Hi guys 🙂

I’d like to share my first code with you, and perhaps get your point of view on my ideas. I also like to discuss the problems that I encountered. Both coding problems and back testing problems- and perhaps strategy problems- feel free to comment 🙂

First the idea is based on Ichimoku without the tenkansen/kinjunsen cross- which in my testing it wasn’t successful. Initially I started back testing it on a DAX 4hour chart. The back testing was insane and too good to be true. And then it usually is (approx. 132.000.000 % gain over 4 years) so the idea is that the code needs to generate approximate 50/50 lose-win, and more than a 2.5 gain/loose ration. I think that is more realistic in many ways. however the lates ver. of the code does not apply to this, and is still to good to be true when back testing it. so something must be wrong.

The strategy I’d like to make is Ichimoku based, and these are the condition for a trade:

Long trades: Tenkensan, Kinjusan and Chikou need to be above the cloud, and I need 3 bullish candles in an up-trend and opening on a 3^rd that is above the median price of prior candle, and also above the cloud before making a long trade. Trade should be placed on the opening of the 3^rd candle if it meets the condition

Short trade: same as Long, but of cause inverted: Tenkensan, Kinjusan and Chikou needs to be below the cloud and I need 3 bearish candles in a downtrend and opening on a 3^rd that is below the median price of prior candle, and also below the cloud before making a short trade. Trade should be placed on the opening of the 3^rd candle if it meets the condition

I also tried to implement a strategy for low, medium and high volatile periods- playing with different stop/loss scenarios – the idea is still in the making but derived from the problems that maybe are with back testing (?)  And also I wanted to scalp the price action in low volatile sideways trend. I don’t think it would work with the same SL/TP strategy as when you are in a strong up/down trend.

So my questions are:

Back testing:

To get the basics strait I think the problem with back testing is PRT only test on the whole candle- not the pips size action with the candle timeframe so in theory low SL is never stopped out and produce very good result, but in real trade they are meet almost every time. I don’t know if I’m right but it seems like it, as the 4H DAX test never stopped out with as small as an 8 point SL. Perhaps someone knows more about this?

Coding problems:

It’s my first code, so please bear that in mind as it’s properly not “beautiful” code, and I’m certain that someone could produce a more correct code (feel free :-)) anyway- the overall strategy works- trades are made above and below the cloud when the tenkansen/kijunsen and Chikou are above/below but the 2-3 candle test I don’t see is working as intended- and I can’t see why?

When back testing I can see an entry in the chart as an arrow, but not a cross when exiting, I see a square? When looking at some of all the strategy code here I see a cross when exiting?. Also sometimes the Positions window shows no bars, but it seems like the trade was made, both as an entry and an action on the equity curve. I will show a screen dump at this.

Anyway I know this was a long post and many questions, but I hope you can see the time to answer some of it 🙂

Cheers and happy summer days

Kasper Elsborg

//-------------------------------------------------------------------------
// Main code : Elsborgtrading 5magics DAX5min
//-------------------------------------------------------------------------
REM Elsborgtrading Ichimoku

defparam cumulateorders=false
defparam preloadbars=200
defparam preloadbars=2000
defparam flatbefore=090000
defparam flatafter=220000
//ONCE Crosslow=0
//ONCE Crosshigh=0

ONCE Tenkansen=0
ONCE Kijunsen=0
ONCE SenkouSpanA=0
ONCE SenkouSpanB=0
ONCE TreBarsAbove=0
ONCE TreBarsBelow=0
ONCE TenkansenBelow=0
ONCE KijunsenBelow=0
ONCE ChikouBelow=0



//REM Money Management
Capital = 1000
Risk = 0.01
StopLoss = 10 // Could be our variable X
// Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*Risk)
PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)

//If PositionSize>100 then
//PositionSize=100
//endif


Tenkansen = (highest[9](high)+lowest[9](low))/2
Kijunsen = (highest[26](high)+lowest[26](low))/2


SenkouSpanA = (Tenkansen[26]+Kijunsen[26])/2
SenkouSpanB = (highest[52](high[26])+lowest[52](low[26]))/2
Chikou = close[26]
// buy
//TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close //REM does not test for 3 bullish candle

//TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and close[3]<Close[2] and Close[2]<Close and open[3]<close[3] and open[2]<close[2] and open<close //REM test for 3 bullish candle

//TreBarsAbove = close[2] > SenkouSpanA and close[2] > SenkouSpanB and close > SenkouSpanA and close > SenkouSpanB and Close[2]<Close and open[2]<close[2] and open<close // REM test for only 2 bullish candles above

TreBarsAbove = close[3] > SenkouSpanA and close[3] > SenkouSpanB and close[2] > SenkouSpanA and close[2] > SenkouSpanB and open[1] > SenkouSpanA and open[1] > SenkouSpanB and close[3]<Close[2] and medianprice[2]<open[1] and open[3]<close[3] and open[2]<close[2] and open[1]>medianprice[2] // REM test med open candle3
//Crosshigh = Tenkansen crosses over Kijunsen: NOT USED

TenkansenAbove = Tenkansen > SenkouSpanA and Tenkansen > SenkouSpanB
KijusenAbove = Kijunsen > SenkouSpanA and Kijunsen > SenkouSpanB
ChikouAbove = Chikou > SenkouSpanA[26] and Chikou > SenkouSpanB[26]
IF TreBarsAbove and TenkansenAbove and KijusenAbove and ChikouAbove THEN
BUY PositionSize CONTRACTS AT MARKET
ENDIF


// Sell
//TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and close[3]>Close[2] and Close[2]>Close //REM does not test for 3 bearish candle

//TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and close[1] < SenkouSpanA and close[1] < SenkouSpanB and close[3]>Close[2] and Close[2]>Close[1] and open[3]>close[3] and open[2]>close[2] and open[1]>close[1] // REM test for 3 berish candle

//TreBarsBelow = close[2] < SenkouSpanA and close[2] < SenkouSpanB and close < SenkouSpanA and close < SenkouSpanB and Close[2]>Close and open[2]>close[2] and open>close // REM test for only 2 berish candles below
TreBarsBelow = close[3] < SenkouSpanA and close[3] < SenkouSpanB and close[2] < SenkouSpanA and close[2] < SenkouSpanB and open[1] < SenkouSpanA and open[1] < SenkouSpanB and close[3]>Close[2] and medianprice[2]>open[1] and open[3]>close[3] and open[2]>close[2] and open[1]<medianprice[2] // REM test med open candle3
//Crosslow = Tenkansen crosses under Kijunsen: NOT USED
TenkansenBelow = Tenkansen < SenkouSpanA and Tenkansen < SenkouSpanB
KijunsenBelow = Kijunsen < SenkouSpanA and Kijunsen < SenkouSpanB
ChikouBelow = Chikou < SenkouSpanA[26] and Chikou < SenkouSpanB[26]
IF TreBarsBelow and TenkansenBelow and KijunsenBelow and ChikouBelow THEN
SELLSHORT PositionSize CONTRACTS AT MARKET
ENDIF
// stop and profit
//Sl=ABS(highest[3](high)-lowest[3](Low))/2
candlesperiods=15
NoMumentum1 = 30
NoMumentum2 = 40

If ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum1 THEN
TP=2
SL=15
ELSIF ABS(highest[candlesperiods](high)-lowest[candlesperiods](low))< NoMumentum2 THEN
TP=4
SL=3
else
TP=5
SL=2
Endif

set stop ploss SL
set target pprofit TP
//Debugging
//GRAPH SenkouSpanB COLOURED(0,0,255) AS  "Take Profit" //Blue
//GRAPH SenkouSpanA COLOURED(255,0,0) AS "Stop Loss" //Red
//GRAPH Chikou COLOURED(0,0,0) AS "chikou" //Black
GRAPH TP COLOURED(0,255,255) AS "TP" //Aqua
GRAPH SL COLOURED(0,255,0) AS "SL" //Lime

Screenshot_113.png Screenshot_115.png