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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05/04/2020 at 11:20 PM #129937

eckaw

Hej Mr Cool and Sebastian,

I don’t know why your results are different. I’m using the exact same .itf as I posted and in the backtest run just now I get the attached results. Today the bot made 1 trade with a modest £11.90 profit in demo forward testing. What are your timesettings in PRT?

eckaw

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05/05/2020 at 1:50 PM #130037

MrCool

Hi echaw,

I can see we are using different time zones (I’m using +2) but shouldn’t be any difference because it’s running 24/7 with no different time settings? But I can see it’s not making same trades if you compair to the picture I attached.

Got the same 11.90 profit yesterday and now short from 10605.

MrCool

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05/05/2020 at 4:10 PM #130085

Franro

I cant start the latest .itf from mod dax because it says remove graph and probacktest. I havent learned yet what to exactly removed when that happens. Can someone send new .itf?

Franro

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05/05/2020 at 4:15 PM #130088

eckaw

Franro wrote:

I cant start the latest .itf from mod dax because it says remove graph and probacktest. I havent learned yet what to exactly removed when that happens. Can someone send new .itf?

Hi @Franro, you need to comment out those lines where it says GRAPH with // in front of it, like this //GRAPH etc

eckaw

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05/05/2020 at 5:11 PM #130107

Franro

eckaw wrote:

Franro wrote:

I cant start the latest .itf from mod dax because it says remove graph and probacktest. I havent learned yet what to exactly removed when that happens. Can someone send new .itf?

Hi @franro, you need to comment out those lines where it says GRAPH with // in front of it, like this //GRAPH etc

Now it says remove all variables from probacktest

Franro

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05/05/2020 at 5:26 PM #130109

nonetheless

Franro wrote:

remove all variables from probacktest

Take the values from the optimization box and insert them into the code, delete everything from the opt box.

Here’s a useful link for you: https://www.prorealcode.com/documentation/

1 user thanked author for this post.

Franro

nonetheless

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05/05/2020 at 6:46 PM #130118

Franro

Deleted them fully from opt box and now it works thanks nonetheless! Im new to this sorry! Where should i insert values into code ctrl+f = opt?

Franro

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05/05/2020 at 8:34 PM #130135

Sebastian Arsjo

Hi Eckaw

This is what i get ( i am using 0,5 poz size)

must be something with the time settings but can not find any time marks in the code

Sebastian Arsjo

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05/05/2020 at 9:01 PM #130140

nonetheless

@Franro – to do an optimisation, you would have a piece of code something like this:

Period= p1
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[m,n]
c3 = (close > indicator1)
c4 = (close < indicator1)

mx1 = average[mas,mas2](close)
c11 = mx1 > mx1[1]
c12 = mx1 < mx1[1]

Period= p1

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[m,n]

c3 = (close > indicator1)

c4 = (close < indicator1)

mx1 = average[mas,mas2](close)

c11 = mx1 > mx1[1]

c12 = mx1 < mx1[1]

In this example, p1, m, n, mas, mas2 are all variables, they’re placeholders for what’s in the optimisation box. Once you find the optimum values, you replace each of those with the corresponding value. That’s what I mean when I say ‘insert them in the code’. Then you have to delete everything from the opt box.

nonetheless

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05/07/2020 at 8:42 PM #130520

Marnik

Hi all, where is the latest version of Mother of dragons? Is it on the 1st page? Or has it been modified later?

Marnik

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05/07/2020 at 8:46 PM #130521

nonetheless

Click View all attachments, above. That will show you all the itf files in historical order.

nonetheless

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05/18/2020 at 8:18 AM #132064

Jabezz

Has anyone tried this with a stop loss? The DAX version posted previously can run up a high loss on some trades.

Jabezz

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05/20/2020 at 9:01 AM #132344

zilliq

nonetheless wrote:

@franro – to do an optimisation, you would have a piece of code something like this:

Period= p1 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[m,n] c3 = (close > indicator1) c4 = (close < indicator1) mx1 = average[mas,mas2](close) c11 = mx1 > mx1[1] c12 = mx1 < mx1[1]

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Period= p1

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[m,n]

c3 = (close > indicator1)

c4 = (close < indicator1)

mx1 = average[mas,mas2](close)

c11 = mx1 > mx1[1]

c12 = mx1 < mx1[1]

In this example, p1, m, n, mas, mas2 are all variables, they’re placeholders for what’s in the optimisation box. Once you find the optimum values, you replace each of those with the corresponding value. That’s what I mean when I say ‘insert them in the code’. Then you have to delete everything from the opt box.

Hi,

FYI The Hull moving average is included in PRT. It will accelerate the strategy 😉

Cheers

HullAverage[20](close)

1	HullAverage[20](close)

zilliq

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05/20/2020 at 10:30 AM #132377

nonetheless

zilliq wrote:

The Hull moving average is included in PRT

Unfortunately that’s only in v11. We lowly folk down in 10.3 still have to hard code it.

nonetheless

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05/20/2020 at 11:16 AM #132391

zilliq

I remember 😉

zilliq

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