ScalpMaster 10S

• 06/21/2020 at 11:07 PM #136714
  boonet

  Can someone please run this on 200k and share results?
  Made this a 30s scalper instead of 10s.

  100k results look fine, but seemed a bit overfitted. Would like to see if 200k results comply.

  DOW-30S

  //------------------------------------------------------------------------- // Main code : ScalpMaster v3 - //------------------------------------------------------------------------- defparam cumulateorders= false defparam flatbefore= 070000 defparam flatafter= 220000 once longtrading=1 once shorttrading=1 TIMEFRAME(5 minutes, updateonclose) // Settings ema1= exponentialaverage[9](close) ema2= exponentialaverage[2](close) bullish = close>ema1 and close>ema2 and ema1>ema2 ema1= exponentialaverage[9](close) ema2= exponentialaverage[2](close) bearish= close<ema1 and close<ema2 and ema1<ema2 TIMEFRAME(1 minutes, updateonclose) // Settings mac = MACDline[12,26,9](close) bullish1 = mac > 0 bearish1 = mac < 0 TIMEFRAME(30 seconds) // Indicator myPivotSupportResistanceZones, myPivotSupportResistanceZones2 = CALL "Pivot Support/Resistance Zones" // if longtrading then // Long if close crosses under myPivotSupportResistanceZones or close crosses over myPivotSupportResistanceZones2 then if bullish and bullish1 then buy 1 contract at market endif endif endif if shorttrading then // Short if close crosses under myPivotSupportResistanceZones or close crosses over myPivotSupportResistanceZones2 then if bearish and bearish1 then sellshort 1 contract at market endif endif endif // Stop Loss SET STOP %LOSS 1.5 trailingPercent = 0.40 stepPercent = 0.014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif //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)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************ //------------------------------------------------------------------------- // Function : Pivot Support/Resistance Zones //------------------------------------------------------------------------- DEFPARAM CalculateOnLastBars = 1000 PivotBAR = 3 //3 bars AFTER pivot LookBack = 4 //4 bars BEFORE pivot BarLookBack = PivotBAR + 1 IF low[PivotBAR] < lowest[LookBack](low)[BarLookBack] THEN IF low[PivotBAR] = lowest[BarLookBack](low) THEN MySupport = BarIndex - PivotBAR SupportPrice = low[PivotBAR] ENDIF ENDIF IF high[PivotBAR] > highest[LookBack](high)[BarLookBack] THEN IF high[PivotBAR] = highest[BarLookBack](high) THEN MyResistance = BarIndex - PivotBAR ResistancePrice = high[PivotBAR]//high[BarIndex - MyResistance] ENDIF ENDIF DRAWSEGMENT(MyResistance,ResistancePrice,BarIndex,ResistancePrice) COLOURED(255,0,0,255) DRAWSEGMENT(MySupport,SupportPrice,BarIndex,SupportPrice) COLOURED(0,128,0,255) RETURN SupportPrice, ResistancePrice

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  //------------------------------------------------------------------------- // Main code : ScalpMaster v3 - //------------------------------------------------------------------------- defparam cumulateorders= false defparam flatbefore= 070000 defparam flatafter= 220000   once longtrading=1 once shorttrading=1   TIMEFRAME(5 minutes, updateonclose) // Settings ema1= exponentialaverage[9](close) ema2= exponentialaverage[2](close) bullish = close>ema1 and close>ema2 and ema1>ema2   ema1= exponentialaverage[9](close) ema2= exponentialaverage[2](close) bearish= close<ema1 and close<ema2 and ema1<ema2     TIMEFRAME(1 minutes, updateonclose) // Settings mac = MACDline[12,26,9](close)   bullish1 = mac > 0 bearish1 = mac < 0       TIMEFRAME(30 seconds)   // Indicator myPivotSupportResistanceZones, myPivotSupportResistanceZones2 = CALL "Pivot Support/Resistance Zones" // if longtrading then // Long if close crosses under myPivotSupportResistanceZones or close crosses over myPivotSupportResistanceZones2 then   if bullish and bullish1 then buy 1 contract at market endif endif endif   if shorttrading then // Short if close crosses under myPivotSupportResistanceZones or close crosses over myPivotSupportResistanceZones2 then if bearish and bearish1 then sellshort 1 contract at market endif endif endif   // Stop Loss SET STOP %LOSS 1.5     trailingPercent = 0.40 stepPercent = 0.014 if onmarket then trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit trailingstep = tradeprice(1)*(stepPercent/100) //% step to move the stoploss endif   //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)>=trailingstart THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF   //************************************************************************     //------------------------------------------------------------------------- // Function : Pivot Support/Resistance Zones //------------------------------------------------------------------------- DEFPARAM CalculateOnLastBars = 1000 PivotBAR     =  3                      //3  bars AFTER  pivot LookBack     =  4                    //4  bars BEFORE pivot   BarLookBack  = PivotBAR + 1 IF low[PivotBAR] < lowest[LookBack](low)[BarLookBack] THEN IF low[PivotBAR] = lowest[BarLookBack](low) THEN MySupport     = BarIndex - PivotBAR SupportPrice  = low[PivotBAR] ENDIF ENDIF IF high[PivotBAR] > highest[LookBack](high)[BarLookBack] THEN IF high[PivotBAR]  = highest[BarLookBack](high) THEN MyResistance    = BarIndex - PivotBAR ResistancePrice = high[PivotBAR]//high[BarIndex - MyResistance] ENDIF ENDIF   DRAWSEGMENT(MyResistance,ResistancePrice,BarIndex,ResistancePrice) COLOURED(255,0,0,255) DRAWSEGMENT(MySupport,SupportPrice,BarIndex,SupportPrice) COLOURED(0,128,0,255)   RETURN SupportPrice, ResistancePrice

  Any improvements are welcome.

  

  boonet

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  06/22/2020 at 3:21 PM #136786
  Francesco

  Having a couple of days of backtest in addition on those kind of systems is useless; put it on demo forward for some weeks and you’ll have your answers 🙂

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  boonet

  

  Francesco

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  06/22/2020 at 6:05 PM #136813
  boonet

   

  Still I think its worth knowing the results of 200k because it a good WF test and prove its worth of putting it demo. 🙂

  

  boonet

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  07/16/2020 at 4:00 PM #139434
  alex20258

  hello everyone, I tested this strategy for a week on wall street cash ($ 2)(1sec) and I am in profit of around $ 700

  here the version of the code that I tested

  1sec

  //------------------------------------------------------------------------- // Codice principale : 1secondo //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : CANDLE //------------------------------------------------------------------------- Defparam cumulateorders = false n =1 timeframe(15 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open timeframe(1 minute,updateonclose) c11m = open > open[1] and close > close[1] c21m = abs(close-open) >= 17 c31m = abs(close[1]-open[1]) c41m = c31m > c21m timeframe(default) c1def = open > open[1] and close > close[1] c2def = abs(close-open) >= 1 IF not longonmarket and c1def and c11m and c21m and c41m and c2def and c1def and c160m then BUY N contracts at market set stop ploss 300 ENDIF //if longonmarket and close crosses under st then //sell at market //endif //************************************************************************ //trailing stop function trailingstart = 19 //trailing will start @trailinstart points profit trailingstep = 7 //trailing step to move the "stoploss" //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //***

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  //------------------------------------------------------------------------- // Codice principale : 1secondo //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : CANDLE //------------------------------------------------------------------------- Defparam cumulateorders = false n =1 timeframe(15 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open timeframe(1 minute,updateonclose) c11m = open > open[1] and close > close[1] c21m = abs(close-open) >= 17 c31m = abs(close[1]-open[1]) c41m = c31m > c21m timeframe(default) c1def = open > open[1] and close > close[1] c2def = abs(close-open) >= 1 IF not longonmarket and c1def and c11m and c21m and c41m and c2def and c1def and c160m then BUY N contracts at market set stop ploss 300 ENDIF //if longonmarket and close crosses under st then //sell at market //endif //************************************************************************ //trailing stop function trailingstart = 19 //trailing will start @trailinstart points profit trailingstep = 7 //trailing step to move the "stoploss" //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //***

  thanks

  Alex

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  GraHal

  

  alex20258

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  07/19/2020 at 6:40 PM #139627
  Paul

  I applied that strategy on the futures mini dow 1s

  since it’s possible to test also before a preset date, you can accumulate results.

  no spread, but used a fixed commision p/trade.

  tested 1s from 18 march to 17 july

   

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  GraHal

  

  Paul

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  07/19/2020 at 6:52 PM #139629
  Paul

  there is potential, also on futures

  if switched to 5s, 0,5% stoploss & more optimised it looks like this, however if again applied a preset date to add to results, the months before these results are bad. (from jan)

  

  Paul

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  07/19/2020 at 7:48 PM #139634
  Francesco

  Sorry Paul but which strategy are you referring to? This topic became a multi-strategy one 🙂

  Also, how did u make that “cumulated results” test? It’s a v11 feature?

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  GraHal

  

  Francesco

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  07/19/2020 at 8:23 PM #139637
  Paul

  It’s in reply to the strategy alex posted above. Sorry, didn’t read the topic back. Actually it’s a strategy of makside isn’t it?

  Anyway, it’ wasn’t really about the strategy, more about the ability to have more trades on a short timeframe with futures.

  it’s indeed a v11 feature. I had contact with prt with the problem with limited data and they suggested to have a look at futures with v11 & interactive broker. They explained not only is it possible to have much more units, but you have that amount from any moment in time more or less which makes it better for scalping & backtesting.

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  Francesco, GraHal

  

  Paul

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  07/20/2020 at 11:55 AM #139675
  javi cano

  Hi, I’m new to robots, sorry if my question is stupid. Reviewing your backtest is sometimes tested with € 2,000 other times with € 10,000. This why is it? What does it affect when activating it in real? if i think about activating it in real, how many contracts do i have to write for activation?

  

  javi cano

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  07/20/2020 at 12:03 PM #139676
  GraHal

  Hi Javi

  Try everything out on your Demo Platform (for months even!) before ever going Live.

  You will get answers by trial of various values.

  

  GraHal

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  08/11/2020 at 1:13 PM #141386
  deletedaccount051022

  Thank you Francesco

  I tweaked the strategy to run on a 2 min time frame, taking signals from 10mins in row 11, and the key item of interest is the very high % of winning trades.

  I’m testing on a spread betting account, so using an average spread of 2.  I’m working to have a filter from a higher time frame.  Will keep you all posted.

  Thanks,

  S

  

  deletedaccount051022

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  08/11/2020 at 2:25 PM #141396
  Francesco

  Why did you backtested only since march? Could be interesting to look how it works on 200k units.

  Also, the high %winning trades it’s due to the huge stop loss i guess.

  

  Francesco

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  08/11/2020 at 2:43 PM #141401
  GraHal

  Maybe only since 23 March 20 as the Market took a big change in price action?

  I am adopting a similar logic myself, bonus is … loads quicker on backtest! 🙂

  Providing System does well in at least a 1 week to 1 month OOS period then it seems to be working … optimise again after the OOS period etc.

  I know you purists won’t agree, but I like to be a bit rogue! 🙂

  

  GraHal

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  08/11/2020 at 2:44 PM #141402
  Francesco

  GraHal wrote:

  Maybe only since 23 March 20 as the Market took a big change in price action?

  I am adopting a similar logic myself, bonus is … loads quicker on backtest! 🙂

  Providing System does well in at least a 1 week to 1 month OOS period then it seems to be working … optimise again after the OOS period etc.

  I know you purists won’t agree, but I like to be a bit rogue! 🙂

  But if the market changes again while you have into live account your “quicker backtest system” you may regret it 🙂

  

  Francesco

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  08/11/2020 at 2:45 PM #141403
  deletedaccount051022

  The version I took from above is long only.  A simple filter would stop trading during the market downturn.  I understand the SL, and with tighter money management/small risk capital, giving positions to breathe can pay off in the longer run.  Nice little strategy that I look forward to testing further.

  

  deletedaccount051022

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