Navigator Trading System

Viewing 15 posts - 136 through 150 (of 152 total)
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  • #34536 quote
    Maz
    Participant
    Veteran

    Hi again,

    Found another quirky logic for which I’m not sure on the premise:

    For the selling Short (or exiting long) side, we are setting stop losses and targets to stopLossShort and takeProfitShort REGARDLESS of whether we actually took a short trade or not. So in other words we might still be LONG on the market – we tested for contitions to go short but may not have actually placed a short trade – yet nevertheless we reset stop loss and targets to the short set of variables whilst we are still potentially in a long trade.

     

    IF ( s1 AND Time = timeSell ) THEN
      // check monthly setup and max position size
      IF monthlyMultiplierShort < 0 THEN
        IF (COUNTOFPOSITION + (positionSize * ABS(monthlyMultiplierShort))) <= maxPositionSizeShort THEN
          SELLSHORT positionSize * ABS(monthlyMultiplierShort) CONTRACT AT MARKET
        ENDIF
      ELSIF monthlyMultiplierShort <> 0 THEN // this will never occur
        IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeShort THEN
          //SELLSHORT positionSize CONTRACT AT MARKET
        ENDIF
      ELSIF monthlyMultiplierShort = 0 THEN 
        SELL AT MARKET
      ENDIF
    
    
      // ****** THESE GET TRIGGERED REGARDLESS OF WHETHER WE ARE ACTUALLY LONG OR SHORT ON THE MARKET *****
      stopLoss   = stopLossShort 
      takeProfit = takeProfitShort
      // NOTE: As per above logic we may not have actually gone short
      // ************************************* //
    
    ENDIF
    #34539 quote
    CN
    Participant
    Senior

    What is the difference in result?

    #34540 quote
    Maz
    Participant
    Veteran

    …and same goes for the long side – long stops and targets are set regardless of whether we actually look a long or not… ie we may actually be short at the time of setting the stops and targets to the long variables. If you stick a “graph countofShortShares”  above the two lines that set the stops for the long you’ll see the conditions where we amended stops for the long side but were actually short and vice versa

    // for the long side
    graph countOfShortShares // should always be 0??
    stopLoss   = stopLossLong
    takeProfit = takeProfitLong
    
    // ...
    
    // and for the short side
    graph countOfLongShares // should always be 0?
    stopLoss = stopLossShort
    takeProfit = takeProfitShort
    #34543 quote
    Maz
    Participant
    Veteran

    Obviously the results are very different with any amendments to any line. I’m unsure what the author intended. But obviously optimizations can be applied upon any form of quirk and still be profitable (or even more profitable) perhaps without realizing. But it’s important to understand the underlining premise and see if the conditional logic matches that premise.

    #34545 quote
    CN
    Participant
    Senior

    Thanks @Maz Awesome as usual


    @Reiner
    , what would you say to the discorvery that Maz did?

    #35751 quote
    Dominik
    Participant
    New

    Hallo Rainer,

    da ich neu bin zuerst einmal herzlichen Dank für die genialen Strategien.

    Bin gerade dabei Deinen Navigator Dax 4H zu testen … unfassbar …

    Nur eine wichtige Frage … beim backtest in kleineren Einheiten = 100-1000,

    frisst sich die Liquidität auf bzw. hat er extreme Abstürze … bei 200 Einheiten von 80.000€ auf unter 30.000€ … muss ich den SL irgendwie anpassen???

    1000 Dank im Voraus

    Dominik

    Navigator-DAX-4H-200-Einheiten.pdf
    #36091 quote
    flowsen123
    Participant
    Senior

    Hey Dominik,

    you are using the full Dax CFD Contract. Try the one 1 Euro Mini Contract 😉

    #36148 quote
    Dominik
    Participant
    New

    Hey flowsen123,

    thanxxxs 🙂

    Is the a different between Germany 30 Standard and Mini???

    It is the same Index??? 😢😊

    sunny greeting

    dominik

     

    #36180 quote
    Nicolas
    Keymaster
    Master

    @Dominik
    Yes it is the same one, but the Mini is only 1€/point.

    #37294 quote
    traderfred
    Participant
    Senior

    Hi team,

    I’m just discovering this trading strategy. And I would like to understand if this strategy is running live for someone? (I saw the discussion about backtests showing not so good results..)

    I did not understand the last remarks from Maz..Do I need to change the V1 or V2 version before running it in my demo?

    Thanks!

    #42500 quote
    fepabe
    Participant
    Average

    I’ve imported the code but it does not seem to work. I do not understand why! Can someone help me?

    Screenshot-2017-08-05-13.24.37.png Screenshot-2017-08-05-13.24.37.png
    #42502 quote
    wp01
    Participant
    Master

    @fepabe,

    You should take the mini  DAX instead of the normal DAX.

    #42504 quote
    dajvop
    Participant
    Master

    @fepabe, use v2 instead.

    #42514 quote
    fepabe
    Participant
    Average

    I used the V2 version and it seems to work. The problem is that the results are different from those posted by you. I used the Mini Dax and Micro Dax (5 and 1 euro). I still not understand. The V1 version continues to fail. I find a lot of difference between the “gain of the best trade” and the “loss of worst trade”.

    Thanks

    Screenshot-2017-08-05-21.31.03.png Screenshot-2017-08-05-21.31.03.png Screenshot-2017-08-05-21.30.20.png Screenshot-2017-08-05-21.30.20.png Screenshot-2017-08-05-21.30.36.png Screenshot-2017-08-05-21.30.36.png
    #55108 quote
    Jesús
    Participant
    Veteran

    Good Morning,
    I have been using the V2 version of the Navigator System in the demo account since March and the results do not correspond exactly with the backtest ones. Anyway, the drowndown of V2 is still very high.
    I have modified some code parameters to reduce the drowndown and, although it only performs half of operations. I leave the code.
    Is someone running it on a real account?
    Best regards.

    // Navigator DAX 4H V2 (5K)
    // Navigator Trading System based on ProRealTime 10.3
    // The algo based on the statistical advantage of the TDOM (trading day of the month) idea around the turn of the month
    // Version 2
    // Instrument: DAX mini 1 EUR, 4H, 9-17 CET, 1 point spread, account size 10.000 Euro
    
    // ProOrder code parameter
    DEFPARAM CUMULATEORDERS = true // cumulate orders
    
    // define TDOM days
    ONCE tradingDaySell = 20
    ONCE tradingDayBuy = 8
    
    // define intraday trading window
    ONCE timeSell = 090000
    ONCE timeBuy = 170000
    
    // define position and money management parameter
    ONCE positionSize = 1
    ONCE maxPositionSizeLong = 4
    ONCE maxPositionSizeShort = 4
    
    ONCE minSizeLong = 1
    ONCE midSizeLong = 2
    ONCE maxSizeLong = 4
    ONCE maxSizeShort = -10
    
    ONCE stopLossLong = 8 // in %
    ONCE takeProfitLong = 3 // in %
    ONCE stopLossShort = 2 // in %
    ONCE takeProfitShort = 1.25 // in %
    
    ONCE maxCandlesLongWithProfit = 40
    ONCE maxCandlesShortWithProfit = 6
    ONCE maxCandlesLongWithoutProfit = 41
    ONCE maxCandlesShortWithoutProfit = 13
    
    // define position multiplier for each month (>0 - long / <0 - short / 0 - no trade)
    ONCE longJanuary = 0
    ONCE shortJanuary = maxSizeShort
    ONCE longFebruary = 0
    ONCE shortFebruary = maxSizeShort
    ONCE longMarch = maxSizeLong
    ONCE shortMarch = 0
    ONCE longApril = minSizeLong
    ONCE shortApril = 0
    ONCE longMay = minSizeLong
    ONCE shortMay = maxSizeShort
    ONCE longJune = minSizeLong
    ONCE shortJune = 0
    ONCE longJuly = midSizeLong
    ONCE shortJuly = maxSizeShort
    ONCE longAugust = 0
    ONCE shortAugust = maxSizeShort
    ONCE longSeptember = 0
    ONCE shortSeptember = maxSizeShort
    ONCE longOctober = midSizeLong
    ONCE shortOctober = maxSizeShort
    ONCE longNovember = midSizeLong
    ONCE shortNovember = maxSizeShort
    ONCE longDecember = midSizeLong
    ONCE shortDecember = maxSizeShort
    
    // calculate TDOM
    IF Month <> Month[1] THEN
    tradingDay = 0
    ENDIF
    IF Time = 90000 THEN
    IF CurrentDayOfWeek > 0 AND CurrentDayOfWeek < 6 THEN
    tradingDay = tradingDay + 1
    ENDIF
    ENDIF
    
    // set montly multiplier
    IF CurrentMonth = 1 THEN
    monthlyMultiplierLong = longJanuary
    monthlyMultiplierShort = shortJanuary
    ELSIF CurrentMonth = 2 THEN
    monthlyMultiplierLong = longFebruary
    monthlyMultiplierShort = shortFebruary
    ELSIF CurrentMonth = 3 THEN
    monthlyMultiplierLong = longMarch
    monthlyMultiplierShort = shortMarch
    ELSIF CurrentMonth = 4 THEN
    monthlyMultiplierLong = longApril
    monthlyMultiplierShort = shortApril
    ELSIF CurrentMonth = 5 THEN
    monthlyMultiplierLong = longMay
    monthlyMultiplierShort = shortMay
    ELSIF CurrentMonth = 6 THEN
    monthlyMultiplierLong = longJune
    monthlyMultiplierShort = shortJune
    ELSIF CurrentMonth = 7 THEN
    monthlyMultiplierLong = longJuly
    monthlyMultiplierShort = shortJuly
    ELSIF CurrentMonth = 8 THEN
    monthlyMultiplierLong = longAugust
    monthlyMultiplierShort = shortAugust
    ELSIF CurrentMonth = 9 THEN
    monthlyMultiplierLong = longSeptember
    monthlyMultiplierShort = shortSeptember
    ELSIF CurrentMonth = 10 THEN
    monthlyMultiplierLong = longOctober
    monthlyMultiplierShort = shortOctober
    ELSIF CurrentMonth = 11 THEN
    monthlyMultiplierLong = longNovember
    monthlyMultiplierShort = shortNovember
    ELSIF CurrentMonth = 12 THEN
    monthlyMultiplierLong = longDecember
    monthlyMultiplierShort = shortDecember
    ENDIF
    
    // all in if first day of month is Monday or Thuesday
    IF tradingDay = tradingDayBuy AND ( CurrentDayOfWeek = 1 OR CurrentDayOfWeek = 2 ) THEN
    monthlyMultiplierLong = maxSizeLong
    ENDIF
    
    // caculate current position profit
    posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize
    
    // open long position with order cumulation
    l1 = tradingDay = tradingDayBuy
    l2 = tradingDay > tradingDayBuy AND posProfit < 0
    
    IF ( (l1 OR l2) AND Time = timeBuy) THEN
    // check monthly setup and max position size
    IF monthlyMultiplierLong > 0 THEN
    IF (COUNTOFPOSITION + (positionSize * monthlyMultiplierLong)) <= maxPositionSizeLong THEN
    BUY positionSize * monthlyMultiplierLong CONTRACT AT MARKET
    ENDIF
    ELSIF monthlyMultiplierLong <> 0 THEN
    IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN
    BUY positionSize CONTRACT AT MARKET
    ENDIF
    ENDIF
    
    stopLoss = stopLossLong
    takeProfit = takeProfitLong
    ENDIF
    
    // sell short if valid month or close position only
    s1 = tradingDay = tradingDaySell
    
    IF ( s1 AND Time = timeSell ) THEN
    // check monthly setup and max position size
    IF monthlyMultiplierShort < 0 THEN
    IF (COUNTOFPOSITION + (positionSize * ABS(monthlyMultiplierShort))) <= maxPositionSizeShort THEN
    SELLSHORT positionSize * ABS(monthlyMultiplierShort) CONTRACT AT MARKET
    ENDIF
    ELSIF monthlyMultiplierShort <> 0 THEN
    IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeShort THEN
    SELLSHORT positionSize CONTRACT AT MARKET
    ENDIF
    ELSIF monthlyMultiplierShort = 0 THEN
    SELL AT MARKET
    ENDIF
    
    stopLoss = stopLossShort
    takeProfit = takeProfitShort
    ENDIF
    
    // stop and profit management
    numberCandles = (BarIndex - TradeIndex)
    
    m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit
    m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit
    m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit
    m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit
    
    // take profit after max candles
    IF LONGONMARKET AND (m1 OR m3) THEN
    SELL AT MARKET
    ENDIF
    IF SHORTONMARKET AND (m2 OR m4) THEN
    EXITSHORT AT MARKET
    ENDIF
    
    SET STOP %LOSS stopLoss
    SET TARGET %PROFIT takeProfit

     

    Navigator-5K.png Navigator-5K.png Navigator-demo-vs-real.png Navigator-demo-vs-real.png
Viewing 15 posts - 136 through 150 (of 152 total)
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Navigator Trading System


ProOrder: Automated Strategies & Backtesting

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author-avatar
Reiner @reiner Participant
Summary

This topic contains 151 replies,
has 37 voices, and was last updated by stockdemon
8 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/23/2017
Status: Active
Attachments: 29 files
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