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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06/07/2020 at 9:18 AM #134955

Lifen

Here is Nonetheless version

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bertrandpinoy

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06/07/2020 at 11:51 AM #135001

betson

nonetheless, i also had two winning trades, 3rd trade is the one i mentioned, it is still open, i let it run to check whether it will use the full stop lose or close it early, so far used more than 1% stop loss. i attached the screen shot of this.

i thank you and others for this wonderful work.

hope this feed back helps to make this bot more better.

regards

betson

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06/07/2020 at 2:39 PM #135038

nonetheless

Sorry to all, my live version is without Fifi’s changes which explains why i didn’t get that third trade on Friday. Hope it comes good for you if the NFP bounce holds into next week.

@Lifen, that is indeed a very cautious MM – and I’m sure it’s very sensible. Personally my view is that if a position of .5 feels an acceptable risk with starting capital of around €2k, then after €1k of strategy profit why shouldn’t a position of .75 also feel acceptable? Same % risk, and by then you have the added confidence that the algo is actually capable of turning that kind of profit. As they say, ‘nothing succeeds like success’ … but to each his own.

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06/07/2020 at 2:57 PM #135041

Lifen

@Nonetheless Yes this is a very cautions MM, I post it to work on the part of MM and add input on the strategy but for sure you can change some parameters and you will see the performance is much higher. I was conservative.

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06/08/2020 at 1:26 PM #135190

nonetheless

betson wrote:

when all indicators, super trend ,rsi, macd all showing sell it took a buy, which shouldn’t be happen in normal conditions

Happy now? you got another winning trade. The MoD sees things we mortals cannot see (well, sometimes she does…)😉

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06/08/2020 at 2:34 PM #135199

betson

ya, i start to believes so. Full credit goes to the creators.

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06/10/2020 at 10:44 AM #135391

boonet

Hi @nonetheless,

Great strategy.! Thanks for putting tonn of effort into this.
I have put this on live with MM on and positionsize=1.
I haven’t caught any trades yet, but will update more once I do.

Question: If you were to optimise this for any other instrument what would be your approach to this as it has about 30 parameters in this algo.

I think now its time this great strategy evolves to support lower TFs and other instruments. I will start with some forex.

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06/10/2020 at 11:13 AM #135399

Francesco

Here’s the DAX version with fifi’s fix. A lot of improvements BUT VERY BAD ROBUSTNESS TEST, so be careful.

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betson, nonetheless, bertrandpinoy, TraderGlyn, boonet, EricN78

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06/10/2020 at 11:31 AM #135406

nonetheless

@Boonet, if you click on View All Attachments above you’ll find existing versions for the DAX, CAC and SP. Only way to rework it for other instruments is to go through all parameters one by one.

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Alfred, boonet

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06/10/2020 at 11:37 AM #135407

TraderGlyn

Thanks Francesco.

I wondered if you might be able to clarify what would define a poor level of robustness. I searched for “robustness test” and found Vonasi’s code, or are their other standard options in PRT you can point to to see this myself.

Assume it’s not the reliability of code itself but more the ability of the strategy itself to remain with certain results parameters over the majority of market conditions?

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06/10/2020 at 11:40 AM #135408

Francesco

TraderGlyn wrote:

Thanks Francesco.

I wondered if you might be able to clarify what would define a poor level of robustness. I searched for “robustness test” and found Vonasi’s code, or are their other standard options in PRT you can point to to see this myself.

Assume it’s not the reliability of code itself but more the ability of the strategy itself to remain with certain results parameters over the majority of market conditions?

Robustness test it’s able to give us an idea on how much it’s overoptimized the strategy through the randomization of the system’s positions; poor robustness test levels means that it’s very possible that the backtest results will not remain the same in the future. Personally i never use on my live account systems without a very good and personal preferred level.

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06/10/2020 at 2:22 PM #135440

Francesco

Here’s the CAC version with fifi’s fix. As before, lot of improvements BUT ALSO WORSTER ROBUSTNESS TEST.

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betson, boonet, Fabiano, nonetheless, bertrandpinoy

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06/10/2020 at 4:23 PM #135465

Francesco

Last but not least, SP version. Same warnings as before

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boonet

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06/10/2020 at 4:53 PM #135469

betson

hi, is there any FTSE 100 version any chance pls

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06/10/2020 at 5:06 PM #135471

betson

Hi @nonetheless,
Great strategy.! Thanks for putting the effort into this.

I have been running this program for more than a week, even though all the LONG positions are very profitable, this bot never opened a single SHORT position yet.

none of my back tests shows any SHORT positions. am i doing something wrong or everyone the same ???

It is very odd.

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