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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02/10/2020 at 7:18 PM #119229

Vonasi

Sounds like a good candidate for a robustness test. Shake the entries up a bit and see how it copes.

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02/10/2020 at 7:53 PM #119235

nonetheless

Mixed result; % win is excellent, Average gain/trade not so great…

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02/10/2020 at 8:05 PM #119238

Vonasi

Did you apply TRADEON correctly to allow for position reversal?

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02/10/2020 at 8:44 PM #119240

nonetheless

Yeah, I did it just as you said on page 1

IF (shortonmarket or (not onmarket and tradeon)) etc

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Vonasi

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02/10/2020 at 9:38 PM #119244

Vonasi

Excellent!

Unfortunately the robustness test scores are not excellent. We hope for the ideal horizontal flat line and that is far from it. I always consider the robustness results of a strategy that reverses position direction with a slightly more sceptical eye than those of a strategy that does not as it is in theory possible for a strategy to just reverse its way time after time through a test and completely eliminate the point of the randomness of the test. So considering that too the results are really not very positive.

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02/10/2020 at 9:52 PM #119245

fifi743

an example
adding position.

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02/10/2020 at 9:54 PM #119247

nonetheless

@Vonasi But isnt the average gain/trade outweighed by the % win? I’m thinking, even if it were making a fiver per trade at least it’s doing so 90% of the time.

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02/10/2020 at 9:57 PM #119248

nonetheless

fifi743 wrote:

adding position

Do you mean MM = 1 or Cumulateorders = true?

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02/10/2020 at 10:01 PM #119249

fifi743

Cumulateorders = true

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02/10/2020 at 10:30 PM #119251

fifi743

In the direction of opening of the candle Daily

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02/10/2020 at 11:23 PM #119258

Vonasi

nonetheless wrote:

But isnt the average gain/trade outweighed by the % win? I’m thinking, even if it were making a fiver per trade at least it’s doing so 90% of the time

One does not out weigh the other. A high win rate is no use if you can have a terrible average gain per trade just because you trade at different time. That is the point of a robustness test – to shake things up a little to eliminate curve fitting as much as possible. Every test result could win 99% of the time but that is no use at all if just by taking a trade at 1200 instead of 1201 you end up with a horrific equity curve that you would never be happy to trade.

Consider it like tossing a coin. We think that we will win 50% of the time and lose 50% of the time and we code a strategy that trades some coin tosses and the results look great and we win one and then lose one all the way through the back test. Then we randomly pick some of those coin tosses and we suddenly see that we can actually lose 100 times in a row!

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02/11/2020 at 10:10 AM #119297

nonetheless

fifi743 wrote:

In the direction of opening of the candle Daily

That looks v impressive – what else did you change from v2_MOD-1?

Interesting that over 100k, MM outperforms Cumulateorders, see below. (I am now calling your version v3)

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02/11/2020 at 10:17 AM #119303

nonetheless

@Vonasi —thanks for that, but hey, all the back testing and robustification in the world is like fixing your boat in dry-dock … there’s still only one way to know whether or not it leaks!

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GraHal

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02/11/2020 at 11:48 AM #119310

Vonasi

Which is why sailors often do a job on someone else’s boat first before tackling the same thing on their own boat. Always practice on someone else’s boat!

Anyhow when they put a boat in the water they don’t remove the crane and straps until you are absolutely certain that it is not leaking. I think that you need to be as certain as possible that your strategy does not have any holes in it before setting it free on the wild seas of the markets.

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Nobody

Vonasi
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02/11/2020 at 12:08 PM #119311

nonetheless

Vonasi wrote:

as certain as possible that your strategy does not have any holes in it before setting it free on the wild seas of the markets.

Dat be a true. (me speaking Jamaican)
Not to mention my children’s inheritance – ha! They should be so lucky…

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Mother of Dragons trading strategy…

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