Pathfinder (v1?) DAX 1 Hour

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  • #29763 quote
    Eric
    Participant
    Master

    I dont know if this is the first version (DAX 4 Hours)

    but it seems to work on 1 hour

    and maybe with the new walk forward test it can be even better? (200K history)

    its the original version i have only change the min lotsize (positionsize) from 10 to 1 contract

     

    // Pathfinder DAX 4H, 8-22, 2 points spread
    // DAX breakout system triggered by daily, weekly and monthly high/low crossings
    
    
    // code-parameter
    DEFPARAM CUMULATEORDERS = true
    
    
    // trading window
    ONCE StartTime = 80000
    ONCE EndTime = 220000
    
    
    // money management
    ONCE PositionSize = 1
    
    
    // trading parameter
    ONCE sl = 3
    ONCE tp = 1.5
    
    
    // calculate weekly high/low
    If DayOfWeek < DayOfWeek[1] then
    weeklyHigh = Highest[BarIndex - lastWeekBarIndex](DHigh(1))
    lastWeekBarIndex = BarIndex
    ENDIF
    
    
    // calculate monthly high/low
    If Month <> Month[1] then
    monthlyHigh = Highest[BarIndex - lastMonthBarIndex](DHigh(1))
    monthlyLow = Lowest[BarIndex - lastMonthBarIndex](DLow(1))
    lastMonthBarIndex = BarIndex
    ENDIF
    
    
    // calculate signalline with multiple smoothed averages
    firstMA = WilderAverage[5](close)
    secondMA = TimeSeriesAverage[10](firstMA)
    signalline = TimeSeriesAverage[5](secondMA)
    
    
    // position management during trading window
    IF Time >= StartTime AND Time <= EndTime THEN
    
    
    // filter criteria because not every break is profitable
    c1 = close > Average[200](close)
    c2 = close < Average[200](close)
    c3 = close > Average[50](close)
    c4 = close < Average[50](close)
    
    
    // long position conditions
    l1 = signalline CROSSES OVER monthlyHigh
    l2 = signalline CROSSES OVER weeklyHigh
    l3 = signalline CROSSES OVER DHigh(1)
    l4 = signalline CROSSES OVER monthlyLow
    
    
    // long entry
    IF ( l1 OR l4 OR l2 OR (l3 AND c2) ) THEN  // cumulate orders for long trades could be a performance booster
    BUY PositionSize CONTRACT AT MARKET
    ENDIF
    
    
    // short position conditions
    s1 = signalline CROSSES UNDER monthlyHigh
    s2 = signalline CROSSES UNDER monthlyLow
    s3 = signalline CROSSES UNDER Dlow(1)
    
    
    // short entry
    IF NOT SHORTONMARKET AND ( (s1 AND c3) OR (s2 AND c4)  OR (s3 AND c1) ) THEN // no cumulation for short trades
    SELLSHORT PositionSize CONTRACT AT MARKET
    ENDIF
    
    
    // stop and profit
    SET STOP %LOSS sl
    SET TARGET %PROFIT tp
    
    
    ENDIF
    #29793 quote
    noisette
    Participant
    Veteran

    I also want to adapt pathfinfed system with shorter timeframe. At the end i’d like to code an intraday system or at least close all trade friday evenining. But now, results with original system is better.

    #30386 quote
    Eric
    Participant
    Master

    Small drawdown on demo…

    another bug? or what?

    Dax-Pathf1.png Dax-Pathf1.png
    #30390 quote
    Eric
    Participant
    Master

    another thing

    on demo it was 2 trades open but only one closed with profit at 12 250 (one still open)

    on backtest both closed at 12 248

    #30396 quote
    Henrik
    Participant
    Veteran

    My live account had a simular dd. -455000 on Hangseng. In reality it was +10´……..

    #30781 quote
    Eric
    Participant
    Master

    Second  long closed on demo at 12 349 and backtest flat since 12 248

    Profit since 24/3

    Demo + 306 E

    Backtest + 209 E

    #31750 quote
    Eric
    Participant
    Master

    Impressive

    PATHF-1104.png PATHF-1104.png
    #32312 quote
    Eric
    Participant
    Master

    long 12 091

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Pathfinder (v1?) DAX 1 Hour


ProOrder: Automated Strategies & Backtesting

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Eric @eric Participant
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This topic contains 7 replies,
has 3 voices, and was last updated by Eric
8 years, 10 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 03/24/2017
Status: Active
Attachments: 2 files
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