. The problem of using so many indicators over so many TFs is that it often only finds an entry at or near the high of a run where a pull back is inevitable. Seems to work in the long term but I often look at the chart and the entry thinking, ‘that’s a really dumb place to buy’. Lets see what happens next month…

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05/01/2020 at 8:50 PM #129312

deleted03052020

Ok i got you..

There are good results imo. Well its been a very bullish month. So yeah Will be Nice to see next month and so on. Ill also rum them, and hope for The best.

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05/01/2020 at 9:50 PM #129320

Sebastian Arsjo

First of all i would like to thank you for your great work

I have been running all 4 versions live since 20 april ( yes worst possible way to start)

I agree that they very often take long positions at stupid places where i would most likely want to go short. Resulting in a big draw down before turning around and making a small profit.

Dont get me wrong i really like the algos but to risk 1-2% going long when a pullback is more likely. then many times close with just 0.1-0.2 % profit just makes the algo feel “Stupid”

Not sure what ( if any? ) would be the best parameters for me to experiment with too have it enter a trend sooner or waiting for a pullback before entering

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05/01/2020 at 11:07 PM #129328

nonetheless

Sebastian Arsjo wrote:

best parameters for me to experiment with too have it enter a trend sooner

Hi Sebastian, if you can think of something I’d love to hear about it. Everything I have tried maybe solved one problem only to create others; in the long term results were always worse. In manual trading, the instinct is always to buy in the dip and sell at the peak. This algo works more on a continuation logic, ie that any strong trending move is more likely to continue in that direction — eventually — and, if there is a reversal, 9 times out of 10 it won’t go all the way to the stoploss. At least, that’s what the back tests show, which is all we really have to go on.

I think these are best used in conjunction with other strategies that move more quickly without being restricted by the 2hr TF up top, picking up the opportunities that M-o-D misses. At least, that’s what I’m working towards.

Best of luck.

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05/02/2020 at 7:25 AM #129337

deleted03052020

What if you add something to The moneymansgement lets say you enter all position with 50% and when drawdown x% it goes in with the rest 50%.

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05/02/2020 at 10:41 AM #129358

nonetheless

One way of doing that would be with some sort of averaging down code, a variation on this for example:

// averaging down
defparam cumulateorders = true

// averaging down
if longonmarket and open<close and open[1]>close[1] and close<tradeprice then
BUY 1 SHARE AT MARKET
endif

// monitor the average price of whole orders and close them accordingly
if longonmarket and close>positionprice and countofposition>-1 then
SELL AT MARKET
endif

if shortonmarket and open>close and open[1]<close[1] and close>tradeprice then
SELLSHORT 1 SHARE AT MARKET
endif

// monitor the average price of whole orders and close them accordingly
if shortonmarket and close<positionprice and countofposition<-1 then
EXITSHORT AT MARKET
endif

// averaging down

defparam cumulateorders = true

// averaging down

if longonmarket and open<close and open[1]>close[1] and close<tradeprice then

BUY 1 SHARE AT MARKET

endif

// monitor the average price of whole orders and close them accordingly

if longonmarket and close>positionprice and countofposition>-1 then

SELL AT MARKET

endif

if shortonmarket and open>close and open[1]<close[1] and close>tradeprice then

SELLSHORT 1 SHARE AT MARKET

endif

// monitor the average price of whole orders and close them accordingly

if shortonmarket and close<positionprice and countofposition<-1 then

EXITSHORT AT MARKET

endif

You’d have to play around with the specific conditions for when you add to your position. I have tried it but couldn’t get any real improvement … and of course it greatly adds to your level of risk.

In the ‘rules’ of things not to do in trading, one that often appears is “Never add to a losing position”. I guess it stuck in my mind as I really don’t like averaging down. But try it, maybe it would work?

nonetheless

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