Pathfinder Trading System

• 12/08/2016 at 12:09 AM #17979
  Mr Mackey

  The only reason I ask is that backtesting v3 on DAX30 shows awsome results compared to v4…

  

  Mr Mackey

  Participant

  Topics: 3

  Replies: 6

  Been thanked: 0 times
  12/08/2016 at 12:12 AM #17980
  Reiner

  Hi Mark,

  the DAX daily version trade only the strongest signal based on daily cross over/under (less signals but higher quality). The DAX 1D consider all 6 breakout signals and has higher profits but also a higher drawdown. I developed the versions based on daily data to have something for a quick check whether the instrument is suitable for the Pathfinder breakout algorithm or not. The test is done in minutes and if profitable I will look deeper and invest more time to create a H4 or H1 version.

  best, Reiner

  

  Reiner

  Participant

  Topics: 3

  Replies: 435

  Been thanked: 1095 times
  12/08/2016 at 12:18 AM #17981
  Reiner

  Adam, as requested here is the code of the last H4 version V6 from today

  // 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 6 // Instrument: DAX mini 4H, 9-21 CET, 2 points spread, account size 10.000 Euro, from August 2010 // ProOrder code parameter DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000 // define intraday trading window ONCE startTime = 90000 ONCE endTime = 210000 // 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 Capital = 10000 Risk = 5 // in % equity = Capital + StrategyProfit maxRisk = round(equity * Risk / 100) ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.25 // in % ONCE takeProfitLong = 3.25 // in % ONCE takeProfitShort = 3.25 // in % maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize)) ONCE trailingStartLong = 2 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.4 // in % ONCE maxCandlesLongWithProfit = 16 // take long profit latest after 16 candles ONCE maxCandlesShortWithProfit = 15 // take short profit latest after 15 candles ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 12 // limit short loss latest after 12 candles // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 ONCE January2 = 0 ONCE February1 = 3 ONCE February2 = 3 ONCE March1 = 3 ONCE March2 = 2 ONCE April1 = 3 ONCE April2 = 3 ONCE May1 = 1 ONCE May2 = 1 ONCE June1 = 2 ONCE June2 = 2 ONCE July1 = 3 ONCE July2 = 1 ONCE August1 = 1 ONCE August2 = 1 ONCE September1 = 3 ONCE September2 = 0 ONCE October1 = 3 ONCE October2 = 2 ONCE November1 = 2 ONCE November2 = 3 ONCE December1 = 3 ONCE December2 = 2 // 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[1] <> Month[2] then //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 multiplier currentDayOfTheMonth = Date - ((CurrentYear * 10000) + CurrentMonth * 100) 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 // 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 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

  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 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311

  // 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 6 // Instrument: DAX mini 4H, 9-21 CET, 2 points spread, account size 10.000 Euro, from August 2010   // ProOrder code parameter DEFPARAM CUMULATEORDERS = true  // cumulate orders if not turned off DEFPARAM PRELOADBARS = 10000   // define intraday trading window ONCE startTime = 90000 ONCE endTime = 210000   // 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   Capital = 10000 Risk = 5 // in % equity = Capital + StrategyProfit maxRisk = round(equity * Risk / 100)   ONCE stopLossLong = 5.5 // in % ONCE stopLossShort = 3.25 // in % ONCE takeProfitLong = 3.25 // in % ONCE takeProfitShort = 3.25 // in %   maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize)) maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))   ONCE trailingStartLong = 2 // in % ONCE trailingStartShort = 0.75 // in % ONCE trailingStepLong = 0.2 // in % ONCE trailingStepShort = 0.4 // in %   ONCE maxCandlesLongWithProfit = 16  // take long profit latest after 16 candles ONCE maxCandlesShortWithProfit = 15  // take short profit latest after 15 candles ONCE maxCandlesLongWithoutProfit = 30  // limit long loss latest after 30 candles ONCE maxCandlesShortWithoutProfit = 12  // limit short loss latest after 12 candles   // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 ONCE January2 = 0 ONCE February1 = 3 ONCE February2 = 3 ONCE March1 = 3 ONCE March2 = 2 ONCE April1 = 3 ONCE April2 = 3 ONCE May1 = 1 ONCE May2 = 1 ONCE June1 = 2 ONCE June2 = 2 ONCE July1 = 3 ONCE July2 = 1 ONCE August1 = 1 ONCE August2 = 1 ONCE September1 = 3 ONCE September2 = 0 ONCE October1 = 3 ONCE October2 = 2 ONCE November1 = 2 ONCE November2 = 3 ONCE December1 = 3 ONCE December2 = 2   // 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[1] <> Month[2] then //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 multiplier currentDayOfTheMonth = Date - ((CurrentYear * 10000) + CurrentMonth * 100) 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   // 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 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

   

  

  Reiner

  Participant

  Topics: 3

  Replies: 435

  Been thanked: 1095 times
  12/08/2016 at 8:44 AM #17983
  Alco

  Hello Reiner,

  First I will thank you for this great system. If I run a backtest with the latest version (v6) from 9 aug 2012 – 8 dec 2016 and looked at the losing trades, I came to the conclusion that if you separate the month in four, you probably get better results.

  Im not a programmer, so I don’t know to do that.

  The results of losing trades if you split the month in 4
  1 – 7        5 losing trades     5,95%
  8 – 15     8 losing trades     6,54%
  16 – 23   13 losing trades   11,32%
  24 – 31   5 losing trades     1,6%

  So, if I look back in 4,5 years history, it’s probably better to adapt the seasonal booster for those weeks, or do not trade in week  3.

  Alco

  

  Alco

  Participant

  Topics: 9

  Replies: 133

  Been thanked: 38 times
  12/08/2016 at 11:23 AM #18047
  Reiner

  Hi Simon,

  the current Pathfinder DAX version is V6. http://www.prorealcode.com/topic/pathfinder-trading-system/page/25/#post-17954

  Please find attached a comparision of the results from V3 to V6. Pathfinder was created for the DAX and I have no clue if it works with DFB.

  @UK guys: please advise to answer Simons question if Pathfinder works with a DAX DFB – Thanks

  best, Reiner

  

  Reiner

  Participant

  Topics: 3

  Replies: 435

  Been thanked: 1095 times
  12/08/2016 at 12:19 PM #18056
  Cosmic1

  Yes, works all good. Just adjust start and finish times back 1 hour.

  

  Cosmic1

  Participant

  Topics: 9

  Replies: 112

  Been thanked: 39 times
  12/08/2016 at 5:55 PM #18084
  Viktor Zetterblom

  Hello everyone!
  Thank you Reiner for this great system. It works very well for me so far.
  I have been programing my own trading systems for about 7 months so i´m still learning a lot.

  But there is one thing i don´t understand with your system.

  It says in the code that it is active between 09:00 – 21:00 but when i have done the same thing in my own trading systems that i have programmed it has ended open positions after the time has ended.
  But your system can keep positions open for days, even after 21:00
  So my question is what does the timeframe do more exactly in your code?

  Viktor

  

  Viktor Zetterblom

  Participant

  Topics: 1

  Replies: 2

  Been thanked: 0 times
  12/08/2016 at 7:19 PM #18087
  Choo Jen-Sin

  Hi Reiner,

  Do we set the timezone in platform options to CET (UTC +01:00)?

  Thank You.

  

  Choo Jen-Sin

  Participant

  Topics: 0

  Replies: 4

  Been thanked: 0 times
  12/08/2016 at 7:22 PM #18088
  Elsborgtrading

  Hi Viktor. It sounds like you have incorporated a timecondition correct. However it does not close position. A simple example I often use my self is this. Trades will only be open between 09:00 and 17:00, and all trades will be closed after 22:00

  defparam flatafter=220000 //===========Trade hours ============= IF (Time >= 09000 AND Time <= 170000) then Tradetime=1 else Tradetime=0 endif // enter Long Position IF <longcondition> and Tradetime THEN BUY 1 CONTRACT AT MARKET ENDIF // enter short Position IF <shortCondition> and Tradetime THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

  defparam flatafter=220000     //===========Trade hours ============= IF (Time >= 09000 AND Time <= 170000) then Tradetime=1 else Tradetime=0 endif   // enter Long Position IF  <longcondition> and Tradetime THEN BUY 1 CONTRACT AT MARKET ENDIF   // enter short Position IF <shortCondition> and Tradetime THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF

   

  

  Elsborgtrading

  Participant

  Topics: 37

  Replies: 359

  Been thanked: 154 times
  12/08/2016 at 7:31 PM #18089
  Alco

  Could someone make the v6 version with months seperate in 4 instead of 2? i would really appreciate it.

  Kind regards,

  Alco

  

  Alco

  Participant

  Topics: 9

  Replies: 133

  Been thanked: 38 times
  12/08/2016 at 8:33 PM #18095
  Nicolas

  @viktor

  If you have general questions about coding, please open a specific topic for each of them, in order to keep this topic clear and dedicated to Reiner’s strategy.

  @Choo Jen-Sin

  Please update your country into your profile. Thank you.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4739 times
  12/08/2016 at 9:27 PM #18099
  Reiner

  Hi Alco,

  Thanks for your contribution and welcome. I checked  your idea and will deliver an adapted Pathfinder version tomorrow. Is some work to optimize 48 variables :-).

  best, Reiner

  

  Reiner

  Participant

  Topics: 3

  Replies: 435

  Been thanked: 1095 times
  12/08/2016 at 9:32 PM #18100
  Elsborgtrading

  Hi Reiner. I a couple of question for you brilliant work. In advance my apologies if the subject already has been mentioned but 385 reply in this thread I might have overlooked a few things 🙂

  First  DAX V6 is the one I looked deeper into, but you published V6b2 before the V6? With all the versions it could be hard to track changes, so why a ver 6b2 before a clean V6? It just the order in me that what this to be at least a V6.5 or am I missing something? Anyway a suggestion would be to make a matrix with the changes up through the version on various instrument as well and post it as perhaps a sticky non reply-able post(Nicolas is this possible for the only mortals?), and yes I know it would probably be very time consuming, but very informative. It sure would be nice to have

  About the order cumulation- it only for Long position and not for Short. But looking at the DAX Seasonality chart it could be profitable in to implement cumulation of short in the saisonal position multiplier.

  • January2
  • February2
  • March1
  • August1
  • August2
  • September2
  • September1
  • October1

  It just a quick look at the DAX Seasonality chart and I know it will overlap of some of the high multiplier for Long, for eksample in September1

  Could this be an idea, or is it already tried?

  Cheers Kasper

  

  Elsborgtrading

  Participant

  Topics: 37

  Replies: 359

  Been thanked: 154 times
  12/08/2016 at 9:40 PM #18101
  Reiner

  Hi Choo Jen-Sin,

  Welcome – could you please set your location code in your profile to check where do come from. Usually it’s sufficient when you adjust the two variables:

  ONCE startTime = 90000 ONCE endTime = 210000

  1 2	ONCE startTime = 90000 ONCE endTime = 210000

  best, Reiner

  

  Reiner

  Participant

  Topics: 3

  Replies: 435

  Been thanked: 1095 times
  12/08/2016 at 10:36 PM #18103
  Cosmic1

  Just a thought but splitting the months in to 4 will surely become over curve fitted..?

  

  Cosmic1

  Participant

  Topics: 9

  Replies: 112

  Been thanked: 39 times
• Author
  Posts