Mother of Dragons trading strategy…

nonetheless · 2020-01-21T10:47:18+00:00

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 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 indicator1) c4 = (close 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 //************************************************************************

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03/27/2020 at 6:22 PM #123636 quote

Francesco
Participant

Veteran

fifi743 wrote:

StingRe wrote:

Hi @nonetheless,

Hello,

You must be the same time zone as @nonetheless

I can’t see uk fitted time variables in the code to change with our time zones. What do you mean?

03/27/2020 at 6:37 PM #123638 quote

fifi743
Participant

Master

Francesco wrote:

fifi743 wrote:

StingRe wrote:

Hi @nonetheless,

Hello,

You must be the same time zone as @nonetheless

I can’t see uk fitted time variables in the code to change with our time zones. What do you mean?

Take a test with multiple time zones and you would not have the same result.

03/27/2020 at 6:48 PM #123639 quote

Francesco
Participant

Veteran

That is true, i got better results than the last backtest posted image!

fifi743 thanked this post

03/27/2020 at 6:50 PM #123640 quote

fifi743
Participant

Master

With 1 hour offset and 1 hour time frame
The bullish candle can become a bearish candle.

Francesco thanked this post

03/27/2020 at 6:53 PM #123642 quote

Francesco
Participant

Veteran

Same code as #123499 post, different results from the backtest image (+24% gain)

fifi743 thanked this post

test.jpg

03/27/2020 at 8:09 PM #123650 quote

nonetheless
Participant

Master

Actually Francesco, the image in #123499 is the WF results whereas the itf is fully optimized; I get the same result as you for that one. But then i tweaked it and found another few hundred euros …

Francesco, GraHal and bona25 thanked this post

DOW-5m-Mother.of_.Dragons-v4.1.itf

03/27/2020 at 8:15 PM #123652 quote

Francesco
Participant

Veteran

Says that the code is not valid when i try to run the system

03/27/2020 at 8:25 PM #123653 quote

nonetheless
Participant

Master

No idea why that should be, works fine for me. Che strano.

DOW-5m-Mother.of_.Dragons-v4.1.jpg

03/27/2020 at 8:28 PM #123655 quote

Francesco
Participant

Veteran

Ok now it’s working, problem solved!

03/28/2020 at 10:34 AM #123676 quote
bona25
Participant

Senior
Hello everybody,
I have a question, Would it be possible to indicate the trading hours in the code with the possibility of modifying them.
03/28/2020 at 10:39 AM #123678 quote
bona25
Participant

Senior
```
I have a question,
 
Would it be possible to indicate the trading hours in the code with the possibility of modifying them.
```
03/28/2020 at 10:49 AM #123682 quote

nonetheless
Participant

Master

There are different ways of doing that, for example:

Ctime = time >= t1 and time <= t2

Add Ctime to your entry conditions and optimize for t1 and t2, range 0 to 230000 with steps of 10000

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03/28/2020 at 11:09 AM #123683 quote

nonetheless
Participant

Master

RE v4.1

Sorry folks, I seem to have got a wee bit ahead of myself here – v4.1 appears to show higher potential profit but performs considerably worse in VRT robustness score. My advice is stick with v4. Sorry sorry sorry!

(Note to self: Test first, post after. Test first, post after. Test first, post after.)

bona25 and GraHal thanked this post

03/28/2020 at 11:19 AM #123685 quote
bona25
Participant

Senior
```
@ TOUTEFOIS
Can you please add it in the code because I can't do it sorry.
```
03/28/2020 at 11:24 AM #123686 quote

GraHal
Participant

Master

@bona25 … when you post … are you entering your comments in this white space in which you are now reading my comments?

Only 1 word answers are allowed … Yes or No? 🙂
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