Hi Reiner. I’m still trying to make a more conservative version of DAX 4H v6. I wrote about the risk before, also someone asked about a ver. for a small account. I saw you suggested a max 3 positionsize ver. I tested many variation of v6 code but since the positionsize is not linear I can’t find a solution that would go all the way including a money management code. I discovered that simplify the original code to only maxpositionsize=3 it also cut more on the gain side. So perhaps a new optimisation was needed? I multiplied the DD with 2 and added 1K for margin if the 3 positions. So this should be for a 4k account. Downside is that the DD is still more or less same as the V6 but the gain is only half. On the good side, it only risk a third of the orginal V6.- it has max 2 consecutive loss and 22 wins since July 2009
I tried to do the optimisation, and this was what I came up with. I’d like you comments if you think it’s optimized correct or not since this is my first optimisation try for you code 🙂
I have added a comparison screenshoot of the orginal V6 with max 3 positionsize and the new optimized V6b5
cheers Kasper
// 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 6.5 MM Elsborgtrading Live ver
// 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 = 4000
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//x1//3.25 // in %
ONCE takeProfitShort = 3.5//x2//3.25 // in %
reinvest =1
if reinvest then
positionSize=max(round((equity+Capital)/(capital*10)),1)
maxPositionSizeLong = MAX(positionSize+2, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(positionSize+2, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
else
positionSize=1
maxPositionSizeLong = MAX(15, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(15, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
Endif
ONCE trailingStartLong = 2 // in %
ONCE trailingStartShort = 0.75 // in %
ONCE trailingStepLong = 0.2 // in %
ONCE trailingStepShort = 0.4 // in %
ONCE maxCandlesLongWithProfit = 17//x1//16 // take long profit latest after 16 candles
ONCE maxCandlesShortWithProfit = 13//x2//15 // take short profit latest after 15 candles
ONCE maxCandlesLongWithoutProfit = 26//x1//30 // limit long loss latest after 30 candles
ONCE maxCandlesShortWithoutProfit = 25//x2//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//x1//3
ONCE January2 = 0//x2//0
ONCE February1 = 1//x1//3
ONCE February2 = 2//x2//3
ONCE March1 = 3//x1//3
ONCE March2 = 3//x2//2
ONCE April1 = 0//x1//1
ONCE April2 = 3//x2//3
ONCE May1 = 1//x1//1
ONCE May2 = 3//x2//1
ONCE June1 = 0//x1//2
ONCE June2 = 2//x2//2
ONCE July1 = 1//x1//3
ONCE July2 = 3//x2//1
ONCE August1 = 2//x1//1
ONCE August2 = 1//x2//1
ONCE September1 = 3//x1//3
ONCE September2 = 0//x2//0
ONCE October1 = 3//x1//3
ONCE October2 = 3//x2//2
ONCE November1 = 2//x1//1
ONCE November2 = 3//x2//3
ONCE December1 = 3//x1//3
ONCE December2 = 2//x2//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
//ONCE Breakeven=0
// reset the stoploss value
IF NOT ONMARKET THEN
newSL = 0
//breakeven=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
//breakeven=1
ENDIF
// next moves
IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN
newSL = newSL + trailingStepLongInPoints * pipsize
//breakeven=1
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
//breakeven=1
ENDIF
// next moves
IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN
newSL = newSL - trailingStepShortInPoints * pipsize
//breakeven=1
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
//dif=(newsl1-tradeprice)
//graph ((dif*COUNTOFPOSITION*pipsize*pointvalue)/(equity))*100 COLOURED(0,0,255) AS "MAXRISKNEWSL"//blue
//graph (((tradeprice-(tradeprice-(tradeprice*(stoploss/100))))*positionsize*pipsize*pointvalue)/(equity))*100 COLOURED(0,0,0) AS "MAXRISK"//blue
//graph (((close-positionprice)*pointvalue)*countofposition)/pipsize/(equity)*100 COLOURED(0,0,255) AS "MAXRISK3"//blue
//graph (((positionprice-(positionprice-(positionprice*(stoploss/100))))*COUNTOFPOSITION*pipsize*pointvalue)/(equity))*100 COLOURED(0,0,255) AS "MAXRISK2"//blue
if ((tradeprice-(tradeprice-((tradeprice*(stoploss/100)*COUNTOFPOSITION)))*pipsize*pointvalue)/equity)*100 <0 then
graph -1*((tradeprice-(tradeprice-((tradeprice*(stoploss/100)*COUNTOFPOSITION)))*pipsize*pointvalue)/equity)*100 COLOURED(0,0,255) AS "MAXRISK"//Aqua
else
graph ((tradeprice-(tradeprice-((tradeprice*(stoploss/100)*COUNTOFPOSITION)))*pipsize*pointvalue)/equity)*100 COLOURED(0,0,255) AS "MAXRISK"//Aqua
endif
//graph ((tradeprice-(tradeprice-((tradeprice*(stoploss/100)*COUNTOFPOSITION)))*pipsize*pointvalue)/equity)*100 COLOURED(0,0,255) AS "MAXRISK"//Aqua
//graph ((tradeprice-(tradeprice-((tradeprice*(newsl/100)*COUNTOFPOSITION)))*pipsize*pointvalue)/equity)*100 COLOURED(0,0,255) AS "MAXRISK-NewSL"//Aqua
//graph breakeven COLOURED(255,0,0) AS "breakeven"//Aqua
//graph ((newsl-tradeprice)/equity)*100 COLOURED(0,0,255) AS "newsl"
//graph positionsize COLOURED(0,125,255) AS "position"
//graph countofposition COLOURED(0,125,255) AS "countofposition"
//graph tradeprice-(tradeprice-(tradeprice-newsl)) COLOURED(0,0,255) AS "stoplossin%"
//graph (tradeprice-(tradeprice-((tradeprice*(stoploss/100)))))COLOURED(0,0,0) AS "pointstoSL"//Aqua
//graph (((tradeprice-(tradeprice-((tradeprice*stoploss)/100)))*positionsize*pointvalue*100)/(equity+capital))*100 COLOURED(0,0,0) AS "MAXRISK"//Aqua
