Pathfinder swing TS

Reiner · Sun, 01 Jan 2017 12:18:50 +0000

In this topic I’d like to publish all Pathfinder swing trading algorithms. The swing trading robots based on the Pathfinder daily code and are adapted to the monthly saisonality introduced with the original Pathfinder Trading System. Each month was separated in two parts (day 1 – 15 and 16 – 31) and the saisonal behavior was determined. The idea is to check twice a month for which instruments Pathfinder swing TS find a promising setup based on historical tests. Pathfinder swing robots running in demo account will deliver the trade signal or can trade automaticly in life account as well. Please find attached the Pathfinder swing roadmap for almost 30 instruments. I will attach the robots for the most promising setups on this post for the current/next period. Pathfinder strategies offer a statistical advantage but are of course not a holy grail and there is no guarantee to make money with it. The systems are optimized for historical data and historical gains are not a garantee to be successful in the future. I strictly recommend to adjust the position sizes to your personal account size and try first in demo mode. The results in life trading will differ from the backtest results. I also recommend to start in life trading with a small account size. Anyone can use the programs for free and at their own risk. Pathfinder swing is my privat and fully transparent algorithmic trading project exclusively implemented for ProRealTime 10.2. The status is experimental and I don’t trade all the systems presented here. I would also like to thank all members who have helped to improve the system with their contributions. Download-Link for all periods and the instruments comparison sheet: https://www.dropbox.com/sh/lwh60rhgavw8q2v/AABaTnCi489Wb8ue_aqPVeB7a https://docs.google.com/spreadsheets/d/1KbP6YUG22jFavjx_V2XcAv1wuu0XFpw9K5vSyL_6sHg/edit?usp=sharing You wan’t to help? A lot of work needs to be done for every period, so have a look at this message for a brief introduction: https://www.prorealcode.com/topic/pathfinder-trading-system/page/33/#post-19123 Status: MAY2 (16.05 – 31.05.) link Algos have been created and uploaded to the dropbox, please have a look. (link) MAY1 (01.05 – 15.05.) link Algos have been created and uploaded to the dropbox, please have a look. (link) Period April2 is over, time for a sum-up for the month April. Have a look at this post . Reiner is back with great enhancements for the PF Swing algo. (link) APRIL2 (16.04 – 30.04.) link Season is over. It was bumpy ride due to upcoming elections in France and UK. APRIL1 (01.04 – 15.04.) link All instruments for APRIL1 have been reviewed, a final package has been uploaded to dropbox share and a comparison image has been attached. (link) Here you can find the results for the month March: link March2 (16.03. – 31.03) link All instruments for MARCH2 have been reviewed and a final package with the most promising algos have been uploaded to dropbox share.

This topic has 2,004 replies, 6 voices, and was last updated 1 year ago by Gianluca.

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09/24/2017 at 10:05 AM #47112
Reiner
Hi guys,

here is an update of the Pathfinder swing template. Based on the last long and short version the new template V3 is now better suitable for yearly usage. New features are:

the usage of a signal line for each period is now possible

introduce default parameter with the possibility to override these for each time period

save maximum candle settings in the case of period change

check monthly statistics (e.g. return and profitable trades) with the variable onlyTheseMonths (optimize the line with x = 1 – 12; onlyTheseMonths = CurrentMonth >= x AND CurrentMonth <= x)

the variable tradeInPeriod determines wether to trade in a period or not

close all positions if trade trigger runs against saisonality (variable closeOnlyMode – helpful if robot is only valid for one time period)

Please find attached a sample for the DAX.

Best, Reiner

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09/24/2017 at 11:28 AM #47122

Reiner

Hi Patrick,

Hope you are well. Unfortunately I can not answer every question immediately and it’s not my intention to ignore someone here!

What should I say 🙂 ? I studied financial mathematics and have a talent for numbers and statistic but I never said that I’m an expert for trading systems. Unfortunately this site wasn’t available when I started with PRT so I have been published some reliable trading ideas to make life easier for the guys who just started here. Don’t expect to much from me and my algos – the main ideas of Pathfinder TS are very simple (breakout, trend follower, seasonality) and nothing I personally invented.

The swing algos based on daily data and the problem is the small data history this leads to unrealistic (curve fitted) backtests. Nobody expects results with a probability of 80-100%!

What is interesting that this it still works so well! According to my experience it works best from November to April. I played around with Walk Forward optimizing and seasonality and for me it delivers no better results.

Best, Reiner

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09/24/2017 at 4:03 PM #47147

wp01

Hi Reiner,

Thank you for your reply. I think that i’m not only talking for myself that we all appreciate what you have contributed to this forum.

I’ve never doubted your intensions but since we are all followers here i think that it is a good thing you pointed out how you are thinking about

the walkforward in combination with Pathfinder swing TS. I hope you understand it could be a bit frustrating when it seems that we are all running fantasy backtests here for months

which are useless. I also had my doubts from time to time about these backtests because you probably also noticed that everyone creates different results for the same period.

It is actually never in line with each other, so i’m wondering which one is the best? Which one can be used for the yearly codes?

From time to time it is nice to have some backup so that we know where we stand.

Thanks again.

Best regards,

Patrick

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09/24/2017 at 5:07 PM #47151

Despair

Hi Rainer,

You reply that there wasn’t the OOS feature when you created pathfinder. I’m not talking of WFA (what I agree is hard to do with such a seasonal strategy). A simple OOS test does not require any special feature from PRT. The whole story is just to optimize and test on two different datasets.

Testing on the optimized dataset like you do is IMO not saying much about how the algorithm might perform in the future. And I say it again, I don’t doubt that pathfinder is a good system. You seem to have ran it for some time live and this is of course the ultimate OOS-Test. The only thing I say and I stick to it, the curve fitted backtests in this thread don’t say anything about the quality of the algo and I think it is a pity that there are no tests shown that really show that pathfinder is as good as one is inclined to think after seeing this incredible backtests.

I personally would not dare to set an algo live based on this results. Of course if you have ran it for some time on demo and this was profitable then one might dare to try but based on this tests – no. But this is my personal opinion and others might of course have a different opinion.

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09/25/2017 at 9:48 AM #47191

dajvop

BUND and DAX with accumulation based on Oskar’s versions.

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09/25/2017 at 10:03 AM #47200

dajvop

DOW and HS with accumulation based on Oskar’s versions.

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09/25/2017 at 10:10 AM #47207

dajvop

CC optimised 1970-2000 and LB optimised 2005-2013 with accumulation.

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09/25/2017 at 10:13 AM #47213

dajvop

And W with accumulation. Tried OOS, but got the same result. Probably since the testing period is so limited.

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09/27/2017 at 1:54 PM #47506

wp01

US Dollar Basket Okt1 short:

Brent Crude Okt1 short:

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09/27/2017 at 1:55 PM #47511

wp01

ATX Okt1 :

China H-Shares Okt1:

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09/27/2017 at 1:57 PM #47516

wp01

Russel 2000 Okt1 long and short. Both with accumulation:

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09/27/2017 at 1:58 PM #47521

wp01

SAF Okt1:

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09/27/2017 at 2:00 PM #47524

wp01

MIB Okt1 :

Short no results, long a higher DD.

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09/27/2017 at 2:01 PM #47527

wp01

Portugal PSI20:

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09/28/2017 at 2:40 PM #47685

ozz87

Not sure if I’ll start any new ones for October. Many positions up already and they are not going well…

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