Price Zone Breakout DAX 1M

• 01/01/2018 at 9:40 PM #57026
  GraHal

  Thank you to andy6t6 for use of ‘Time Period Hi / Lo’ idea.

  Thank you to Nicolas for use of  ‘MFE Trailing Stop’.

  I have ‘squeezed more out of it’, but I de-optimised somewhat.

  If you can improve, add to or change for the better then let us all know please?

  Cheers
  GraHal

  ZoneBO HiLo DAX 1M

  //Time Standard UCT + 0 (GMT) DEFPARAM CUMULATEORDERS = False DEFPARAM PRELOADBARS = 2000 //TIME PERIOD Hi / Lo begintime=070000 endtime=083500 If barindex=tradeindex or time=begintime then trading=0 endif If time=endtime then trading=1 endif If time=begintime or(time > begintime and time[1]<begintime) then myhigh=high[1] mylow=low[1] elsif time > begintime and time <= endtime then myhigh=max(high,myhigh) mylow=min(low,mylow) endif //GO LONG If not longonmarket and trading and Close > ExponentialAverage[1250](close) then buy 1 share at myhigh - 2*pointsize stop endif //EXIT LONG If longonmarket then SET STOP PLOSS 70 Trailingstop = 40 endif //GO SHORT If not shortonmarket and trading and Close < ExponentialAverage[1250](close) then sellshort 1 share at myLow - 2*pointsize stop endif If shortonmarket then SET STOP PLOSS 30 Trailingstop = 50 endif //MFE TRAILING STOP FUNCTION //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case - LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-(trailingstop*pointsize)*0.2 //set the exit price at the MFE - trailing stop price level endif Endif //case - SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+(trailingstop*pointsize)*0.2 //set the exit price at the MFE + trailing stop price level endif Endif //Exit at Trailing Stop Max / Min Price Levels if onmarket and priceexit>0 then SELL AT priceexit STOP EXITSHORT AT priceexit STOP endif

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  //Time Standard UCT + 0 (GMT) DEFPARAM CUMULATEORDERS = False DEFPARAM PRELOADBARS = 2000   //TIME PERIOD Hi / Lo begintime=070000 endtime=083500   If barindex=tradeindex or time=begintime then trading=0 endif   If time=endtime then trading=1 endif   If time=begintime or(time > begintime and time[1]<begintime) then myhigh=high[1] mylow=low[1] elsif time > begintime and time <= endtime then myhigh=max(high,myhigh) mylow=min(low,mylow) endif   //GO LONG If not longonmarket and trading and Close > ExponentialAverage[1250](close) then buy 1 share at myhigh - 2*pointsize stop endif   //EXIT LONG If longonmarket then SET STOP PLOSS 70 Trailingstop = 40 endif   //GO SHORT If not shortonmarket and trading and Close < ExponentialAverage[1250](close) then sellshort 1 share at myLow - 2*pointsize stop endif   If shortonmarket then SET STOP PLOSS 30 Trailingstop = 50 endif   //MFE TRAILING STOP FUNCTION   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   //case - LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-(trailingstop*pointsize)*0.2 //set the exit price at the MFE - trailing stop price level endif Endif //case - SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+(trailingstop*pointsize)*0.2 //set the exit price at the MFE + trailing stop price level endif Endif    //Exit at Trailing Stop Max / Min Price Levels if onmarket and priceexit>0 then SELL AT priceexit STOP EXITSHORT AT priceexit STOP endif

   

   

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  manel

  

  GraHal

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  01/02/2018 at 7:56 PM #57071
  Vonasi

  Hello GraHal.

  My first instant thoughts are that with such differences in the stoploss and trailing stop variables between long and short positions that it might be rather over fitted. Walk forward with a dummy variable seems to confirm this (for what walk forward testing is worth on such short periods and short time frames). I guess only true real life forward testing will tell us whether it is or not.

  

  Vonasi

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