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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06/10/2020 at 5:23 PM #135473

Artemois

Hi @betson, my backtest (version 4.7) shows short positions on may 13,14 and two on 15th. You cannot see these ?

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06/10/2020 at 5:42 PM #135478

nonetheless

@betson, it only moves in the direction of the primary trend, ie if the 2hr chart is rising it can only go long and only goes short if the 2hr is falling. There’s been a pullback in the last couple of days but technically we’re still in an uptrend.

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boonet

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06/10/2020 at 6:16 PM #135494

betson

sorry , my mistake ,i can see those trades, my apologies

@nonetheless, thanks for the reply

regards

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06/11/2020 at 4:32 AM #135525

Dow Jones

Hi @nonetheless,

I have been working to enhance the strategy by limiting the loss. I have added a lot of filtering using BB%. Attached.

For each filter the parameter undergone WFA, but seems all 5 iterations having quite consistent value as per set in the .itf

I also did the VRT and attach result. Left is v4.7 result, right is the modified one (v4.7.1a)

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boonet

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06/11/2020 at 4:47 AM #135529

Dow Jones

Dow Jones wrote:

I have added a lot of filtering using BB%. Attached.

Btw, I was utilizing the opening bar for one of the filters thus time function was used, time zone is UTC+8.

// ---------   US DAY LIGHT SAVINGS MONTHS      ---------------- //
mar = month = 3 // MONTH START
nov = month = 11 // MONTH END
IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN
USDLS=010000
ELSE
USDLS=0
ENDIF

once shortStep = 0
once longStep = 0
once openStrongLong = 0
once openStrongShort = 0
if not onmarket or (time <= 223000 - USDLS and time >= 050000 - USDLS) then
shortStep = 0
longStep = 0
openStrongLong = 0
openStrongShort = 0
endif

//detect strong direction for market open
once rangeOK = 45
once tradeMin = 500
IF (time >= 223500 - USDLS) AND (time <= 223500 + tradeMin - USDLS) THEN
openStrongLong = close > open AND close - open > rangeOK
openStrongShort = close < open AND open - close > rangeOK
ENDIF

// --------- US DAY LIGHT SAVINGS MONTHS ---------------- //

mar = month = 3 // MONTH START

nov = month = 11 // MONTH END

IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN

USDLS=010000

ELSE

USDLS=0

ENDIF

once shortStep = 0

once longStep = 0

once openStrongLong = 0

once openStrongShort = 0

if not onmarket or (time <= 223000 - USDLS and time >= 050000 - USDLS) then

shortStep = 0

longStep = 0

openStrongLong = 0

openStrongShort = 0

endif

//detect strong direction for market open

once rangeOK = 45

once tradeMin = 500

IF (time >= 223500 - USDLS) AND (time <= 223500 + tradeMin - USDLS) THEN

openStrongLong = close > open AND close - open > rangeOK

openStrongShort = close < open AND open - close > rangeOK

ENDIF

In case of USA time zone, just need to remove the DLS (day light saving) and adjust the time something like this (not tested)

// ---------   US DAY LIGHT SAVINGS MONTHS      ---------------- //
//mar = month = 3 // MONTH START
//nov = month = 11 // MONTH END
//IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN
//USDLS=010000
//ELSE
//USDLS=0
//ENDIF

once shortStep = 0
once longStep = 0
once openStrongLong = 0
once openStrongShort = 0
if not onmarket or (time <= 093000 or time >= 160000) then
shortStep = 0
longStep = 0
openStrongLong = 0
openStrongShort = 0
endif

//detect strong direction for market open
once rangeOK = 45
once tradeMin = 500
IF (time >= 093500) AND (time <= 093500 + tradeMin) THEN
openStrongLong = close > open AND close - open > rangeOK
openStrongShort = close < open AND open - close > rangeOK
ENDIF

// --------- US DAY LIGHT SAVINGS MONTHS ---------------- //

//mar = month = 3 // MONTH START

//nov = month = 11 // MONTH END

//IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN

//USDLS=010000

//ELSE

//USDLS=0

//ENDIF

once shortStep = 0

once longStep = 0

once openStrongLong = 0

once openStrongShort = 0

if not onmarket or (time <= 093000 or time >= 160000) then

shortStep = 0

longStep = 0

openStrongLong = 0

openStrongShort = 0

endif

//detect strong direction for market open

once rangeOK = 45

once tradeMin = 500

IF (time >= 093500) AND (time <= 093500 + tradeMin) THEN

openStrongLong = close > open AND close - open > rangeOK

openStrongShort = close < open AND open - close > rangeOK

ENDIF

Haven’t check in case of Paris or UK time zone…need to keep the DLS code and adjust the time accordingly I think

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06/11/2020 at 11:31 AM #135572

nonetheless

Hi @DowJones, thanks so much for your work on this.

In this section

//detect strong direction for market open
once rangeOK = 45
once tradeMin = 500
IF (time >= 093500) AND (time <= 093500 + tradeMin) THEN
openStrongLong = close > open AND close - open > rangeOK
openStrongShort = close < open AND open - close > rangeOK
ENDIF

//detect strong direction for market open

once rangeOK = 45

once tradeMin = 500

IF (time >= 093500) AND (time <= 093500 + tradeMin) THEN

openStrongLong = close > open AND close - open > rangeOK

openStrongShort = close < open AND open - close > rangeOK

ENDIF

I would suggest adding another candle to the opening time, ie 094000 NY time, just to give it a bit longer to establish the direction.

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Dow Jones

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06/11/2020 at 6:13 PM #135620

Dow Jones

Hi @nonetheless, thanks for your suggestion. I have a question for your strategy. There are many variables and in different time frame, how do you perform optimization?

I like to see how to apply this to another market, but it is hard to work with many variables without a good strategy to start. I’m thinking the following, do you have suggestion?

1. Disable trailing stop, SL and TP

2. Remove some of the indicators, keep just 2 condition pairs (e.g. c1, c3 for long, c2, c4 for short), optimize them until obtain a good range, and perform WFA

3. Keep the first 2 condition pairs parameter fixed, add 2 other condition pairs, and redo optimizing

4. Add back SL, TP and trailing stop and optimize them

5. Have all parameters (except SL, TP and trailing) open for optimization but just 1 step above and 1 step below, perform WFA

6. Perform VST

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06/11/2020 at 11:36 PM #135647

boonet

Here is the strategy optimised for SP100.

Haven’t run any robustness test on it. Feel free to run one and let me know if it is any reliable.

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06/12/2020 at 12:11 AM #135652

Francesco

Why a 3 months backtest?

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06/12/2020 at 12:15 AM #135654

boonet

@Francesco

Sorry with my non-premium account thats the best I can do. Can you try it on a larger data , if you can? May be its a better test to see if the optimisation actually works.. 🙂

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06/12/2020 at 12:17 AM #135655

Francesco

Please try to avoid double posts.

With 100k you can go back to jan 2019; anyway both 100k and 200k are a complete disaster.

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06/12/2020 at 2:30 AM #135657

Jabezz

I’ve been trading the Dow version on my live account but I’ve been surprised it hasn’t taken any shorts during this recent dip. The 2 hour is trending down, maybe the dip has been too sharp? Anybody had any short trades in the last day or so?

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06/12/2020 at 7:11 AM #135658

bertrandpinoy

hello no trip home either

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06/12/2020 at 9:56 AM #135686

Artemois

@Jabezz I have not detected any trades this week, there was a closing early monday. Latest short trades was in mid may

I’m impressed of this algo, even though I don’t understand the code fully yet. Especially to consider the market even after entry is from my small experience unique. The rented algos I’m running are blindfolded after entry. Thank You for sharing so we newbies are able to learn and test before wo contribute. Enjoy the upcoming weekend!

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06/12/2020 at 11:46 AM #135704

nonetheless

@ Dow Jones, this post #123625 gives some explanation of the overall structure and logic to the strategy. On that basis, my approach to optimisation is to treat each of the 3 trends separately; first the 2hr primary trend, then the 15m/30m secondary trend, then the 5m minor trend. SL, TP and trail come last. I expect that your approach could work perfectly well, but you might end up with a completely different algo. Try it and let us know.

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Dow Jones

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