Pathfinder Trading System

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Viewing 15 posts - 46 through 60 (of 1,835 total)
  • #14197

    Hello everyone, I appeal especially to the more experienced, I think you have to work on the code to improve it and not waste energy on other time-frame. we must still improve and work on indexes and commodities. this and my thoughts to succeed as soon as possible. thanks and good luck to all.

    Miguel

    #14257

    I like Reiners Version better because of the smaller Drawdown, but I tried to change his Version into one with variable StopLoss7Take Profit Levels for each Buy/Sell condition.

    Maybe somebody is able to finde a combination of limit/sell percentages which will reduce the drawdown.

    #14261

     

    #14262

    Someone requested trailing stop and breakeven functionality for Pathfinder. Several tests with the DAX didn’t show significant improvement of the performance. The existing framework seems to be well balanced.

    Here is the code to play around:

     

    #14263

    Maybe it is just a few single trades with high profit that make the difference, but see for yourselfs.

    #14276

    Flowsen ,

    I checked in backtest results, excellent performance but very aggressive and therefore more dangerous.

    #14280
    reb

    Hi Reiner, hi all

    Thanks for this strategy and all your improvements.

    Don’t you think that MaxPositionSize is a bit agressive and risky ?  15 mini with 10 000 Eur capital, you can kill your account in 3 or 4 days (for the Dax in average ,there is day move of 150pts between highest and lowest)

    A newbie interested by easy money , will probably take your code without any understanding of all the details of Pathinder.

    A reduction of MaxPositionSize or a more consequent capital as proposal would be safer for most of the viewers.

    After for these who want to take more risks, they will  do it knowingly.

    Regards,

    Reb

     

    1 user thanked author for this post.
    #14283

    My 2 cents about max position sizing : adjust it with max “Average Daily Range” from X lookback days.

    #14467
    reb

    Hi Reiner, Hi all

    To go beyond my previous post, I have just tested the strat (version 4 – miguel) since mai 2006:

    The strat is negative until dec 2012, with a maximal loss of -14 000 eur. If you used a 10 000 eur capital , your account is dead.

    Since 2013, it is very positive (see attachement), but to earn this money, you need to have more than  15 000 eur at the beginning and to be very confident (you will loose  90% of your capital and you have to wait 6.5 years before earning some money).

     

    Reb

    #14470

    Before August 2010 the results are not really significant, because between 22:00 and 08:00 there has been no pricing. So the calculation of the number of candles is not correct and probably the calculation of the averages as well.

     

    #14487

    I have created a new version. Pathfinder V5 Beta 2. The version is still beta because off the ongoing discussion regarding position sizing. Here are the changes:

    • fixed a bug in the profit calculation for short positions (variable posProfit)
    • introduce trailing stop mechanism based on percent values (idea from MichiM, based on Nicolas work found here in the blog)
    • add a filter to reduce unprofitable intraday trades (idea from Miguel)
    • introduce maximal position size calculation dependent on capital and risk settings (inspired by comments from Elsborgtrading and reb)
    • modify some trading parameter because of the bug fixing

    changes in detail for the DAX:

    • new: trailingStartLong
    • new: trailingStartShort
    • new: trailingStepLong
    • new: trailingStepShort

    Here is the code for the DAX (backtest is attached):

     

    3 users thanked author for this post.
    #14491

    Hi reb,

    Thanks for your contributions, I appreciate your review. You are absolutely right, 15 “naked” DAX mini contracts are too much for an 10k account. Please be aware that Pathfinder cumulated the position size only in very strong trends especially on the long side. The “signalline” has to crossed over the daily high (add pos), the weekly (add pos) and the monthly (add pos). When this extremly bullish scenario happens Pathfinder go “all in” and cumulate aggressiv the position. With the last trade the others are already in profit. This behavior is one of the booster of Pathfinder and the backtest showed since 2009 that the system were never in trouble with this logic.

    I have added few lines of code in the last beta version to test the performance depending on risk and capital settings. I attached two backtests with 10k, 2% risk and at least 1 contract and 10k, 2% and at least 5 contracts to show how important it is to give Pathfinder enough room for cumulation.

    I can’t judge your backtest before 2009 but I believe that the data conditions are not comparable. Any idea, review or improvement from your side is welcome.

    regards

    Reiner

    1 user thanked author for this post.
    #14492

    Unfortunately, I can’t attach the both files. Here is the first, 10k, 2% risk and at least 1 contract

    #14495

    and here is the second attachment, 10k account, 2% risk and at least 5 possible contracts

    #14528

    Hey Reiner, Great work progressing an already great bit of code.

    Thought you might like to see these. Not sure how relevant data from 2009 is for you but thought it was worth while posting…

    Annoyingly, max runup/drawdown is not working for me sometimes at the moment.

    1 user thanked author for this post.
Viewing 15 posts - 46 through 60 (of 1,835 total)

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