Pathfinder Trading System

• 09/25/2016 at 5:57 PM #13717
  Reiner

  The DOW result is impressive but there are also a couple of higher losses.

  Pathfinder DOW V4

  // 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 4 // Instrument: DOW mini 4H, 8-22 CET, 2.8 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 = 80000 ONCE endTime = 220000 // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 7 // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 10 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 3 ONCE maxPositionSizeShort = 3 ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 1.75 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in % ONCE maxCandlesLongWithProfit = 17 // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles // define saisonal position multiplier >0 - long / <0 - short ONCE January = 2 ONCE February = 3 ONCE March = 2 ONCE April = 2 ONCE May = 2 ONCE June = 2 // 3 ONCE July = 2 ONCE August = 2 ONCE September = -2 ONCE October = 3 ONCE November = 2 ONCE December = 2 // calculate daily high/low 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) // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // 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 // 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 IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size 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 IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size 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 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize 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 IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // 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 4 // Instrument: DOW mini 4H, 8-22 CET, 2.8 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 = 80000 ONCE endTime = 220000   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 7   // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 10   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 3 ONCE maxPositionSizeShort = 3   ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 1.75 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in %   ONCE maxCandlesLongWithProfit = 17  // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 40  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25  // limit short loss latest after 25 candles   // define saisonal position multiplier >0 - long / <0 - short ONCE January = 2 ONCE February = 3 ONCE March = 2 ONCE April = 2 ONCE May = 2 ONCE June = 2 // 3 ONCE July = 2 ONCE August = 2 ONCE September = -2 ONCE October = 3 ONCE November = 2 ONCE December = 2   // calculate daily high/low 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)   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // 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   // 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 IF ( l1 OR l4 OR l2 OR (l3 AND f2) ) THEN  // cumulate orders for long trades IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size 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 IF NOT SHORTONMARKET  AND ( (s1 AND f3) OR (s2 AND f1) ) THEN // no cumulation for short trades IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size 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 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   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   IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

  

  Reiner

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  09/26/2016 at 8:39 AM #13730
  Cosmic1

  So a little play with V4 IN/OUT sample. Jan 2009 – March 2014.

  Actually picks out first and third MA as 2…

  Bit choppier than your version with MUCH more drawdown, overall result slightly better but prefer your version. I think it proves that your version is solid…?

  // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 2 //5 ONCE periodSecondMA = 12 //10 ONCE periodThirdMA = 2 //3 // define filter parameter ONCE periodLongMA = 280 //300 ONCE periodShortMA = 45 //50 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10 ONCE stopLossLong = 6.5 // in % 5.5 ONCE stopLossShort = 2.75 // in % 3.5 ONCE takeProfitLong = 3.25 // in % 2.75 ONCE takeProfitShort = 1.5 // in % 1.75 ONCE maxCandlesLongWithProfit = 18 // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 10 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 32 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 27 // limit short loss latest after 25 candles

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  // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 2 //5 ONCE periodSecondMA = 12 //10 ONCE periodThirdMA = 2 //3   // define filter parameter ONCE periodLongMA = 280 //300 ONCE periodShortMA = 45 //50   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10   ONCE stopLossLong = 6.5 // in % 5.5 ONCE stopLossShort = 2.75 // in % 3.5 ONCE takeProfitLong = 3.25 // in % 2.75 ONCE takeProfitShort = 1.5 // in % 1.75   ONCE maxCandlesLongWithProfit = 18  // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 10  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 32  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 27  // limit short loss latest after 25 candles

   

  

  Cosmic1

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  09/26/2016 at 9:55 AM #13740
  miguel33

  in backtest the version 4 seems better results for the DAX and the FTSE 100 while Wallstreet looks no better. I noticed that putting as 8-23 transaction time is improved a little.

  

  miguel33

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  09/26/2016 at 12:25 PM #13744
  Reiner

  Cosmic1, Thanks for your confirmation. It’s good to know that DAX V4 works reliable and without big drawdowns before 2013.

  

  Reiner

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  09/26/2016 at 3:26 PM #13751
  Reiner

  Miguel, You are right. In Pathfinder DOW V4 the new variables maxPositionSizeLong and maxPositionSizeShort have the wrong values (3) and limit the result. Please change the values to 15 and you will see a comparable V3 result. I have attached a comparison of V3 and V4. Sorry for the confusion.

  

  Reiner

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  09/26/2016 at 5:05 PM #13763
  Cosmic1

  Hi Reiner, DOW not looking so pretty before 2012.

  If you want to ping me a message on email travel141 at gmail dot com I can give you skype details if you want to throw any code like this at the extended data I have if that would help?

  

  Cosmic1

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  09/27/2016 at 1:21 AM #13774
  dajvop

  Hi Reiner,

  Great work!

  I have been running v3 live since Sept 19 and it opened a long position on Sept 26 17 pm, but the backtest did not, unless I limit the starting date and time to Sept 19. Is there anything I should think about before starting v4?

  Regards,

  David

  

  dajvop

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  09/27/2016 at 2:12 AM #13775
  dajvop

  Hi Reiner,

  Disregard my post above. I had forgot to set the correct no. of units to show in the backtest, so now both show the same.

  Regards,

  David

  

  dajvop

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  09/27/2016 at 6:45 AM #13780
  miguel33

  Perfetto. Tutto ok Reiner.

   

  

  miguel33

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  09/27/2016 at 7:41 AM #13782
  jamesgodfrey80

  Hi Reiner,

  I’ve been following your progress over the last few months and its been really impressive.  I only put it on a live demo account in the last few weeks.  How have things matched up in relation to the backtest and live testing/trading since you started.

  I know you have talked about this in a previous post but I think this is the topic everyone is keen to find out about.  Many of my simple strategies produce fine results on PRT but when it is a complex piece of coding it concerns me that the live results and backtest may be quite different.

  Thanks for all your effort,

  James

  

  jamesgodfrey80

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  09/27/2016 at 9:39 AM #13789
  Reiner

  Cosmic1, Thanks for DOW backtest and your offer. I appreciate your support for this project and will come back to you.

  

  Reiner

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  09/27/2016 at 12:48 PM #13802
  Cosmic1

  No worries.

  IN/OUT optimise with 10 years of data. 2.8 Spread.

  ONCE periodFirstMA = 7 //5 ONCE periodSecondMA = 10 //10 ONCE periodThirdMA = 6 //7 // define filter parameter ONCE periodLongMA = 315 //300 ONCE periodShortMA = 3 //10 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 15 ONCE stopLossLong = 6.25 // in 5.5% ONCE stopLossShort = 2 // in 1.75% ONCE takeProfitLong = 3.25 // in 2.75% ONCE takeProfitShort = 1.75 // in 1.75% ONCE maxCandlesLongWithProfit = 20 // take long profit latest after 17 candles ONCE maxCandlesShortWithProfit = 11 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 41 // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 21 // limit short loss latest after 25 candles

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  ONCE periodFirstMA = 7 //5 ONCE periodSecondMA = 10 //10 ONCE periodThirdMA = 6 //7   // define filter parameter ONCE periodLongMA = 315 //300 ONCE periodShortMA = 3 //10   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 15   ONCE stopLossLong = 6.25 // in 5.5% ONCE stopLossShort = 2 // in 1.75% ONCE takeProfitLong = 3.25 // in 2.75% ONCE takeProfitShort = 1.75 // in 1.75%   ONCE maxCandlesLongWithProfit = 20  // take long profit latest after 17 candles ONCE maxCandlesShortWithProfit = 11  // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 41  // limit long loss latest after 40 candles ONCE maxCandlesShortWithoutProfit = 21  // limit short loss latest after 25 candles

   

  2 users thanked author for this post.

  Reiner, Nicolas

  

  Cosmic1

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  09/27/2016 at 1:16 PM #13805
  Reiner

  Miguel, I have tested  your idea that Pathfinder avoid intraday reopen a position in the same direction. Please find attached the comparison of both backtests with DAX mini. Your idea is valueable!

  Here is the code, changes are tagged with #Miguel:

  // 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 4 - avoid reopen of intraday positions in same direction (from Miguel) // Instrument: DAX mini 4H, 8-22 CET, 2 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 = 80000 ONCE endTime = 220000 // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3 // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 50 // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10 ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in % ONCE maxCandlesLongWithProfit = 15 // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 2 ONCE February = 2 ONCE March = 2 ONCE April = 3 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = -1 ONCE September = -2 ONCE October = 1 ONCE November = 3 ONCE December = 3 // calculate daily high/low 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 #Miguel If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close) // reduced position? #Miguel reduceLongInTradingWindow = COUNTOFLONGSHARES < startPositionLong reduceShortInTradingWindow = COUNTOFSHORTSHARES < startPositionShort // 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 // 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 IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size 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 IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size 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 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize 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 IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit ENDIF

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  // 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 4 - avoid reopen of intraday positions in same direction (from Miguel) // Instrument: DAX mini 4H, 8-22 CET, 2 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 = 80000 ONCE endTime = 220000   // define instrument signalline with help of multiple smoothed averages ONCE periodFirstMA = 5 ONCE periodSecondMA = 10 ONCE periodThirdMA = 3   // define filter parameter ONCE periodLongMA = 300 ONCE periodShortMA = 50   // define position and money management parameter ONCE positionSize = 1 ONCE maxPositionSizeLong = 15 ONCE maxPositionSizeShort = 10   ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.5 // in % ONCE takeProfitLong = 2.75 // in % ONCE takeProfitShort = 1.75 // in %   ONCE maxCandlesLongWithProfit = 15 // take long profit latest after 15 candles ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 25 // limit short loss latest after 25 candles   // define saisonal position multiplier >0 - long / <0 - short / 0 no trade ONCE January = 2 ONCE February = 2 ONCE March = 2 ONCE April = 3 ONCE May = 2 ONCE June = 2 ONCE July = 3 ONCE August = -1 ONCE September = -2 ONCE October = 1 ONCE November = 3 ONCE December = 3   // calculate daily high/low 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 #Miguel If Time < startTime then startPositionLong = COUNTOFLONGSHARES startPositionShort = COUNTOFSHORTSHARES EndIF   // trade only in defined trading window IF Time >= startTime AND Time <= endTime THEN   // filter criteria because not every breakout is profitable f1 = close > Average[periodLongMA](close) f2 = close < Average[periodLongMA](close) f3 = close > Average[periodShortMA](close)   // reduced position? #Miguel reduceLongInTradingWindow = COUNTOFLONGSHARES < startPositionLong reduceShortInTradingWindow = COUNTOFSHORTSHARES < startPositionShort   // 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   // 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 IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND not reduceLongInTradingWindow ) THEN // cumulate orders for long trades #Miguel IF saisonalPatternMultiplier > 0 THEN // check saisonal booster setup and max position size 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 IF NOT SHORTONMARKET AND ( (s1 AND f3) OR (s2 AND f1) ) AND not reduceShortInTradingWindow THEN // no cumulation for short trades #Miguel IF saisonalPatternMultiplier < 0 THEN // check saisonal booster setup and max position size 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 posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize   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   IF LONGONMARKET AND (m1 OR m3) THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND (m2 OR m4) THEN EXITSHORT AT MARKET ENDIF   SET STOP %LOSS stopLoss SET TARGET %PROFIT takeProfit   ENDIF

   

  

  Reiner

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  09/27/2016 at 2:55 PM #13811
  Reiner

  Hi James,

  Pathfinder is a completely transparent project from the first idea up to the current state every step is documented here in the forum. The backtest with the DAX seems to be realible over the last years but to be honest I have no idea whether such a system realy works under real condition. From mid of July until now I traded several versions V2, V3 and now V4 but not continously and the return is more or less zero. An automatic trading system needs volatility and a trend to make money and over the last month DAX was a “lame duck”. It requires hundreds of trades to realy judge a system and requires a lot of patience. In a 4H timeframe it will take a time (months).

  I’m not a professional trader and I’m far away to be a professional trading system developer so every idea, reniew and improvement from the real pros are welcome.

  best Regards,

  Reiner

  1 user thanked author for this post.

  jamesgodfrey80

  

  Reiner

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  09/27/2016 at 6:45 PM #13817
  miguel33

  Perfetto Reiner.

  if you enter  definendo intra dal trading window 8-23. ….  Incredibile more

  miguel.

  

  miguel33

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