Navigator Trading System

• 05/04/2017 at 3:35 PM #34536
  Maz

  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 = stopLoss<strong>Short</strong> takeProfit = takeProfit<strong>Short</strong> // NOTE: As per above logic we may not have actually gone short // ************************************* // ENDIF

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  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   = stopLoss<strong>Short</strong>   takeProfit = takeProfit<strong>Short</strong>   // NOTE: As per above logic we may not have actually gone short   // ************************************* //   ENDIF

   

  

  Maz

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  05/04/2017 at 3:45 PM #34539
  CN

  What is the difference in result?

  

  CN

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  05/04/2017 at 3:47 PM #34540
  Maz

  …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

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  // 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

   

   

  

  Maz

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  05/04/2017 at 3:54 PM #34543
  Maz

  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.

  

  Maz

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  05/04/2017 at 3:59 PM #34545
  CN

  Thanks @Maz Awesome as usual

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

   

  

  CN

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  05/16/2017 at 9:09 PM #35751
  Dominik

  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

  

  Dominik

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  05/19/2017 at 11:08 AM #36091
  flowsen123

  Hey Dominik,

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

  

  flowsen123

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  05/20/2017 at 11:18 AM #36148
  Dominik

  Hey flowsen123,

  thanxxxs 🙂

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

  It is the same Index??? 😢😊

  sunny greeting

  dominik

   

  

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  05/20/2017 at 7:08 PM #36180
  Nicolas

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

  

  Nicolas

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  06/02/2017 at 2:48 PM #37294
  traderfred

  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!

  

  traderfred

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  08/05/2017 at 12:26 PM #42500
  fepabe

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

  

  fepabe

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  08/05/2017 at 1:15 PM #42502
  wp01

  @fepabe,

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

  

  wp01

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  08/05/2017 at 2:07 PM #42504
  dajvop

  @fepabe, use v2 instead.

  

  dajvop

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  08/05/2017 at 8:42 PM #42514
  fepabe

  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

  

  fepabe

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  12/08/2017 at 1:29 PM #55108
  Jesús

  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

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  // 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

   

  

  Jesús

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