Nice DAX 30 min algo

• 11/22/2017 at 10:12 PM #53657
  Barney

  A bit more advanced DAX algo(to be me anyway)

  Spread 2p.

  100k=ok

  // Main code : DAX 30 min long //------------------------------------------------------------------------- DEFPARAM CumulateOrders=False indicator1 = ExponentialAverage[22](close) indicator2 = ExponentialAverage[22](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[15] indicator4 = Aroondown[15] c2 = (indicator3 CROSSES OVER indicator4) indicator100 = close indicator101 = Supertrend[2,11] c100 = indicator100 > indicator101 IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF SET STOP PLOSS 68 trailingstop = 40 if not onmarket then MAXPRICE = 0 priceexit = 0 endif indicator5 = RSI[4](close) c5 = (indicator5 <5) If longonmarket and c5 then sell at market endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46

  // Main code : DAX 30 min long //------------------------------------------------------------------------- DEFPARAM CumulateOrders=False   indicator1 = ExponentialAverage[22](close) indicator2 = ExponentialAverage[22](close) c1 = (indicator1 > indicator2[1]) indicator3 = AroonUp[15] indicator4 = Aroondown[15] c2 = (indicator3 CROSSES OVER indicator4)   indicator100 = close indicator101 = Supertrend[2,11] c100 = indicator100 > indicator101   IF c1 AND c2 AND c100 THEN BUY 1 CONTRACTs AT MARKET ENDIF   SET STOP PLOSS 68   trailingstop = 40   if not onmarket then MAXPRICE = 0 priceexit = 0 endif   indicator5 = RSI[4](close) c5 = (indicator5 <5)   If longonmarket and c5  then sell at market endif   if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif   if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  2 users thanked author for this post.

  Henrik, Juan Salas

  

  Barney

  Participant

  Topics: 9

  Replies: 47

  Been thanked: 7 times
  11/23/2017 at 12:48 AM #53667
  robertogozzi

  Lines 5-7 can be written:

  indicator1 = ExponentialAverage[22](close) //indicator2 = ExponentialAverage[22](close) c1 = (indicator1 > indicator1[1])

  1 2 3

  indicator1 = ExponentialAverage[22](close) //indicator2 = ExponentialAverage[22](close) c1 = (indicator1 > indicator1[1])

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16455

  Been thanked: 3636 times
  11/23/2017 at 8:52 AM #53688
  Nicolas

  Barney! Well done. So you have optimized your variables from 100k bars ago to the end of December last year? Is that the thing you want us to understand in your first picture? Is this is true, you have indeed validate this In Sample Period in OOS one, it’s a good thing.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4738 times
  11/23/2017 at 11:11 AM #53701
  victormork

  Well done Barney. The system is a little bit too long in the market for my liking but apart from that it’s good.

  I made  a few updates, hope it can help you! Lycka till!

  // Main code : DAX 30 min long //------------------------------------------------------------------------- DEFPARAM CumulateOrders=False indicator1 = ExponentialAverage[22](close) indicator2 = AroonUp[15] indicator3 = Aroondown[15] indicator4 = Supertrend[2,11] indicator5 = RSI[5](close) indicator6 = averagetruerange[15] // LONG b1 = (indicator1 > indicator1[3]) b1 = b1 and (indicator2 CROSSES OVER indicator3) b1 = b1 and close > indicator4 be1 = (indicator5 <5) // ENTRY AND EXIT IF b1 THEN BUY 1 CONTRACTs AT MARKET ENDIF If longonmarket and be1 then sell at market endif // Stop and Target SET STOP PLOSS (indicator6 * 6.9)*pointsize SET TARGET PPROFIT (indicator6 * 13.8)*pointsize // trailing stop trailingstop = (indicator6 * 2.2)*pointsize if not onmarket then MAXPRICE = 0 priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51

  // Main code : DAX 30 min long //------------------------------------------------------------------------- DEFPARAM CumulateOrders=False   indicator1 = ExponentialAverage[22](close) indicator2 = AroonUp[15] indicator3 = Aroondown[15] indicator4 = Supertrend[2,11] indicator5 = RSI[5](close) indicator6 = averagetruerange[15]   // LONG b1 = (indicator1 > indicator1[3]) b1 = b1 and (indicator2 CROSSES OVER indicator3) b1 = b1 and close > indicator4   be1 = (indicator5 <5)   // ENTRY AND EXIT IF b1 THEN BUY 1 CONTRACTs AT MARKET   ENDIF   If longonmarket and be1 then sell at market endif   // Stop and Target SET STOP PLOSS (indicator6 * 6.9)*pointsize SET TARGET PPROFIT (indicator6 * 13.8)*pointsize   // trailing stop trailingstop = (indicator6 * 2.2)*pointsize   if not onmarket then MAXPRICE = 0 priceexit = 0 endif   if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  

  victormork

  Participant

  Topics: 19

  Replies: 165

  Been thanked: 57 times
  11/23/2017 at 11:12 AM #53704
  victormork

  Btw you can delete line 50.

  

  victormork

  Participant

  Topics: 19

  Replies: 165

  Been thanked: 57 times
  11/23/2017 at 11:13 AM #53705
  victormork

  Haha sorry! line 49.

  

  victormork

  Participant

  Topics: 19

  Replies: 165

  Been thanked: 57 times
  11/23/2017 at 11:14 AM #53706
  Barney

  Nicolas

  Yes, that´s what i want to show with the first picture.

  Can not test 200k unfortunately. 

  Looks real good on 100k :))

   

  

  Barney

  Participant

  Topics: 9

  Replies: 47

  Been thanked: 7 times
  11/23/2017 at 11:32 AM #53712
  Aloysius

  Here is the backtest with 200000 bars. The moment where the optimisation begins appears quite clearly.

  

  Aloysius

  Participant

  Topics: 1

  Replies: 44

  Been thanked: 16 times
  11/23/2017 at 11:40 AM #53714
  Barney

  Thanks for 200k Aloysius.

  200k look almost strange, have made an effort to not over optimize this time!

  Ok, before my 100k algo does not loos money :))

  

  Barney

  Participant

  Topics: 9

  Replies: 47

  Been thanked: 7 times
  11/23/2017 at 11:45 AM #53716
  jebus89

  I have a question, indeed it looks curve-fitted, but i have noticed that there are different forms of curve-fitting. 

  Example #1: Some systems shows a TERRIBLE negative shitty results going from start of 200K=> 100K backtest.

  Example #2: Others, like this system, shows more or less 0 profit/loss from start of 200K => to where the 100K starts

  Example #3: and then theres the ones that stay profitable. For example i created one system on dax 15m that looked very profitable and good in 100K, then i got premium PRT and 200K, and it looked … OK i would say, from 200K start => 100K start. It was not as good as the 100K backtest, but it was more or less an OK smooth line going up, not as steep or good looking as 100K backtest alone but still profitable and decent.   

  I have personally made every one of these examples 😛

   do not have enough experience in this field to make conclusions, but i would guess that example #1, the terrible looking system should be thrown away right? And obviously the example #3 with profitable EQ curve going from 100K to 200K backtesting, is something that you would keep working on right? But as with this system… what is the correct thing to do? I mean, yes it is clearly curve-fitted, but if you change some of the variables and get a decent curve going from start to finish on 200K backktest, should you just assume that youve just curvefitted it more for bigger data? or might it be something? Should you throw away the idea at once? keep working on it? Anyone got any answers here?? 😀

  

  jebus89

  Participant

  Topics: 118

  Replies: 586

  Been thanked: 238 times
  11/24/2017 at 10:44 AM #53818
  Nicolas

  The 100k bars before are also forming a big OOS period. To get a better picture, a complete WFA should be made, with different scenarios: 3,5,9 or more optimized IS periods and OOS validations.. but at the end it is always up to you to make conclusions and invest money in the strategy or not. There are already many topics where discussions are made about what could be considered as robust or not.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4738 times
  11/24/2017 at 11:15 AM #53830
  jebus89

  @Nicolas I understand what you mean, and i agree, but do you have an opinion on wether to keep working on it or not, if you have example 1 or 2 in my post over?

  In other words: if u go from 100K backtrst, to 200K backtest, do you need to see profitable trading all the way? Would you throw away the strategy if its very unprofitable in the past?

  

  jebus89

  Participant

  Topics: 118

  Replies: 586

  Been thanked: 238 times
  11/24/2017 at 11:46 AM #53839
  Nicolas

  Example 1: consider it like a negative WFE, so not robust (at least on this period).

  Example 2: so-so WFE should desserve a second guess!  

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4738 times
  11/24/2017 at 2:35 PM #53857
  victormork

  @jebus89 I tired this strategy on the Swiss index and it gave a positiv return (obviously not as good as on DAX), so I like to believe there is still something to build on here.

  

  victormork

  Participant

  Topics: 19

  Replies: 165

  Been thanked: 57 times
• Author
  Posts