Mother of Dragons trading strategy…
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@ @nonetheless (ps. still searching for you)
Can you think of any reason why MM v5 and V.5a would be giving me these blank results. I am literally using the code that you both posted.
DJI MOD v5 works perfectly (see attached). It’s really strange.
This is DJI v5a + MM
// Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 5000 //Money Management DOW MM = 1 // = 0 for optimization if mm = 1 then prof = 0 ddpp = 212// max dd per point ddm = 2 // multiples of max drawdowns to factor into positionsize capital = 350 //starting bank dpct = 5 //% margin for deposit deposit = (open/100)*dpct //margin per point pri = 1 // percent to reinvest as a decimal positionsize = (capital +((strategyprofit + prof)*pri))/((ddm*ddpp)+deposit) if positionsize < 0.25 then positionsize = 0.2 endif else once positionsize = 0.2 endif TIMEFRAME(2 hours,updateonclose) Period= 495 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[8,4] c3 = (close > indicator1) c4 = (close < indicator1) ma = average[60,3](close) c11 = ma > ma[1] c12 = ma < ma[1] //Stochastic RSI | indicator lengthRSI = 15 //RSI period lengthStoch = 9 //Stochastic period smoothK = 10 //Smooth signal of stochastic RSI smoothD = 5 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c13 = K>D c14 = K<D TIMEFRAME(30 minutes,updateonclose) indicator5 = Average[2](typicalPrice) indicator6 = Average[7](typicalPrice) c15 = (indicator5 > indicator6) c16 = (indicator5 < indicator6) TIMEFRAME(15 minutes,updateonclose) indicator2 = Average[4](typicalPrice) indicator3 = Average[8](typicalPrice) c7 = (indicator2 > indicator3) c8 = (indicator2 < indicator3) Periodc= 22 innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice) HULLc = weightedaverage[round(sqrt(Periodc))](innerc) c9 = HULLc > HULLc[1] c10 = HULLc < HULLc[1] TIMEFRAME(10 minutes) indicator4 = SuperTrend[2,6] indicator4a = SAR[0.025,0.025,0.1] c19 = (close > indicator4) or (close > indicator4a) c20 = (close < indicator4) or (close < indicator4a) TIMEFRAME(5 minutes) //Stochastic RSI | indicator lengthRSIa = 3 //RSI period lengthStocha = 6 //Stochastic period smoothKa = 9 //Smooth signal of stochastic RSI smoothDa = 3 //Smooth signal of smoothed stochastic RSI myRSIa = RSI[lengthRSIa](close) MinRSIa = lowest[lengthStocha](myrsia) MaxRSIa = highest[lengthStocha](myrsia) StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa) Ka = average[smoothKa](stochrsia)*100 Da = average[smoothDa](Ka) c23 = Ka>Da c24 = Ka<Da ma3 = average[15,3](typicalPrice) c21 = ma3 > ma3[1] c22 = ma3 < ma3[1] Periodb= 15 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2] c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2] // Conditions to enter long positions IF dhigh(0)-high<300 and c1 AND C3 AND C5 and c7 and c9 and c11 and c13 and c15 and c19 and c21 and c23 THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 ENDIF // Conditions to enter short positions IF low-dlow(0)<600 and c2 AND C4 AND C6 and c8 and c10 and c12 and c14 and c16 and c20 and c22 and c24 THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 2 SET TARGET %PROFIT 2.2 ENDIF //================== exit in profit if longonmarket and C6 and c8 and close>positionprice then sell at market endif If shortonmarket and C5 and c7 and close<positionprice then exitshort at market endif //==============exit at loss if longonmarket AND c2 and c6 and close<positionprice then sell at market endif If shortonmarket and c1 and c5 and close>positionprice then exitshort at market endif //%trailing stop function once trailingpercentlong = 0.21 // % once trailingpercentshort = 0.24 // % once accelerator = 0.05 // 1 = default; always > 0 (i.e. 0.5-3) once accelerator2 = 0.01 // 1 = default; always > 0 (i.e. 0.5-3) once ts2sensitivity = 2 // [0]close;[1]high/low;[2]low;high //==================== once steppercentlong = (trailingpercentlong/10)*accelerator once steppercentshort = (trailingpercentshort/10)*accelerator2 if onmarket then trailingstartlong = tradeprice(1)*(trailingpercentlong/100) trailingstartshort = tradeprice(1)*(trailingpercentshort/100) trailingsteplong = tradeprice(1)*(steppercentlong/100) trailingstepshort = tradeprice(1)*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if ts2sensitivity=1 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=2 then ts2sensitivitylong=low ts2sensitivityshort=high else ts2sensitivitylong=close ts2sensitivityshort=close endif if longonmarket then if newsl=0 and ts2sensitivitylong-tradeprice(1)>=trailingstartlong then newsl = tradeprice(1)+trailingsteplong endif if newsl>0 and ts2sensitivitylong-newsl>trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and tradeprice(1)-ts2sensitivityshort>=trailingstartshort then newsl = tradeprice(1)-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif //************************************************************************ IF longonmarket and barindex-tradeindex>1900 and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>580 and close>positionprice then exitshort at market endif //============================================= if longonmarket and abs(open-close)<1 and high[1]>high and close>positionprice and high-close>13 then sell at market endif if shortonmarket and abs(open-close)<1 and low[1]>low and close-low>9 and close<positionprice then exitshort at market endif //=================================== myrsiM5=rsi[14](close) // if myrsiM5<20 and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market 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 <= 143000 - USDLS and time >= 210000 - 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 >= 144000 - USDLS) AND (time <= 144000 + tradeMin - USDLS) THEN openStrongLong = close > open AND close - open > rangeOK openStrongShort = close < open AND open - close > rangeOK ENDIF once bollperiod = 20 once bollMAType = 1 once s = 2 once BollLevel = 90 once BollSR = 50 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF //Market spike up IF shortonmarket AND shortStep = 0 AND bollPercent > BollLevel THEN shortStep = 1 ENDIF //Market slowly come down IF shortonmarket AND shortStep = 1 AND bollPercent < 100 - BollLevel THEN shortStep = 2 ENDIF //Market still go back to bullish and supported after strong bull open, exit IF shortonmarket AND shortStep = 2 AND bollPercent > BollSR AND openStrongLong THEN exitshort at market ENDIF //Market shoot down IF longonmarket AND longStep = 0 AND bollPercent < 100 - BollLevel THEN longStep = 1 ENDIF //Market slowly go back up IF longonmarket AND longStep = 1 AND bollPercent > BollLevel THEN longStep = 2 ENDIF //Market still go back to bearish and resisted after strong bear open, exit IF longonmarket AND longStep = 2 AND bollPercent < 100 - BollSR AND openStrongShort THEN sell at market ENDIF once trendPeriod = 70 once trendPeriodResume = 30 once trendGap = 3 once trendResumeGap = 6 if not onmarket then fullySupported = 0 fullyResisteded = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded = 1 ENDIF //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF //Started real wrong direction once strongTrend = 70 once strongPeriod = 6 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod then sell at market ENDIFThis is DJI MOD v5a code that I am using:
// Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 5000 //Money Management DOW MM = 1 // = 0 for optimization if MM = 0 then positionsize=15 ENDIF if MM = 1 then ONCE startpositionsize = .4 ONCE factor = 5 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // DOW €1 IG first tier margin limit ONCE maxpositionsize = 550 // DOW €1 IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF TIMEFRAME(2 hours,updateonclose) Period= 495 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[8,4] c3 = (close > indicator1) c4 = (close < indicator1) ma = average[60,3](close) c11 = ma > ma[1] c12 = ma < ma[1] //Stochastic RSI | indicator lengthRSI = 15 //RSI period lengthStoch = 9 //Stochastic period smoothK = 10 //Smooth signal of stochastic RSI smoothD = 5 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c13 = K>D c14 = K<D TIMEFRAME(30 minutes,updateonclose) indicator5 = Average[2](typicalPrice) indicator6 = Average[7](typicalPrice) c15 = (indicator5 > indicator6) c16 = (indicator5 < indicator6) TIMEFRAME(15 minutes,updateonclose) indicator2 = Average[4](typicalPrice) indicator3 = Average[8](typicalPrice) c7 = (indicator2 > indicator3) c8 = (indicator2 < indicator3) Periodc= 22 innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice) HULLc = weightedaverage[round(sqrt(Periodc))](innerc) c9 = HULLc > HULLc[1] c10 = HULLc < HULLc[1] TIMEFRAME(10 minutes) indicator4 = SuperTrend[2,6] indicator4a = SAR[0.025,0.025,0.1] c19 = (close > indicator4) or (close > indicator4a) c20 = (close < indicator4) or (close < indicator4a) TIMEFRAME(5 minutes) //Stochastic RSI | indicator lengthRSIa = 3 //RSI period lengthStocha = 6 //Stochastic period smoothKa = 9 //Smooth signal of stochastic RSI smoothDa = 3 //Smooth signal of smoothed stochastic RSI myRSIa = RSI[lengthRSIa](close) MinRSIa = lowest[lengthStocha](myrsia) MaxRSIa = highest[lengthStocha](myrsia) StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa) Ka = average[smoothKa](stochrsia)*100 Da = average[smoothDa](Ka) c23 = Ka>Da c24 = Ka<Da ma3 = average[15,3](typicalPrice) c21 = ma3 > ma3[1] c22 = ma3 < ma3[1] Periodb= 15 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1]and HULLb[1]<HULLb[2] c6 = HULLb < HULLb[1]and HULLb[1]>HULLb[2] // Conditions to enter long positions IF dhigh(0)-high<300 and c1 AND C3 AND C5 and c7 and c9 and c11 and c13 and c15 and c19 and c21 and c23 THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS 1.5 SET TARGET %PROFIT 2.5 ENDIF // Conditions to enter short positions IF low-dlow(0)<600 and c2 AND C4 AND C6 and c8 and c10 and c12 and c14 and c16 and c20 and c22 and c24 THEN SELLSHORT positionsize CONTRACT AT MARKET SET STOP %LOSS 2 SET TARGET %PROFIT 2.2 ENDIF //================== exit in profit if longonmarket and C6 and c8 and close>positionprice then sell at market endif If shortonmarket and C5 and c7 and close<positionprice then exitshort at market endif //==============exit at loss if longonmarket AND c2 and c6 and close<positionprice then sell at market endif If shortonmarket and c1 and c5 and close>positionprice then exitshort at market endif //%trailing stop function trailingpercentlong = 0.21 // % trailingpercentshort = 0.24 // % once acceleratorlong = 0.05 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= 0.01 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 3 // [1] default [2] hl [3] lh (not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice //************************************************************************ IF longonmarket and barindex-tradeindex>1900 and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>580 and close>positionprice then exitshort at market endif //============================================= if longonmarket and abs(open-close)<1 and high[1]>high and close>positionprice and high-close>13 then sell at market endif if shortonmarket and abs(open-close)<1 and low[1]>low and close-low>9 and close<positionprice then exitshort at market endif //=================================== myrsiM5=rsi[14](close) // if myrsiM5<20 and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market 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 <= 143000 - USDLS and time >= 210000 - 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 >= 144000 - USDLS) AND (time <= 144000 + tradeMin - USDLS) THEN openStrongLong = close > open AND close - open > rangeOK openStrongShort = close < open AND open - close > rangeOK ENDIF once bollperiod = 20 once bollMAType = 1 once s = 2 once BollLevel = 90 once BollSR = 50 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF //Market spike up IF shortonmarket AND shortStep = 0 AND bollPercent > BollLevel THEN shortStep = 1 ENDIF //Market slowly come down IF shortonmarket AND shortStep = 1 AND bollPercent < 100 - BollLevel THEN shortStep = 2 ENDIF //Market still go back to bullish and supported after strong bull open, exit IF shortonmarket AND shortStep = 2 AND bollPercent > BollSR AND openStrongLong THEN exitshort at market ENDIF //Market shoot down IF longonmarket AND longStep = 0 AND bollPercent < 100 - BollLevel THEN longStep = 1 ENDIF //Market slowly go back up IF longonmarket AND longStep = 1 AND bollPercent > BollLevel THEN longStep = 2 ENDIF //Market still go back to bearish and resisted after strong bear open, exit IF longonmarket AND longStep = 2 AND bollPercent < 100 - BollSR AND openStrongShort THEN sell at market ENDIF once trendPeriod = 70 once trendPeriodResume = 30 once trendGap = 3 once trendResumeGap = 6 if not onmarket then fullySupported = 0 fullyResisteded = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded = 1 ENDIF //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF //Started real wrong direction once strongTrend = 70 once strongPeriod = 6 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod then sell at market ENDIFHopefully this fixes the TS problem. NAS to follow…
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| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/21/2020 |
| Status: | Active |
| Attachments: | 195 files |
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