Scalper Machine V1 Dax
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I would like to show you my first attempt to create a system.It is a Scalp system for Timeframe 1 hr Dax ,Take Profit 4 pips and Trailing Stop 12 pips. The System start in 8 30 pm Time Zone GMT+1 and stop 17 00, Spread is 1 point .It has become backtest from 2012 and the results the see above.
Any feedback and any suggestions are welcome!Enjoy it!//------------------------------------------------------------------------- // Main code : A Scalper Machine V1 dax //------------------------------------------------------------------------- //------------------------------------------------------------------------- // A SCALPER MACHINE V1 //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated REM All positions will be not open before this time defparam flatbefore = 080000 REM All positions will be closed after this time defparam flatafter = 165000 // MONEY MANAGMENT QTY=1 ONCE M=500 BANK=100 ONCE PQTYADJUST=0 QTYADJUST = ROUND(STRATEGYPROFIT /M) IF QTYADJUST > 0 THEN QTY=QTY+QTYADJUST IF QTYADJUST < PQTYADJUST THEN M=M+BANK PQTYADJUST=QTYADJUST ENDIF IF QTYADJUST > PQTYADJUST THEN PQTYADJUST=QTYADJUST ENDIF ELSE QTY=1 ENDIF // VARIABLE.. FOR EASY BACKTESTING //////// a=55 b=2 n=2 z=7 v=23 q=2 a1=12 b1=1 k=15 w=2 ts1=9 ema = Exponentialaverage[ts1](close) advance=abs(round(ema-ema[1])) ///////////////////////////////////////////////////////////////////////////////////////// // TIME AND DAY MANAGMENT // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // trading window ONCE startTime = 083000 ONCE endTime = 170000 // trade only in trading window 9-20 IF Time >= startTime AND Time <= endTime THEN // MAIN SYSTEM // // Conditions to enter long positions indicator1 = Average[n](close) indicator2 = Average[z](close) c1 = (indicator1 > indicator2) indicator3 = Stochastic[a,b](close) indicator4 = Average[v](Stochastic[a,b](close)) c2 = (indicator3 > indicator4) indicator5 = MACDline[12,26,9](close) indicator6 = ExponentialAverage[q](MACDline[12,26,9](close)) c3 = (indicator5 > indicator6) // Conditions to enter short positions indicator9 = Average[a1](close) indicator10 = Average[b1](close) c5 = (indicator9 > indicator10) indicator11 = Average[k](Stochastic[a,b](close)) indicator12 = Stochastic[a,b](close) c6 = (indicator11 > indicator12) indicator13 = ExponentialAverage[w](MACDline[12,26,9](close)) indicator14 = MACDline[12,26,9](close) c7 = (indicator13 > indicator14) // LONG if not longonmarket and c1 AND c2 AND c3 and Momentum[11](close)>0 and RSI[6](close)>65 and not daysForbiddenEntry then BuyPrice = ema+advance buy qty contract at BuyPrice limit endif // SHORT if not shortonmarket and c5 AND c6 AND c7 and Momentum[11](close)<0 and RSI[6](close)<35 and not daysForbiddenEntry then SellPrice = ema-advance sellshort qty contract at sellprice limit ENDIF set stop pTRAILING 12 set target Pprofit 4 endifI get this result with 10.3 tick by tick. Still look too good to be true.
Nicolas- Is this the same backtest problem that we have in the backtest in Rauls 5 min intraday thread?
Hello Traders!
I would like to forgive me for not so good English but is don’t my native language.
I want once again to thank you all for feedback to my system,and and especially the Alex ,the algorithm gave me the idea for my system.This new version is for 2HR ,1 point spread , trading hours 09:00-19:00 GMT+1,Initial capital is 200 $ ,Risk= 2,and Dax 1Mini.
Trailling Stop 65 and Take Profit 12.The results are from 2012 tick by tick,and he wants is the attention to DD in the Risk=2.
Enjoy that.
////////////SCALPING MACHINE V3.1//////////////////////////////////////////// defparam cumulateorders=false defparam preloadbars=1000 //defparam flatbefore = 080000 REM All positions will be closed after this time //defparam flatafter = 203000 ////////// MONEY MANAGMENT////////////////////////////////////////////////// equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize) Capital = 200 Risk = 1.7 StopLoss = round(margin*2) margin = rangepips*rangepercent rangepercent =0.1 REM NIGHT MAX maximo = dhigh(0) REM NIGHT MIN minimo = dlow(0) REM RANGE IN PIPS BETWEEN NIGHT MAX AND MIN rangepips = round(maximo-minimo) /////////////////VARIAMBLES///////////////////////////////////////////////// ts1=9 ema = Exponentialaverage[ts1](close) once uma=Highest[ts1](high) once umb=Lowest[ts1](low) Wave=39*pipsize a=11 b=13 n=13 z=4 v=12 q=26 a1=9 b1=9 k=1 ////////////////////TIME MANAGMENT////////////////////////////////////////// ONCE startTime = 090000 ONCE endTime = 190000 IF Time >= startTime AND Time <= endTime THEN //////////////////////////////////////////////////////////////////////// /////////CONDITIONS TO ENTER LONG&SHORT //////////////////////// ///////////////LONG///////////////////////////////////////////// indicator1 = Average[a](close) indicator2 = Average[b](close) c1 = (indicator1 > indicator2) indicator3 = Stochastic[n,z](close) indicator4 = Average[a](Stochastic[n,z](close)) c2 = (indicator3 > indicator4) indicator5 = MACDline[v,q,a1](close) indicator6 = ExponentialAverage[9](MACDline[v,q,a1](close)) c3 = (indicator5 > indicator6) ////////////SHORT////////////////////////////////////////////////// indicator9 = Average[b1](close) indicator10 = Average[k](close) c5 = (indicator9 > indicator10) indicator11 = Average[a](Stochastic[n,z](close)) indicator12 = Stochastic[n,z](close) c6 = (indicator11 > indicator12) indicator13 = ExponentialAverage[9](MACDline[v,q,a1](close)) indicator14 = MACDline[v,q,a1](close) c7 = (indicator13 > indicator14) /////////////////////// CONDITIONS//////////////////////////////// if High > ema and Low < ema then // Touching Ema8 tb = BarIndex ltp = ema uma = ema umb = ema endif if low>ema then // New bullish movement n = BarIndex - tb uma=Highest[n](high) umb=ema endif if high<ema then // New bearish movement m = BarIndex - tb umb=Lowest[m](low) uma=ema endif if (uma-ltp)>Wave and uma>ema then // buy condition myres=1 endif if (uma-ltp)<=wave then myres=0 endif if (ltp-umb)>wave and umb<ema then // short condition mysub=-1 endif if (ltp-umb)<=wave then mysub=0 endif advance=abs(round(ema-ema[1])) //mylot=2 ///////////MAIN/////////////////////////////////////////////////////// if not longonmarket and myres=1 and c1 and c2 and c3 and Momentum[11](close)>0 then BuyPrice = ema+advance buy positionsize contract at BuyPrice limit endif if not shortonmarket and mysub=-1 and c5 and c6 and c7 and Momentum[11](close)<0 then SellPrice = ema-advance sellshort positionsize contract at sellprice limit endif endif ///////////MONEY MANAGMENT////////////////////////////////////////////////// //set stop ploss 76 set stop pTRAILING 65 set target pprofit 12……….Update…..everything is OK after for backtesting , will have to change this variable…….a=7
a=7 b=13 n=13 z=4 v=12 q=26 a1=9 b1=9 k=1
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/04/2017 |
| Status: | Active |
| Attachments: | 11 files |
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