the system becomes more and more balanced and reliable. big work. thank you
I try to improve Pathfinder for instruments with changing trends and big moves on both sides. Hang Seng index is such an instrument that is perfect suitable for testing. I’m a little bit confused about the backtest result > 4.000% profit in 4 years. I never traded HS and therefore the question to the HS pros: Is that realistic?
// Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management
// Version 5 Beta 3
// Instrument: Hang Seng mini 4H, 2:15-16:45 CET, 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 = 21500
ONCE endTime = 164500
// define instrument signalline with help of multiple smoothed averages
ONCE periodFirstMA = 5
ONCE periodSecondMA = 10
ONCE periodThirdMA = 8
// define filter parameter
ONCE periodLongMA = 380
ONCE periodShortMA = 30
// define position and money management parameter
ONCE positionSize = 1
Capital = 10000
Risk = 5 // in %
equity = Capital + StrategyProfit
maxRisk = round(equity * Risk / 100)
ONCE stopLossLong = 3.25 // in %
ONCE stopLossShort = 2.75 // in %
ONCE takeProfitLong = 2 // in %
ONCE takeProfitShort = 2.25 // in %
maxPositionSizeLong = MAX(5, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(5, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
ONCE trailingStartLong = 1.75 // in %
ONCE trailingStartShort = 1 // in %
ONCE trailingStepLong = 0.2 // in %
ONCE trailingStepShort = 0.2 // in %
ONCE maxCandlesLongWithProfit = 20 // take long profit latest after 20 candles
ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles
ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles 30
ONCE maxCandlesShortWithoutProfit = 6 // limit short loss latest after 6 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 (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)
f4 = signalline < 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
s4 = signalline CROSSES UNDER dailyHigh
s5 = 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 with order cumulation
IF ((s1 AND f3) OR (s5 AND f1) OR (f4 AND (s4 AND f2)) ) 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
I think the hang seng index is for us Europeans to trade or difficult to follow. It would be more useful to examine in addition to the FTSE100 and DAX Wall street and then begin to see better OIL, GOLD and SILVER. As always good job Reiner. thank you.
Miguel
Ok, it’s clear now. Hang Seng backtest results are in HK$ and this mean that initial capital has to converted to HK$ as well (multiplied by 10). The performance is around 400% and not 4.000%. Sorry for the confusion.
@miguel: as mentioned above the topic isn’t to develop a fancy Hang Seng backtest, the aim is to improve the results under “stormy” conditions. Hang Seng had a wild ride over the last 3 -4 years and is perfect to hardening Pathfinders behavior esspecially in tough downtrends.
Also works on 200k units. Good test.
It’s actually a good one to run on demo to see how it goes. The spread varies from 6-20 points at various times of the day for UK spread bet. Same for Europeans?
Yes, correct. Though adjusted for CEST, so 2.15-5.00 and so on.
Just want to say thanks to Reiner and you all for this great work on a very interesting code. Looking forward to coming progress:)
I have seen that some guys are interested to test Pathfinder V5 with Hang Seng in demo mode.
Here is an improved backtest version. Spread of 10 points is now a more realistic value and the drawdown looks much better now. Nevertheless drawdown is significant but the return is also exceptionally good . I recommend 100.000 HKD as capital. Tests did show that it’s important for the result to let it run until 1600 (New York’s open).
// 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 5 Beta 3
// Instrument: Hang Seng mini 4H, 2:15-16:00 CET, 10 points spread, account size 100.000 HKD
// ProOrder code parameter
DEFPARAM CUMULATEORDERS = true // cumulate orders if not turned off
DEFPARAM PRELOADBARS = 10000
// define intraday trading window
ONCE startTime = 21500
ONCE endTime = 160000
// define instrument signalline with help of multiple smoothed averages
ONCE periodFirstMA = 5
ONCE periodSecondMA = 10
ONCE periodThirdMA = 8
// define filter parameter
ONCE periodLongMA = 380
ONCE periodShortMA = 30
// define position and money management parameter
ONCE positionSize = 1
Capital = 10000
Risk = 5 // in %
equity = Capital + StrategyProfit
maxRisk = round(equity * Risk / 100)
ONCE stopLossLong = 3.25 // in %
ONCE stopLossShort = 2 // in %
ONCE takeProfitLong = 2.25 // in %
ONCE takeProfitShort = 2.25 // in %
maxPositionSizeLong = MAX(6, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(6, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
ONCE trailingStartLong = 1.75 // in %
ONCE trailingStartShort = 1 // in %
ONCE trailingStepLong = 0.2 // in %
ONCE trailingStepShort = 0.2 // in %
ONCE maxCandlesLongWithProfit = 20 // take long profit latest after 20 candles
ONCE maxCandlesShortWithProfit = 13 // take short profit latest after 13 candles
ONCE maxCandlesLongWithoutProfit = 25 // limit long loss latest after 25 candles
ONCE maxCandlesShortWithoutProfit = 6 // limit short loss latest after 6 candles
// define saisonal position multiplier >0 - long / <0 - short / 0 no trade
ONCE January = 1
ONCE February = 1
ONCE March = 1
ONCE April = 3
ONCE May = 1
ONCE June = 1
ONCE July = 3
ONCE August = -1
ONCE September = -2
ONCE October = 1
ONCE November = 3
ONCE December = 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 <> 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)
f4 = signalline < 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
s4 = signalline CROSSES UNDER dailyHigh
s5 = 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 with order cumulation
IF ((s1 AND f3) OR (s5 AND f1) OR (f4 AND (s4 AND f2)) ) 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
wp01Participant
Master
Many thanks for the latest code Reiner.
With the same startingdate and HKD100K in the backtest + 10points spread my report shows a different outcome. Less profit and more trades.
Regards,
hey reiner,
ich würde gerne dabei helfen pathfinder für andere instrumente anzupassen, aber es gibt so viele variablen die man anpassen kann, dass ich gar nicht weiß wo ich anfangen soll/kann/muss.
bei dir scheint das ja immer recht gut zu funktionieren 😉 hast du mir vllt einen tipp in welcher reihenfolge du dabei vorgehst?
danke
flo
Here is a first Pathfinder version for Gold mini. It would be great if somebody with longer history could verify the backtest result. Return (300% in 4 years) and drawdown (<20%) are OK but number of profitable trades is best case 66%. Pathfinder loses money as probable many systems when long term trend changes (7 loosers in a row Feb-March 16). Please be aware that the minimum contract size for Gold mini is 10 contracts.
Gold won’t be my favorit for Pathfinder.
// 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 5 Beta 3
// Instrument: Gold mini 4H, 2-22 CET, 0.3 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 = 20000
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 = 270
ONCE periodShortMA = 40
// define position and money management parameter
ONCE positionSize = 10 // 10 contracts are the minimum size for Gold mini
Capital = 10000
Risk = 5 // in %
equity = Capital + StrategyProfit
maxRisk = round(equity * Risk / 100)
ONCE stopLossLong = 3.25 // in %
ONCE stopLossShort = 2.75 // in %
ONCE takeProfitLong = 2 // in %
ONCE takeProfitShort = 4 // in %
maxPositionSizeLong = MAX(40, abs(round(maxRisk / (close * stopLossLong / 100) / PointValue) * pipsize))
maxPositionSizeShort = MAX(40, abs(round(maxRisk / (close * stopLossShort / 100) / PointValue) * pipsize))
ONCE trailingStartLong = 1 // in %
ONCE trailingStartShort = 2 // in %
ONCE trailingStepLong = 0.7 // in %
ONCE trailingStepShort = 0.7 // in %
ONCE maxCandlesLongWithProfit = 20 // take long profit latest after 20 candles
ONCE maxCandlesShortWithProfit = 20 // take short profit latest after 13 candles
ONCE maxCandlesLongWithoutProfit = 30 // limit long loss latest after 30 candles 30
ONCE maxCandlesShortWithoutProfit = 14 // limit short loss latest after 6 candles
// define saisonal position multiplier >0 - long / <0 - short / 0 no trade
ONCE January = 2
ONCE February = 2
ONCE March = -1
ONCE April = 1
ONCE May = 1
ONCE June = 2
ONCE July = 3
ONCE August = 2
ONCE September = 3
ONCE October = -2
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)
f4 = signalline < 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
s4 = signalline CROSSES UNDER dailyHigh
s5 = 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 with order cumulation
IF ((s1 AND f3) OR (s5 AND f1) OR (f4 AND (s4 AND f2)) ) 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
Hi Reiner,
Here is the backtest for your code for gold since 2006. It seems reliable because I checked that all data, even night data before 2010, were present. So unfortunately the drawdown is much more imortant as you see.
Sorry the attachment does not appear, I don’t know why.
