Hi MichiM,
wie du vlt. gelesen hast, hatten wir alle mehr oder weniger das gleiche Problem. Ich habe mir den Code von V5B2 nochmal genau angeschaut und einen Fehler bei der Berechnung der Haltedauer für einen short trade gefunden (siehe oben). Ich werde in kürze eine neuen Version hierzu veröffentlichen. Ich handle nur den DAX und da waren die Real Mode Trades und die Backtest Trades bis auf eine slippage von ein paar Punkten bisher eigentlich immer identisch. Es muss da aber noch irgendwas mit der PRT Plattform passiert sein, ich hatte z.B auch ein völlig falschen Stopp – ich werde das beobachten.
MichiM had the same problems like many others here. As mentioned above I made a code review for V5B2 and found the described error. In my opinion there must be some additional PRT platform anomalies because I had a false stop limit. In my opinion Pathfinder code looks OK so far and I’ll release a fixed version soon.
best, Reiner
Hi Flo,
Yes, the found error wasn’t responsible for everthing what I saw e.g. the stop limit was wrong as well. I made a code review and found no further points. I’ll keep my eye on it.
best, Reiner
I have created a new version Pathfinder DAX H4 V5. Contains all beta funnctions and additional the following changes:
- fixed a bug in the calculation of the maximum holding period for short trades
- adaption of Pathfinder’s parameter to the maximum available data history with 24 quotes (from August 2010)
best, Reiner
Hey Reiner,
in deinem System ist der Handel von 8:00 bis 22:00 Uhr begrenzt. Bezieht sich das auch auf die anderen Indikatoren?
Also z.B. Tages/Wochen/Monatshoch und -tief? Oder die geglätteten Durchschnitte?
Denn ich hab mir Gedanken darüber gemacht wie man den Backtest aussagekräftiger machen kann und noch mehr historische Daten nutzen. Der eigentliche Handel an den Börsen findet ja zwischen 8 und 22 Uhr statt. Wie genau IG seine Kurse dazwischen stellt weiß ich leider auch nicht. Wäre es möglich dem System zu sagen, dass es für die Zeit von 22 bis 8 Uhr einfach den Endkurs des Tages (also den Kurs von 22Uhr) für die Berechnungen heranziehen soll? Also das es virtuell mit einer Kerze rechnet, die eigentlich gar nicht da ist?
Ich hoffe du verstehst was ich meine. Dein Screenshot von dem System, das auf die Kernhandelszeiten beschränkt ist war zwar wesentlich schlechter als das aktuelle System und hatte einen größeren Drawdown, aber das Ergebnis war trotzdem gut. Eventuell lässt es sich das Ergebnis verbessern, indem ein 24h handel simuliert wird durch diese virtuelle Kerze.
Das ganze ist wahrscheinlich nicht so einfach umzusetzen, aber ich würde mich trotzdem freuen wenn du mir deine Meinung dazu sagen könntest.
MfG, Flo
For everyone convenience, please speak English in the english forums. Thanks in advance 🙂
Hello Nicolas, yes I am sorry. I had to write it fast, so I did it in german.
I was asking if it is possible to implement a piece of code, that all the indicators and the whole systems is calculated with the last “official” price of the day for the time between 22:00 and 8:00.
Before August 2010 there was no pricing at night. Today there is, but I think it is made by IG because the futures are not traded during that time. But as we saw, the performance of the system is better, if there happens to be candles between 22 and 8. If it would be possible to have a “virtual candle” which is only one price, maybe the system could be backtested for the complete time of the historical data.
but i am not sure if this is possible or if this would require to code all used indicators new.
cheers, flo
are always the idea that if pathfinder provides closure candle 9.00 and ‘better to close the trade at 21.00 the day before (- 3 candles)
it prevents nocturnal surprises. The night often brings disappointments. I tried the reiner code but does not work.
mig
Miguel,
regarding maximal holding check, the following code check at 21:00:00 the condition like next morning at 9:00:00
numberCandles = (BarIndex - TradeIndex)
IF Time = 210000 THEN
numberCandles = numberCandles + 3
ENDIF
m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit
m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit
m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit
m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit
Hi Flo,
Thanks for your idea, I appreciate your contribution.
The signalline calculation consider 24 hours and sunday quotes. This behavior is an advantage and make the system much better. The quotes outside of the core trading time will predict the future trend and give probably better signals. Without additional external price information Pathfinder isn’t in the position to calculate comparable valueable quotes.
Pathfinder has already 250 lines of code and the complexity is high enough.
best, Reiner
I tried using pathfinder for eur / usd. The results are interesting but you have to remove the trade in balance and eliminate seasonality.
// Pathfinder Trading System based on ProRealTime 10.2
// Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management
// Version Beta
// Instrument: EUR/USD mini 4H, 3-23 CET, 0.6 points spread, account size 10.000 Euro
// ProOrder code parameter
DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off
DEFPARAM PRELOADBARS = 10000
// define intraday trading window
ONCE startTime = 030000
ONCE endTime = 230000
// define instrument signalline with help of multiple smoothed averages
ONCE periodFirstMA = 7
ONCE periodSecondMA = 11
ONCE periodThirdMA = 9
// define filter parameter
ONCE periodLongMA = 50
ONCE periodShortMA = 20
// define position and money management parameter
ONCE positionSize = 1
Capital = 1000
Risk = 2 // in %
equity = Capital + StrategyProfit
maxRisk = round(equity * Risk / 100)
ONCE stopLossLong = 2 // in %
ONCE stopLossShort = 2 // in %
ONCE takeProfitLong = 4 // in %
ONCE takeProfitShort = 3 // in %
maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(5, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
ONCE trailingStartLong = 1.6 // in %
ONCE trailingStartShort = 0.6 // in %
ONCE trailingStepLong = 0.6 // in %
ONCE trailingStepShort = 0.2 // in %
ONCE maxCandlesLongWithProfit = 17 // take long profit latest after 16 candles
ONCE maxCandlesShortWithProfit = 19 // take short profit latest after 15 candles
ONCE maxCandlesLongWithoutProfit = 39 // limit long loss latest after 30 candles
ONCE maxCandlesShortWithoutProfit = 13 // limit short loss latest after 13 candles
// define saisonal position multiplier >0 - long / <0 - short / 0 no trade
ONCE January = 1
ONCE February = 1
ONCE March = 1
ONCE April = 1
ONCE May = 1
ONCE June = 1
ONCE July = 1
ONCE August = 1
ONCE September = 1
ONCE October = 1
ONCE November = 1
ONCE December = 1
// calculate daily high/low (include sunday values if available)
dailyHigh = DHigh(1)
dailyLow = DLow(1)
// calculate weekly high/low
If DayOfWeek < DayOfWeek[1] then
weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh)
lastWeekBarIndex = BarIndex
ENDIF
// calculate monthly high/low
If 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 pattern
IF CurrentMonth = 1 THEN
saisonalPatternMultiplier = January
ELSIF CurrentMonth = 2 THEN
saisonalPatternMultiplier = February
ELSIF CurrentMonth = 3 THEN
saisonalPatternMultiplier = March
ELSIF CurrentMonth = 4 THEN
saisonalPatternMultiplier = April
ELSIF CurrentMonth = 5 THEN
saisonalPatternMultiplier = May
ELSIF CurrentMonth = 6 THEN
saisonalPatternMultiplier = June
ELSIF CurrentMonth = 7 THEN
saisonalPatternMultiplier = July
ELSIF CurrentMonth = 8 THEN
saisonalPatternMultiplier = August
ELSIF CurrentMonth = 9 THEN
saisonalPatternMultiplier = September
ELSIF CurrentMonth = 10 THEN
saisonalPatternMultiplier = October
ELSIF CurrentMonth = 11 THEN
saisonalPatternMultiplier = November
ELSIF CurrentMonth = 12 THEN
saisonalPatternMultiplier = December
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
// 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
IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN
BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET
ENDIF
ELSIF saisonalPatternMultiplier <> 0 THEN
IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN
BUY positionSize CONTRACT AT MARKET
ENDIF
ENDIF
stopLoss = stopLossLong
takeProfit = takeProfitLong
ENDIF
// short entry without order cumulation
IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN
// check saisonal booster setup and max position size
IF saisonalPatternMultiplier < 0 THEN
IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN
SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET
ENDIF
ELSIF saisonalPatternMultiplier <> 0 THEN
IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN
SELLSHORT positionSize CONTRACT AT MARKET
ENDIF
ENDIF
stopLoss = stopLossShort
takeProfit = takeProfitShort
ENDIF
// stop and profit management
IF LONGONMARKET THEN
posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize
ELSIF SHORTONMARKET THEN
posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize
ENDIF
m1 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithProfit
m2 = posProfit > 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithProfit
m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit
m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= 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
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
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
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
// superordinate stop and take profit
SET STOP %LOSS stopLoss
SET TARGET %PROFIT takeProfit
ENDIF
The IT support of IG says, that the change from summer- to wintertime caused the bug in the program.
Hello Ale and Reiner,
Congrats Reiner for the code quality.
I have a question for you Ale about the backtest realized before 2009, do you know how many points the strategy made in 2008 ?
Thank you
Kindest regards,
Roman
how about the crude oil and gas
@RomanK
>> Please update your country flag in your profile. Thank you 🙂 <<
@GAMMA
Since no one is a robot or a slave here,
please make polite request when you ask something 🙂
Thank you.
