New strategy template
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Hi nonetheless,
I’m running tests on this simple strategy to better get grasp on how your BE/TrailingStop work. The code is below. It’s tested on DJ on 1 min chart (10k). The issue I’ve is after multiple runs of optimization, there are a few trades where the actual performance is way below the MFE, a few other reach a decent positive MFE and then end up negative.
I wonder if you can give me some advice on how to reduce the difference between MFE and actual performance and how to avoid finishing red after making 30pts positive. Do you use in your live systems a sort of staged parameters for each level of profit for example (eg. if positionperf >30 and <100 then tsl = x1 and tss=y1 // if positionperf >100 and <200 then tsl = x2 and tss=y2, etc.)?
Thanks
//------------------------------------------------------------------------- // Code principal : MonSystème(136) //------------------------------------------------------------------------- DEFPARAM CUMULATEORDERS = FALSE DEFPARAM PRELOADBARS = 2000 ONCE SL = 0.6 ONCE TPL = 0.6 ONCE TPS = 1.4 ONCE acceleratorlong = 0.3 ONCE acceleratorshort = 0.24 ONCE besensitivity = 1.0 ONCE besg = 0.01 ONCE besl = 0.01 ONCE ts2sensitivity = 3.0 ONCE tsl = 0.13 ONCE tss = 0.06 TIMEFRAME(60 minutes) TrendUpH1 = close>open and close>close[1] TrendDnH1 = close<open and close<close[1] TIMEFRAME(5 minutes, UPDATEONCLOSE) ca=0 cv=0 TrendUpM15 = close>open and close>close[1] TrendDnM15 = close<open and close<close[1] p = 12 q = 26 r = 9 z1=DEMA[p](close) z2 =dema[q](close) e= z1 - z2 z3=DEMA[r](e) f=z3 g=e-f ca1 = e < 0 and g>0 cv1 = e > 0 and g<0 ca = TrendUpM15 and TrendUpH1 and ca1 cv = TrendDnM15 and TrendDnH1 and cv1 TIMEFRAME(DEFAULT) nLots = 1 IF NOT LongOnMarket AND ca THEN BUY nLots CONTRACTS AT MARKET ENDIF IF NOT ShortOnMarket AND cv THEN SELLSHORT nLots CONTRACTS AT MARKET ENDIF If LongOnMarket AND (cv) THEN SELL AT MARKET SELLSHORT nLots CONTRACTS AT MARKET ENDIF IF ShortOnMarket AND (ca) THEN EXITSHORT AT MARKET BUY nLots CONTRACTS AT MARKET ENDIF /////////////////////////// //////Breakeven 2//////// /////////////////////////// if POSITIONPERF>=(100)*pipsize then enableBreakEven =1 // break even stop incl. cumulative positions if enableBreakEven then //==================== //once besg = be //% break even stop gain //once besl = bes //% break even stop level (+ or -) //besensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif endif mypositionpricebe = positionprice if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif endif /////////////////////////// //////Trailing Stop//////// /////////////////////////// trailingstopPC = 1 //endif // Percentage trailing stop function incl. cumulative positions if trailingstopPC then trailingpercentlong = tsl // % trailingpercentshort = tss // % //once acceleratorlong = tsl/10 //a1 // always > 0 (typically TSL/10) //once acceleratorshort= tss/10 //a2 // always > 0 (typically TSS/10) //ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=typicalprice ts2sensitivityshort=typicalprice endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif mypositionprice = positionprice endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif if longonmarket then SET TARGET %PROFIT TPL elsif shortonmarket then SET TARGET %PROFIT TPS endif SET STOP %LOSS SL
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/15/2021 |
| Status: | Active |
| Attachments: | 13 files |
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