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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03/26/2020 at 10:53 AM #123369

GraHal

I’m the same on the two shown in attached … no trades all week … weird or maybe not due to the planets not crossed this week?? 🙂

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03/26/2020 at 11:51 AM #123387

ArnoldB

Try to make a backtest with the same period to compare with the live.

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03/26/2020 at 6:12 PM #123492

GraHal

GraHal wrote:

no trades all week

I spoke too soon … see attached!! 🙂

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03/26/2020 at 6:45 PM #123499

nonetheless

@GraHal yes, I got that same trade too. Interesting that the DAX seems to have turned the corner first to start going long again. First of many, let’s hope.

As I have now joined the Kool Kidz on PRT Premium, I’ve finally been able to re-jig the original DOW version at 200k. See below for WF and VRT. I tried various final optimizations and picked the one that did best on the robustness score.

Eventually I’ll get around to doing the other versions – NAS, DAX and SP prob in that order. By now I’m fairly convinced that the basic architecture is sound so no reason it shouldn’t be adapted for any major index. Eventually.

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Florian

nonetheless

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03/26/2020 at 7:01 PM #123505

Florian

GOOD JOB @nonetheless ! I will test !

Florian

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03/26/2020 at 7:11 PM #123512

ArnoldB

Impressive !

Is it the same money management in versions 3.6 and 4 ?

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03/26/2020 at 7:28 PM #123515

nonetheless

ArnoldB wrote:

same money management

Yes, that is unchanged. Be sure to check your leverage. As far as I know, unless you’re a professional client or your account is in Switzerland it won’t be .005, more likely .05

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popof356

nonetheless

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03/26/2020 at 7:59 PM #123519

Florian

If I want to launch the robot in real account because the demo account is not reliable.
To launch the strategy without taking too much risk in 5 min
DJ mini € 1

// Definition of code parameters
DEFPARAM CumulateOrders = false // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
//Money Management DOW
MM = 0 // = 0 for optimization
if MM = 0 then
positionsize=0.5
ENDIF
if MM = 1 then
ONCE startpositionsize = .4
ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE factor2 = 20 // tier 2 factor
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 = 0.5 // enter minimum position allowed

// Definition of code parameters

DEFPARAM CumulateOrders = false // Cumulating positions deactivated

DEFPARAM preloadbars = 5000

//Money Management DOW

MM = 0 // = 0 for optimization

if MM = 0 then

positionsize=0.5

ENDIF

if MM = 1 then

ONCE startpositionsize = .4

ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc

ONCE factor2 = 20 // tier 2 factor

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 = 0.5 // enter minimum position allowed

Position size : 0.5

once minpositionsize : 0.5 ?

It’s correct ? Because the Once minimum size does not change anything at the backest…

Florian

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03/26/2020 at 8:07 PM #123520

Francesco

If mm is deactivated your position size will be the line 7.

If you activate the mm you have to manage position sizes with lines 16 and 17 for maximum and minimum.

In your code mm is deactivated, so the once minpositionsize : 0.5 does not change anything.

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Florian

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03/26/2020 at 9:46 PM #123524

Florian

It’s Ok FRANCESCO !

The FIRST OPERATION on MOTHER DAX V1 for me.

Florian

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03/26/2020 at 9:56 PM #123529

fifi743

if MM = 0 then
positionsize=1
ENDIF
TIMEFRAME(2 hours,updateonclose)

if MM = 0 then

positionsize=1

ENDIF

TIMEFRAME(2 hours,updateonclose)

Good evening,
Move lines of code as attached

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03/26/2020 at 10:21 PM #123532

nonetheless

Hi Fifi, does that make a difference? if it’s above or below?

nonetheless

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03/27/2020 at 8:24 AM #123545

fifi743

nonetheless wrote:

Hi Fifi, does that make a difference? if it’s above or below?

Hi nonetheless
I wanted to answer Florian, but when I reread I had misunderstood the question.
Otherwise the MM code is good

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nonetheless

fifi743

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03/27/2020 at 9:39 AM #123550

nonetheless

Here’s a variation with @Fifi743’s mod of v2 – uses CumulateOrders instead of MM.

Thanks Fifi!

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Florian

nonetheless

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03/27/2020 at 10:33 AM #123566

dnystrom

Thanks for some awsome job on coding! Looks really promising.

A newbie-question from me, max nr of contract when starting the algo in proorder must be what for MM to work?

I use 1 contract in code and MM active.

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