MTF : amount of orders drops dramatically if I divide the strategy in 2 TF?

stefou102 · Fri, 08 Feb 2019 14:04:41 +0000

Hello, I’m trying to develop a strategy on the Dax, TF15min. I have some encouraging results, but wanted to improve the position management thank to the MTF. My idea was simply to take position on a signal given on the TF15min, and exit the position on the UT5min. When I backtest the strategy only on the TF15min , I get in two years several hundred of trades. Logically, adding a code snippet for managing existing position on the TF5min shouldn’t impact the number of trades, or marginally. However, I get down to only 5 trades on the same period. Can someone confirm they have the same behaviour, or do I do something wrong? Here below a very simple strategy that aims to explain my problem. If you run this code on the TF15min, you get hundred of trades, If you run the same one on the TF5min but with the code in comment uncomment, you get far less trades… DEFPARAM FlatAfter = 215900 ONCE positionsize=1 //timeframe (15 minutes, updateonclose) myMA=average[7](close) tradetime=time >=090000 and time < 171500 and dayofweek<>0 c1=close>myMA c2= myMA>myMA[1] and myMA[1]<myMA[2] cs1=close<myMA cs2= myMA<myMA[1] and myMA[1]>myMA[2] if tradetime then // -- execution logic ----- if c1 and c2 and not longonmarket then BuyLevel=High+1.5*pointsize stopbougie=low-2*pointsize buy positionSize contracts at buyLevel STOP set stop loss stopbougie endif if cs1 and cs2 and not shortonmarket then SellLevel=Low-1.5*pointsize stopbougie=high+2*pointsize sellshort positionSize contracts at SellLevel STOP set stop loss stopbougie endif endif if longonmarket then sell at stopbougie stop elsif shortonmarket then exitshort at stopbougie stop endif //timeframe (5 minute, updateonclose) //myMA5=average[7](close) //if longonmarket and myMA5<myMA5[1] then //sell at market //elsif shortonmarket and myMA5>myMA5[1] then //exitshort at market //endif

This topic has 19 replies, 5 voices, and was last updated 5 years ago by GraHal.

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02/08/2019 at 8:38 PM #90903

GraHal

stefou102 wrote:

there is no way it can be profitable.

It kinda looks like it could be profitable from the equity curve on a 2H TF.

I’ll let you know anyway how it goes, it’s only on Demo so no risk, but thanks for the warning!

GraHal
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02/10/2019 at 8:22 PM #90985

stefou102

But you added your own recipe to get that equity curve on the 2H, that’s different;)

stefou102
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02/10/2019 at 8:49 PM #90986

Vonasi

stefou102 wrote:

But you added your own recipe to get that equity curve on the 2H

Sometimes the best dishes can be made when a chef cooks a classic dish and then another chef comes along and says ‘ I’ll just throw this in and see maybe it works’. Worst case it tastes horrible, best case it wins a Michelin star for creating a unique dish. Better to make it and test it out than to say ‘but you can’t make it like that!’ Unfortunately in this game it is more likely to end up being fish with cheese.

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02/11/2019 at 10:56 AM #91021

GraHal

Vonasi wrote:

Better to make it and test it out than to say ‘but you can’t make it like that!’

I agree, but it sure does stimulate the taste buds! I’ve spent the last 8 months checking, backtesting, analysing (equity curves mainly) 100’s of chef’s dishes and many snacks of my own making! 🙂

I can say that for the last 2 months or so the Funds shown in IG for each of my 4 Accounts are increasing for the first time since I started trading Auto-Systems 3 years ago!

I now store all not-running / not in Backtest Systems on my PC and having just done a Folder Properties check the count is 2021 plus another 95 + currently in Forward Test. I’m sure there’s another 900 + Systems on an old PC.

I’ve come close to giving up a few times, but maybe, just maybe I have passed some milestone point!?

A very big thank you to Members of this Community for sharing their Chef’s Best Dishes! 🙂

GraHal
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