Mother of Dragons trading strategy…

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  • #132695 quote
    Paul
    Participant
    Master

    hi nonetheless

    I was curious how your code with reentry would perform. Didn’t optimise. Uses latest atr be/ts stops from vectorial dax.

    DOW-5m-Mother.of_.Dragons-1p.itf reentry-when-position-is-in-loss-on-new-signal.jpg reentry-when-position-is-in-loss-on-new-signal.jpg
    #132698 quote
    Francesco
    Participant
    Veteran

    This is very interesting, maybe could be worth apply the reentry also on the dax version. I’ll make some tests

    Scooby and Paul thanked this post
    #132722 quote
    nonetheless
    Participant
    Master

    how your code with reentry would perform

    Thanks very much for that, not something I would have thought to do. I’ll have a closer look at it tomorrow. And as Francesco says, could also apply to the DAX which  has really been the best performer in recent months.

    #132815 quote
    Paul
    Participant
    Master

    works for the dax too I think. How did your tests go Francesco?

    #132840 quote
    nonetheless
    Participant
    Master

    Optimisation gets an improvement but not quite up to the original. This is odd  because the ATR trail works better almost everywhere else I’ve tried it, and the reenter should help. I tried a compromise of conventional break even with ATR trail but was worse. Attached image is with these values/changes:

    //if dayofweek<5 then
    ctime= hour>1
    //elsif dayofweek=5 then
    //ctime= hour>1 and hour<t2
    //endif
    
    
    
    
    
    // breakeven stop atr
    once breakevenstoptype     = 1    // breakeven stop - 0 off, 1 on
    
    once beatrperiod    = 10    // atr parameter value
    once beminstop      = 12    // minimum breakeven stop distance
    
    once bepointsorperct= 1     //[0]percentage [1]points
    
    if tradetype=1 then
    once bestoplong     = 5   // ts atr distance
    once bestopshort    = 5   // ts atr distance
    bepointstokeep      = 3  //-(sl/2) // positive or negative //not use once
    
    
    
    
    
    
    
    once trailingstoptype     = 1    // trailing stop - 0 off, 1 on
    
    once tsatrperiod    = 10         // ts atr parameter
    once tsminstop      = 12         // ts minimum stop distance
    
    if tradetype=1 then
    once tsincrements = .25         // set to 0 to ignore tsincrements
    once tsminatrdist = 1
    once tssensitivity        = 0    // [0]close;[1]high/low
    elsif (tradetype=2 or tradetype=3) then
    once tsincrements = .25         // set to 0 to ignore tsincrements
    once tsminatrdist = 1
    once tssensitivity        = 1    // [0]close;[1]high/low
    endif
    
    if trailingstoptype then
    if barindex=tradeindex then
    if tradetype=1 then
    trailingstoplong     = 8   // ts atr distance
    trailingstopshort    = 8   // ts atr distance
    elsif (tradetype=2 or tradetype=3) then
    trailingstoplong     = 6   // ts atr distance
    trailingstopshort    = 6   // ts atr distance
    endif

    Any other changes worth trying? Fifi’s pivots are inactive i think but I’m not sure how to bring them into play

    DOW-5m-Mother.of_.Dragons-v1p.jpg DOW-5m-Mother.of_.Dragons-v1p.jpg
    #132845 quote
    Francesco
    Participant
    Veteran

    works for the dax too I think. How did your tests go Francesco?

    I’m going to take a break at the sea this weekend, i’ll put my hands on it next week 🙂

    Moda and Paul thanked this post
    #132899 quote
    deleted23092025
    Participant
    New

    Just a question,, Are you keeping the bots open or closing all positions before weekend?

    #132953 quote
    nonetheless
    Participant
    Master

    I leave positions open over the weekend. I know that lots of people close everything friday evening for fear of an adverse gap when they open again, but my tests tend to show its better to let them run. Over a length of time it’s just as likely to gap in your favour.

    #132963 quote
    Sebastian Arsjo
    Participant
    Junior

    I close everything before the weekend . Maybe not as effective but i like to be “free”over the weekend no matter what goes on in the world

    I like to clear my mind and start new every week .

    swedshare thanked this post
    #132972 quote
    Paul
    Participant
    Master

    Any other changes worth trying?

    not really a.t.m. The goal of reentry is to see quickly how stable the strategy is and it looks pretty good!

    #132993 quote
    nonetheless
    Participant
    Master

    I think I misunderstood, is reentry a test rather than a part of the strategy? Something like vrt?

    #133001 quote
    Paul
    Participant
    Master

    yes a bit

    often when in a position and the same entryconditions are true again, you don’t act on those. The bigger the exit criteria are (i.e. sl/pt/ts) the more signals you could have in the same direction and it’s those signals i’am interested in .

    If taken version dow 1p short, set tradetype at 3, reenter at 1 and positionperftype at 0,1 or 2. Equitycurve & stats looks impressive & solid!  

    for long only it shows that signals are not as good as the shorts. Here is a bigger difference depending on positionperftype for the equitycurve & stats.

    With reentry, the new entry is likely to have a worse price & there are extra spread costs, which makes it the more impressive if the equity curve can hold up.

    I see it as an extra tool to create more robust parameters with optimisation and is something to experiment with.

    Sebastian Arsjo and nonetheless thanked this post
    #133002 quote
    Paul
    Participant
    Master

    at the bottom of the dow version you can add this

    if ctime then
    if (tradetype=1 or tradetype=2) and condbuy then
    buysignal=1
    else
    buysignal=0
    endif
    if (tradetype=1 or tradetype=3) and condsell then
    sellsignal=-1
    else
    sellsignal=0
    endif
    endif
    
    graph buysignal coloured(121,141,35,255)
    graph sellsignal coloured(255,0,0,255)
    swedshare thanked this post
    #133268 quote
    Paul
    Participant
    Master

    congrats nonetheless

    it’s working nicely!

    nonetheless thanked this post
    #133275 quote
    nonetheless
    Participant
    Master

    Hey, thanks for the vote of confidence. TBH I’m amazed that it works at all, but so far not too bad. Reentry is an interesting tool, I haven’t had time to play around with it yet.

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Mother of Dragons trading strategy…


ProOrder: Automated Strategies & Backtesting

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This topic contains 522 replies,
has 50 voices, and was last updated by LaurentBZH35
4 years, 10 months ago.

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Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/21/2020
Status: Active
Attachments: 195 files
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