Pathfinder Trading System

• 02/25/2018 at 8:38 AM #63859
  wp01

  To trade the PF US500 in ProOrder you have to change line 51 to 5 and line 53/54/55 to 50. The minimum tradesize is 5 according to IG.

  You get more or less the same outcome in the results as with the original sizes. Which is weird because if you take a look at the orderlist in the beginning of 2010

  you see a couple of times orders with 2 positions only. The trades should have been rejected in live by the way.

  And in this code the startrisk is 2. If you take less risk (<2)  you probably have to change the minimumsize as well.

  Regards,

   

   

   

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  Pfeiler, Gianluca

  

  wp01

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  02/25/2018 at 3:49 PM #63890
  JohnScher

  Hello.

  I’ve been following you here for a longer while. It’s very interesting and I can see how much work is already done in the Pathfinder trading systems.
  Many thanks to all of you for this!

   

  I would like to share my results with you in demo mode.
  Here attached.

   

  And I would like to ask you two three things too.

  Is there anyone who runs the Pathfinder in the Dax live? If so, how long you do this and would you be willing to share the results?

  What results have been obtained over the longest period of time tested with which system?

  And last but not least.
  Does anyone or can someone provide one of the Pathfinder systems as mt4. file? If not, do we want to pool money and hire a professional programming service?

  until then
  JohnScher

  Translated with http://www.DeepL.com/Translator

  

  JohnScher

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  02/26/2018 at 6:38 PM #63997
  Pfeiler

  Pathfinder Silver looks a lot better if you can backtest with 200.000 candles. So I am running it as well.

  I am now live with 13 PF-4H algos. Wow, I hope they perform like in the last 2 weeks. Not a big hit, but all the small profits summed up to a nice chunk of cash.

  I actually also hope they will not trigger all at once, this could severly crush my margin.
  I will definitly reduce the algos when I hit 50%.

  
  @wp01: Thanks for the tip with the Us 500. I changed it accordingly and updated the dropbox.

  1 user thanked author for this post.

  wp01

  

  Pfeiler

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  03/01/2018 at 1:23 PM #64183
  Gianluca

  Reiner wrote:

  life/demo and backtest: backtest needs an additional candle before the data is synchronized again

  From yesterday a position was opened on NIKKEI, but nothing on backtest. And there was more than 4h.

  Is it normal?

  

  Gianluca

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  03/03/2018 at 10:05 PM #64322
  Jan

  Thanks a lot for sharing the code of the Pathfinder.  Very organised and very well explained what it is doing in the code.

  

  Jan

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  03/03/2018 at 10:48 PM #64327
  Gianluca

  Gianluca wrote:

  Reiner wrote:

  life/demo and backtest: backtest needs an additional candle before the data is synchronized again

  From yesterday a position was opened on NIKKEI, but nothing on backtest. And there was more than 4h. Is it normal?

   

  Guys, i checked the TS on Nikkei, and it should not have open a trade on 26 of febr, but it did. And i lost 1.200$ for it, could someone help me? @reiner @nicolas

  Nikkei code

  // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 // define intraday trading window ONCE startTime = 50000 // start time of trading window in CET ONCE endTime = 210000 // end time of trading window in CET // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 // 5 is center of gravity, do not change ONCE periodSecondMA = 10 // 10 is center of gravity, do not change ONCE periodThirdMA = 3 // heartbeat of the instrument // define filter parameter ONCE periodLongMA = 250 // period lenght of the long moving average that works as filter ONCE periodShortMA = 10 // period lenght of the short moving average that works as filter // define money and position management parameter // dynamic scaling of the chance/risk profile depending on account size ONCE startRisk = 0.25 // start risk level e.g 0.25 - 25%, 0.5 - 50%, 0.75 - 75%, 1 - 100% and so on ONCE maxRisk = 1 // max risk level e.g 1.5 - 150% ONCE increaseRiskLevel = 300 // amount of profit from which the risk is to be increased ONCE increaseRiskStep = 0.25 // step by which the risk should be increased // size calculation: size = positionSize * trendMultiplier * saisonalPatternMultiplier * scaleFactor ONCE positionSize = 1 // default start size ONCE trendMultiplier = 3 // >1 with dynamic position sizing; 1 without ONCE maxPositionSizePerTrade = 3 // maximum size per trade ONCE maxPositionSizeLong = 6 // maximum size for long positions ONCE maxPositionSizeShort = 1 // maximum size for short positions ONCE stopLossLong = 5 // in % *changed from 4.75 ONCE stopLossShort = 1.5 // in % *changed from 3 ONCE takeProfitLong = 3.5 // in % *changed from 3.25 ONCE takeProfitShort = 1.75 // in % ONCE trailingStartLong = 1.25 // in % ONCE trailingStartShort = 0.5 // in % ONCE trailingStepLong = 0.8 // in % ONCE trailingStepShort = 0.3 // in % ONCE maxCandlesLongWithProfit = 13 // take long profit latest after x candles *changed from 12 ONCE maxCandlesShortWithProfit = 10 // take short profit latest after x candles ONCE maxCandlesLongWithoutProfit = 35 // limit long loss latest after x candles ONCE maxCandlesShortWithoutProfit = 10 // limit short loss latest after x candles *changed from 25 // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 1 //0 *changed from 0 ONCE January2 = 0 //0 ONCE February1 = 0 //0 ONCE February2 = 1.5 //2 *changed from 2 ONCE March1 = 0 //0 ONCE March2 = 0 //0 ONCE April1 = 1.5 //2 *changed from 2 ONCE April2 = 1.5 //2 *changed from 2 ONCE May1 = 0 //0 ONCE May2 = 1 //1 ONCE June1 = 0 //0 ONCE June2 = 1.5 //2 *changed from 2 ONCE July1 = 1.5 //2 *changed from 2 ONCE July2 = 0 //0 ONCE August1 = 0 //0 ONCE August2 = 0 //0 ONCE September1 = 2 //2 ONCE September2 = 0 //0 ONCE October1 = 1.5 //2 *changed from ONCE October2 = 1.5 //1.5 ONCE November1 = 1.5 //2 *changed from 2 ONCE November2 = 1.5 //1.5 ONCE December1 = 1.5 //2 *changed from 2 ONCE December2 = 1.5 //2 *changed from 2 // calculate the scaling factor based on the parameter scaleFactor = MIN(maxRisk, MAX(startRisk, ROUND(StrategyProfit / increaseRiskLevel) * increaseRiskStep)) // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] AND DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1 THEN positionSize = MIN(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = MAX(1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF // calculate daily high/low (include sunday values if available) dailyHigh = DHigh(1) dailyLow = DLow(1) previousDailyHigh = DHigh(2) // calculate weekly high, weekly low is a poor signal If DayOfWeek < DayOfWeek[1] AND lastweekbarindex = 0 THEN lastWeekBarIndex = BarIndex ELSE IF DayOfWeek < DayOfWeek[1] THEN weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF ENDIF // calculate monthly high/low IF Month <> Month[1] AND lastMonthBarIndex=0 THEN lastMonthBarIndex=barindex ELSIF Month <> Month[1] THEN monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA) // save position before trading window is open If Time < startTime THEN startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES ENDIF // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow s3 = signalline CROSSES UNDER previousDailyHigh // long entry with order cumulation IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) AND NOT alreadyReducedLongPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * saisonalPatternMultiplier) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossLong takeProfit = takeProfitLong ENDIF // short entry with order cumulation IF ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f3) ) AND NOT alreadyReducedShortPosition THEN // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * ABS(saisonalPatternMultiplier)) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ENDIF stopLoss = stopLossShort takeProfit = takeProfitShort ENDIF // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize 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 // trailing stop function (convert % to pips) trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100 // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize stopLoss = stopLossLong * 0.1 takeProfit = takeProfitLong * 2 ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF // stop order to exit the positions IF newSL > 0 THEN IF LONGONMARKET THEN SELL AT newSL STOP ENDIF IF SHORTONMARKET THEN EXITSHORT AT newSL STOP ENDIF ENDIF // superordinate stop and take profit SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // ProOrder code parameter DEFPARAM CUMULATEORDERS            = true   // cumulate orders if not turned off DEFPARAM PRELOADBARS               = 10000   // define intraday trading window ONCE startTime                     = 50000  // start time of trading window in CET ONCE endTime                       = 210000 // end time of trading window in CET   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA                 = 5      // 5 is center of gravity, do not change ONCE periodSecondMA                = 10     // 10 is center of gravity, do not change ONCE periodThirdMA                 = 3      // heartbeat of the instrument   // define filter parameter ONCE periodLongMA                  = 250    // period lenght of the long moving average that works as filter ONCE periodShortMA                 = 10     // period lenght of the short moving average that works as filter   // define money and position management parameter   // dynamic scaling of the chance/risk profile depending on account size ONCE startRisk                     = 0.25   // start risk level e.g 0.25 - 25%, 0.5 - 50%, 0.75 - 75%, 1 - 100% and so on ONCE maxRisk                       = 1   // max risk level e.g  1.5 - 150% ONCE increaseRiskLevel             = 300    // amount of profit from which the risk is to be increased ONCE increaseRiskStep              = 0.25   // step by which the risk should be increased   // size calculation: size = positionSize * trendMultiplier * saisonalPatternMultiplier * scaleFactor ONCE positionSize                  = 1      // default start size ONCE trendMultiplier               = 3      // >1 with dynamic position sizing; 1 without ONCE maxPositionSizePerTrade       = 3      // maximum size per trade ONCE maxPositionSizeLong           = 6      // maximum size for long positions ONCE maxPositionSizeShort          = 1      // maximum size for short positions   ONCE stopLossLong                  = 5      // in % *changed from 4.75 ONCE stopLossShort                 = 1.5    // in % *changed from 3 ONCE takeProfitLong                = 3.5    // in % *changed from 3.25 ONCE takeProfitShort               = 1.75   // in %   ONCE trailingStartLong             = 1.25   // in % ONCE trailingStartShort            = 0.5    // in % ONCE trailingStepLong              = 0.8    // in % ONCE trailingStepShort             = 0.3    // in %   ONCE maxCandlesLongWithProfit      = 13     // take long profit latest after x candles *changed from 12 ONCE maxCandlesShortWithProfit     = 10     // take short profit latest after x candles ONCE maxCandlesLongWithoutProfit   = 35     // limit long loss latest after x candles ONCE maxCandlesShortWithoutProfit  = 10     // limit short loss latest after x candles *changed from 25   // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1                      = 1      //0 *changed from 0 ONCE January2                      = 0      //0 ONCE February1                     = 0      //0 ONCE February2                     = 1.5    //2 *changed from 2 ONCE March1                        = 0      //0 ONCE March2                        = 0      //0 ONCE April1                        = 1.5    //2 *changed from 2 ONCE April2                        = 1.5    //2 *changed from 2 ONCE May1                          = 0      //0 ONCE May2                          = 1      //1 ONCE June1                         = 0      //0 ONCE June2                         = 1.5    //2 *changed from 2 ONCE July1                         = 1.5    //2 *changed from 2 ONCE July2                         = 0      //0 ONCE August1                       = 0      //0 ONCE August2                       = 0      //0 ONCE September1                    = 2      //2 ONCE September2                    = 0      //0 ONCE October1                      = 1.5    //2 *changed from ONCE October2                      = 1.5    //1.5 ONCE November1                     = 1.5    //2 *changed from 2 ONCE November2                     = 1.5    //1.5 ONCE December1                     = 1.5    //2 *changed from 2 ONCE December2                     = 1.5    //2 *changed from 2   // calculate the scaling factor based on the parameter scaleFactor = MIN(maxRisk, MAX(startRisk, ROUND(StrategyProfit / increaseRiskLevel) * increaseRiskStep))   // dynamic position sizing based on weekly performance ONCE profitLastWeek = 0 IF DayOfWeek <> DayOfWeek[1] AND DayOfWeek = 1 THEN IF StrategyProfit > profitLastWeek + 1  THEN positionSize = MIN(trendMultiplier, positionSize + 1) // increase risk ELSE positionSize = MAX(1, positionSize - 1) // decrease risk ENDIF profitLastWeek = strategyProfit ENDIF   // calculate daily high/low (include sunday values if available) dailyHigh = DHigh(1) dailyLow = DLow(1) previousDailyHigh = DHigh(2)   // calculate weekly high, weekly low is a poor signal If DayOfWeek < DayOfWeek[1] AND lastweekbarindex = 0 THEN lastWeekBarIndex = BarIndex ELSE IF DayOfWeek < DayOfWeek[1] THEN weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh) lastWeekBarIndex = BarIndex ENDIF ENDIF   // calculate monthly high/low IF Month <> Month[1] AND lastMonthBarIndex=0 THEN lastMonthBarIndex=barindex ELSIF Month <> Month[1] THEN monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh) monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow) lastMonthBarIndex = BarIndex ENDIF   // calculate instrument signalline with multiple smoothed averages firstMA = WilderAverage[periodFirstMA](close) secondMA = TimeSeriesAverage[periodSecondMA](firstMA) signalline = TimeSeriesAverage[periodThirdMA](secondMA)   // save position before trading window is open If Time < startTime THEN startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES ENDIF   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF   // define trading filters // 1. use fast and slow averages as filter because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // 2. check if position already reduced in trading window as additonal filter criteria alreadyReducedLongPosition = COUNTOFLONGSHARES  < startPositionLong alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort   // long position conditions l1 = signalline CROSSES OVER monthlyHigh l2 = signalline CROSSES OVER weeklyHigh l3 = signalline CROSSES OVER dailyHigh l4 = signalline CROSSES OVER monthlyLow   // short position conditions s1 = signalline CROSSES UNDER monthlyHigh s2 = signalline CROSSES UNDER dailyLow s3 = signalline CROSSES UNDER previousDailyHigh   // long entry with order cumulation IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) AND NOT alreadyReducedLongPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier > 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * saisonalPatternMultiplier) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (COUNTOFPOSITION + numberContracts) <= maxPositionSizeLong * scaleFactor THEN IF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF BUY numberContracts CONTRACT AT MARKET ENDIF ENDIF   stopLoss = stopLossLong takeProfit = takeProfitLong   ENDIF   // short entry with order cumulation IF ( (s1 AND f3) OR (s2 AND f1) OR (s3 AND f3) ) AND NOT alreadyReducedShortPosition THEN   // check saisonal booster setup and max position size IF saisonalPatternMultiplier < 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize * ABS(saisonalPatternMultiplier)) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ELSIF saisonalPatternMultiplier <> 0 THEN numberContracts = MAX(1, MIN(maxPositionSizePerTrade, positionSize) * scaleFactor) IF (ABS(COUNTOFPOSITION) + numberContracts) <= maxPositionSizeShort * scaleFactor THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELLSHORT numberContracts CONTRACT AT MARKET ENDIF ENDIF   stopLoss = stopLossShort takeProfit = takeProfitShort   ENDIF   // stop and profit management posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize 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   // trailing stop function (convert % to pips) trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100 trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100 trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100 trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100   // reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF   // manage long positions IF LONGONMARKET THEN // first move (breakeven) IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN newSL = tradeprice(1) + trailingStepLongInPoints * pipsize stopLoss = stopLossLong * 0.1 takeProfit = takeProfitLong * 2 ENDIF // next moves IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN newSL = newSL + trailingStepLongInPoints * pipsize ENDIF ENDIF   // manage short positions IF SHORTONMARKET THEN // first move (breakeven) IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN newSL = tradeprice(1) - trailingStepShortInPoints * pipsize ENDIF // next moves IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN newSL = newSL - trailingStepShortInPoints * pipsize ENDIF ENDIF   // stop order to exit the positions IF newSL > 0 THEN IF LONGONMARKET THEN SELL AT newSL STOP ENDIF IF SHORTONMARKET THEN EXITSHORT AT newSL STOP ENDIF ENDIF   // superordinate stop and take profit SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

   

  

  Gianluca

  Participant

  Topics: 60

  Replies: 409

  Been thanked: 54 times
  03/03/2018 at 11:52 PM #64333
  wp01

  @Gianluca,

  I loaded PF Nikkei V6 to check the latest positions and V6 also opened a position on the same date and time. I see in your tradelog that the opening was from PF V7, but

  have you checked that you also activated the correct version in ProOrder or that maybe an old version is hanging there? I’m asking because your BT also show two versions.

  Dajvop and Pfeiler are also running PF Nikkei V7. Maybe they can tell you if they had the same positions.

  Kind regards,

  

  wp01

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  03/03/2018 at 11:58 PM #64335
  Gianluca

  Hello Wp thank you for your reply, the version on the screenshot are almost the same, i am running the code that i’ve posted, no trade on Backtest, trade in real :-/ Could you try to backtest it the same?

  

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  03/04/2018 at 12:16 AM #64336
  wp01

  @Gianluca,

  I already loaded your mac version and i get the same results as you have.

  When did you activate it in ProOrder? There is a date on the right in ProOrder. I’m asking because i had some issues in the past when i activated a code in ProOrder while it is in position,

  live and backtest were not always in sync. So if you activated it between 16-02-2018 09:00 hours and 26-02-2018 05:00 hours you were not have all the buys. I’m not sure if it goes well when the position

  is closed. I can remember i had a few times a problem with that in the past. But this is easy to check for you. If it was before that date than this could not be the problem and i’m out of options.

   

  

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  03/04/2018 at 1:15 PM #64356
  Gianluca

  Mmm i started the code on 20 of february…i need to try from that day, i will next week now i will be out for holiday.

  

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  03/05/2018 at 10:00 AM #64402
  dajvop

  @gianluca and @wp01

  I activated the latest NIKKEI v7 on Feb 6. The first buy was on Feb 16 0900, the second on Feb 19 0500 and the third on Feb 19 0900. Now, the backtest and live trading differs.

  BT buys on Feb 21 0900 and then exits on Feb 26 0500.

  LT exits all positions on Feb 21 1700, then buys on Feb 26 2100 and exits with loss on Mar 1 1946.

  

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  03/05/2018 at 10:34 AM #64407
  wp01

  Thanks dajvop. The latest trade is the same as Gianluca reported after he activated it on the 20th. of february.

  Do you have an idea why it bought on the 26th. at 09.00 and why it didn’t show up in the BT?

  My idea is that it bought a position because of the dynamic positionsize. The algo had a profit in the week before.

  IF DayOfWeek <> DayOfWeek[1] AND DayOfWeek = 1 THEN
  IF StrategyProfit > profitLastWeek + 1 THEN
  positionSize = MIN(trendMultiplier, positionSize + 1) // increase risk
  ELSE
  positionSize = MAX(1, positionSize – 1) // decrease risk
  ENDIF
  profitLastWeek = strategyProfi

  You also had the full profit because you activated it earlier instead of Gianluca. He activated it the 20th. According to your tradelog from above he didn’t had one of the buy orders.

  I think the reason why the results differ from the LT is that when you start the algo, it also starts with 1 position, depending on the risk you take. But when you look at the BT for over

  5 or more years it had already increased multi positions and risk because of the positive results. Looking at the dynamic positionsize it increases the positionsize looking at results and

  seasonal multiplier. (see line 47 and 48). When activated in LT it basicly starts at zero.

  

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  03/06/2018 at 10:18 AM #64553
  dajvop

  @wp01

  You are correct.

  If I start the BT on Feb 6, then the result is identical to LT.

  

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  03/18/2018 at 2:09 PM #65571
  Ant.g

  Buongiorno a tutti e un ringraziamento speciale a Reiner per la sua disponibilità, ha preso a disposizione il suo sistema pathfinder. Ho notato che quando uso pathfinder in modo reale le operazioni sono differenti da quelli eseguiti su backtest. Ho anche notato che, in modo reale, le operazioni dipendono dal momento in cui si avvia il sistema. La mia domanda è: qual è il momento giusto si deve lanciare il sistema? Qual è il momento giusto per le operazioni in modo reale coincidere con quelli in modo backtest? Grazie mille per l’eventuale risposta.

  

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  03/18/2018 at 2:17 PM #65572
  reb

  Hello Ant.g

  Il mio italiano non e sufficiente per una risposta

  This post is in the english forum, so could you be kind to continue in this language ?

  thks

  Reb

   

  

  reb

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