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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11/27/2020 at 3:13 AM #151835

Jabezz

Got to admit I’m not impressed with 11.1 thats just been installed on IG demo. There are some nice little additions but I’ve found a bug where it changes some of the variables in the optimisation list randomly to negative numbers. I think I’ll stick with 10.3 for the time being.

Jabezz
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11/28/2020 at 9:44 AM #151988

GraHal

@Jabezz sounds like you need to submit a Technical Report to PRT as this is the reason we have it on Demo … so we can iron out any wrinkles we use our real money.

Be good to see a few screen shots of what you mean … might save PRT and you a few back and to emails??

If you want to post the .itf with all your settings then I would try it for you on my platform to see if I get same as you?

Be good to start your own Topic with this Issue you have found?

GraHal
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11/28/2020 at 11:57 AM #151994

juanj

I have noticed the same thing. It is not a glitch but rather that the mouse scroll wheel that changes the values.

If you are in the optimization window and intently or accidently touch/scroll the mouse wheel you will see it happening.

juanj
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11/28/2020 at 1:55 PM #152009

Nicolas

v11 should also now correctly manage the partial closure with the IG protocol, time to test and improve (?) strategies.

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swedshare

Nicolas
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11/30/2020 at 4:31 PM #152239

nonetheless

here’s a variation with cumulative orders that could be worth trying – opens a second position if conditions recur. Re-optimized at 80/20

Obviously the whole thing has to be reworked once v11 Premium comes along, but for now it seems OK.

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vcharlesc, LaurentBZH35, Midlanddave, AutoStrategist, ayrton78, Ryugin, beiert, Roger

nonetheless
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12/02/2020 at 8:24 PM #152437

nozahic

Good evening

I am new in the group, but I notice few English peoples, I am French but live in UK.

does any of you use this robot on bet spreading as we can used in UK for tax matter

Best regards

nozahic
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12/09/2020 at 4:12 AM #153032

StingRe

Folks,

For those of you wondering why on the v11 demo that you don’t get any (or much) more data when you switch to 200k units.

I spoke to IG about this, its totally dependent on the instrument. Here is Australia we have the DJI Cash instrument (A$1) specially for our market and they only started saving data into the database on July 1, 2019 so thats as far back as we can go.

I am told, however that from this point it can build up to 200K units. A little frustrating and very short sighted of PRT not to be storing all this data in the DB.

Maybe there are other explanations, maybe it will change. But thats what im being told right now.

Hope this helps.

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Kovit

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12/09/2020 at 9:49 AM #153052

GraHal

nozahic wrote:

does any of you use this robot on bet spreading

Yes lots of us do above.

GraHal
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12/09/2020 at 11:07 AM #153063

Mauro T. “Algorithm System”

Hi nonetheless,
Unfortunately it seems overly optimized ….. if it will be useful to you from 2010 to today.

Mauro T. “Algorithm System”
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12/09/2020 at 2:46 PM #153095

nonetheless

Yes, I saw that thanks. They’re all curve-fitted to the last 3 years – which is not too surprising.

Seems possible that the basic structure is ok but will be a long slow process to rework it with 10 years of data.

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josef1604

nonetheless
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12/31/2020 at 1:25 PM #155777

Indiana400

Hi, I have looked all over this site and found this to be one of the best algos on here, but i am sure i have missed some. Can you recommend any others i can look at on here that would compliment my algo collection? Or any others on other websites for that matter? I’m trying to learn writing these but i realise i am in the dark ages compared to a lot of people on here. Plus working full time makes live trading problematic. Would appreciate any tips. Many thanks.

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01/02/2021 at 9:29 AM #155895

GMR

Hello, the “DJ 5m MOD v5.1” system has stopped me several times the PRT v11 with the following message:

“Your trading system has stopped because you tried to send a stop order below the minimum distance required by your broker”.

This did not happen in version v10.3. Does anyone else get it?

Thank you and congratulations on the strategy!

GMR
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01/02/2021 at 10:06 AM #155899

GraHal

I have been getting the above error message also on Algos that have not even got stop orders! For example, market orders only that reverse direction.

I think it is down to where the wheel stops spinning which determines which message we get?? 🙂

Another message I’ve had a lot recently is … ‘The broker or the market could not take tht order’ ! 🙁

GraHal
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01/02/2021 at 11:04 AM #155919

nonetheless

GMR wrote:

the “DJ 5m MOD v5.1” system has stopped me several times

Hi, no idea why you would get that message – as Grahal says it seems to be another piece of PRT weirdness for which there is no answer. Personally though, I think the bigger problem with MoD is that it appears to be a 3 yr curve fit – didn’t really survive the graduation to v11 and longer backtests. I tried to rework it but can’t get anything close to the same level of performance for the period 2010-2018. Considering how many indicators there are and how long optimizations take, I don’t think it’s worth it – there’s always other fish to fry.

The current version might still make money for a while but it’s a matter of time before it starts to fail.

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01/03/2021 at 12:16 PM #156066
Monobrow
Hi All

So i’ve just read through this entire thread! (honest Guv!) and have a few questions….

“Should” this also work for IG spreadbet accounts? I think its mainly CFD you have been running on? Yes, I have backtested it there, but just wondered if others already run on Spreadbet rather than CFD?

The MM is a little confusing for me…. assume I do run it on Spreadbet account. Is the current default settings to start with £1 per point? and how does it scale from there? Also, if I wanted to change that to a higher starting point, can you point me to the line of code that does that, so I can fiddle without breaking it all at once 🙂

Does this currently only open 1 trade, long or short at the moment?

I think thats it for now. thank you all so much. learning so much!
Monobrow
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