Pathfinder Trading System

• 10/10/2016 at 7:33 AM #14538
  miguel33

  the system becomes more and more balanced and reliable. big work. thank you

  

  miguel33

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  10/12/2016 at 5:33 PM #14787
  Reiner

  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

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  // 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

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  wp01

  

  Reiner

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  10/12/2016 at 7:56 PM #14793
  miguel33

  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

  

  miguel33

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  10/12/2016 at 9:19 PM #14794
  Reiner

  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.

  

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  10/12/2016 at 9:49 PM #14795
  Cosmic1

  Also works on 200k units. Good test.

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  Reiner

  

  Cosmic1

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  10/13/2016 at 1:16 AM #14801
  dajvop

  Great work Reiner!

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  Reiner

  

  dajvop

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  10/13/2016 at 7:38 AM #14803
  Cosmic1

  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?

   

   

  

  Cosmic1

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  10/13/2016 at 7:43 AM #14806
  dajvop

  Yes, correct. Though adjusted for CEST, so 2.15-5.00 and so on.

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  Cosmic1

  

  dajvop

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  10/13/2016 at 8:50 AM #14809
  Brage

  Just want to say thanks to Reiner and you all for this great work on a very interesting code. Looking forward to coming progress:)

  

  Brage

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  10/13/2016 at 12:15 PM #14832
  Reiner

  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

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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 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

   

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  Reiner

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  10/13/2016 at 9:28 PM #14877
  wp01

  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,

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  10/14/2016 at 10:05 AM #14891
  flowsen123

  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

  

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  10/14/2016 at 2:25 PM #14906
  Reiner

  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

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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 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

   

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  Reiner

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  10/14/2016 at 4:08 PM #14909
  Aloysius

  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.

  

  Aloysius

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  10/14/2016 at 4:10 PM #14910
  Aloysius

  Sorry the attachment does not appear, I don’t know why.

  

  Aloysius

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