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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03/27/2020 at 10:57 AM #123568

nonetheless

Sorry dnystrom, I don’t understand your question. If MM=1 then you can enter your own startpositionsize in line 7 as anything you can afford to start with depending on your working capital. MM will then adjust that position up and down in relation to strategy profit and loss.

maxpositionsize and minpositionsize at lines 13, 14 are IG limits and you should double check what these are as they vary between DOW €1 or DOW $2

nonetheless

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03/27/2020 at 12:33 PM #123589

dnystrom

The max nr of contract when starting the algo in ProOrder. See my attached printscreen. If I put 1 contract there, will that stop the MM to add on contracts or how does it work?

Sorry for my dumb questions =)

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03/27/2020 at 12:50 PM #123593

keewee

nonetheless wrote:

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.

Impressive work!

If I would try this code on OMXS30 or any other index, what in the code relate to a specific index? I’m still in the learning process with coding hence the question.

Someone wise told me long time ago “there is no dumb questions…” 😉

Thanks!

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03/27/2020 at 1:03 PM #123600

robertogozzi

dnystrom wrote:

The max nr of contract when starting the algo in ProOrder. See my attached printscreen. If I put 1 contract there, will that stop the MM to add on contracts or how does it work?

Sorry for my dumb questions =)

The highest of the two will be used, if that in AutoTrading is higher, then your strategy is free to open from the minimun required up to that number. If that in AutoTraduing is lower, then no matter what you write in your strategy that will be the limit.

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nonetheless

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03/27/2020 at 1:06 PM #123602

nonetheless

@dnystrom, now I get what you mean. I usually put the tier 2 max — for me on the DOW €1 that’s 550 but it may be different depending on your account. We will all be v rich should it ever get up that high.

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dnystrom

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03/27/2020 at 1:16 PM #123604

nonetheless

@keewee unfortunately all the variables for each indicator have to be reset as all indices behave differently. Then there’s the usual WF and robustness testing so it’s quite time consuming. I hadn’t appreciated how much longer everything takes at 200k.

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03/27/2020 at 1:31 PM #123606

bona25

<span lang="en">Hello everybody,


Can someone please take the time to explain in detail how this strategy works.


In advance thank you and congratulations for the result and the sharing.</span>

<span lang="en">Hello everybody,

Can someone please take the time to explain in detail how this strategy works.

In advance thank you and congratulations for the result and the sharing.</span>

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keewee

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03/27/2020 at 2:10 PM #123609

nonetheless

Please see my reply to @StingRe above, page 5, although the comments regarding 100k no longer apply.

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bona25

nonetheless

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03/27/2020 at 3:39 PM #123618

bona25

<span lang="en">Thank you,


but also I would have liked to have more detail because not easy to decipher</span>

<span lang="en">Thank you,

but also I would have liked to have more detail because not easy to decipher</span>

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03/27/2020 at 3:45 PM #123620

GraHal

bona25 wrote:

I would have liked to have more detail

It’s not easy for any of us to understand other’s code (least of all me! 🙂 ) and even the Coding Wizards do not find it easy, nor even, sometimes, to follow their own code from months ago!?

Best thing is if you have a particular snippet of the Dragon code you want to get your head around then post it on here and we can all join in the decypher exercise?

PS
Why do you keep entering your comments using the blue ‘Insert PRT Code‘ button … that is for actual code not plain english / text?

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bona25

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03/27/2020 at 4:06 PM #123623

bona25

Je fais un essai

1	Je fais un essai

PS
Pourquoi gardez-vous d’ entrer vos commentaires en utilisant le bleu « Insérer le code PRT bouton » … qui est pour le code réel ne langage clair / texte?

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03/27/2020 at 4:36 PM #123625

nonetheless

@bona25 The structure of the strategy is based on the idea of Primary, Secondary and Minor trends originally introduced by Charles Dow. In his terms, the 3 would be measured approx in years/months/weeks. I’m using the same idea but scaled down to much shorter time frames: 2hr (primary), 15 minute (secondary) and 5 minute (minor).

As I’m sure you know, these can all move independently of each other; a 2hr chart could be falling while the 15min is rising and the 5 min is going sideways — happens all the time. The idea is to get them all pulling in the same direction.

So we have 4 indicators at the 2hr level: a long Hull moving average, SuperTrend, Moving Average Slope and StochasticRSI. These combine to confirm our primary trend. (BTW the Moving Average Slope indicator is in the PRC library, coded by @MAZ)

Then there are 3 indicators at the 15 minute level: Hull MA, MA Slope and the crossing of 2 simple MAs. This is the secondary trend and has to be in agreement with the primary trend.

Finally, the minor trend is picked up by another Hull MA at the 5min TF and this is designed to catch it just as it changes direction, ie where a dip starts going back up or a bounce resumes falling. That’s the entry.

Exit is triggered either by stoploss, target profit, trailing stop or a reversal of 2 of the entry conditions.

If you want to know more about the individual indicators and how they work, this is a good resource:

https://www.investopedia.com/

Hope that makes it all clearer for you. Best of luck 👍

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03/27/2020 at 5:54 PM #123631

StingRe

Hi @nonetheless,

Sorry for all the questions – I hope you’re not sick of them yet but this is what happens when you create something brilliant!

After running all strategies for a number of days (keep in mind my start dates are AU time so ahead of EU) I am still not getting any trades. I did not get the DAX trade that others mentioned yesterday and I had the DAX system running.

What do you think could be causing this? Is there anything that is hardcoded to the currency or the specific index?

See attachment.

Thanks so much.

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03/27/2020 at 6:05 PM #123634

fifi743

StingRe wrote:

Hi @nonetheless,

Hello,
You must be the same time zone as @nonetheless

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03/27/2020 at 6:12 PM #123635

nonetheless

Apart from two trades on the DAX yesterday, mine are all asleep as well. It’s because the market is trying to turn around and not all the indicators are in agreement yet. Honestly can’t say why you didn’t get any action on the DAX yesterday, just some inconsistency in the system I guess. I’m sure they’ll all get going very soon … unless there’s another downturn to further complicate the picture. Let’s hope not!

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