ScalpMaster 10S

• 08/11/2020 at 2:47 PM #141404
  GraHal

  samsampop wrote:

  Will keep you all posted.

  Feel free to share as far as you have got … others may think of improvements you may not think of … then we all benefit? 🙂

  

  GraHal

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  08/11/2020 at 3:04 PM #141406
  deletedaccount051022

  //------------------------------------------------------------------------- // Codice principale : 1secondo //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : CANDLE //------------------------------------------------------------------------- Defparam cumulateorders = false n = 10 //Conditions to enter long positions TIMEFRAME(24 minutes,updateonclose) Period= 22 //optimize inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) tc1 = HULLa > HULLa[1] //tc2 = HULLa < HULLa[1] indicator101 = SuperTrend[4,4] //optimize tc3 = (close > indicator101) //tc4 = (close < indicator101) ma = average[40,4](close) //optimize tc11 = ma > ma[1] //tc12 = ma < ma[1] timeframe(10 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open timeframe(2 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 AND tc1 AND tc3 AND tc11 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 = 10   //Conditions to enter long positions TIMEFRAME(24 minutes,updateonclose) Period= 22 //optimize inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) tc1 = HULLa > HULLa[1] //tc2 = HULLa < HULLa[1]   indicator101 = SuperTrend[4,4] //optimize tc3 = (close > indicator101) //tc4 = (close < indicator101)   ma = average[40,4](close) //optimize tc11 = ma > ma[1] //tc12 = ma < ma[1] timeframe(10 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open timeframe(2 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 AND tc1 AND tc3 AND tc11 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 //***

  

  deletedaccount051022

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  08/11/2020 at 3:05 PM #141407
  deletedaccount051022

  This code yields the following results

  

  deletedaccount051022

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  08/11/2020 at 3:07 PM #141409
  deletedaccount051022

  This is a combination of ideas posted by various helpful people (nonetheless, GraHal, Nicolas to name but a few)

  

  deletedaccount051022

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  08/11/2020 at 3:26 PM #141413
  Francesco

  That looks highly optimized to me, anyway i think it’s a MAKSIDE code idea.

  

  Francesco

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  08/11/2020 at 3:34 PM #141415
  deletedaccount051022

  You tell us – it’s your code just with a higher time frame filter added…

  

  deletedaccount051022

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  08/11/2020 at 4:17 PM #141418
  Francesco

  As i told you it’s not my code, take a look here: https://www.prorealcode.com/topic/candlestick-scalper-1s-discussion/

  

  Francesco

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  08/11/2020 at 6:18 PM #141426
  Roger

  Attached is the 200 k backtest

  

  Roger

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  08/11/2020 at 8:19 PM #141430
  GraHal

  Out of interest I changed TF’s to M25, M10 and M5 and ran it on DJI on M1 TF with spread = 4.

  Attached are results over 100K bars.

  I have reservations about the MAE … on nearly every winning trade the MAE is Losing X multiples times the eventual  Gain.

  The MFE spends a lot of time way in excess of the eventual gain.

  Maybe above means there is plenty of scope for improvement?

  As you can see from the equity curve (gaps in positions)  … the strategy (Long only) does stay out of the market during extended down periods … so that is good!

  

  GraHal

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  08/11/2020 at 8:54 PM #141433
  GraHal

  To save any confusion …

  My results on DJI are with position Size = 1.

  samsampop results on DAX are with position size = 10.

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  GraHal

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  08/12/2020 at 7:03 AM #141438
  deletedaccount051022

  Apologies Francesco, thanks for clarifying

  

  deletedaccount051022

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  08/12/2020 at 8:15 AM #141446
  deletedaccount051022

  Morning – I have added a short entry criteria as well and re-ran the back test on 100k, to include the down turn in Feb-Mar of this year.

  

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  08/12/2020 at 8:15 AM #141447
  deletedaccount051022

  //------------------------------------------------------------------------- // Codice principale : 1secondo //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Code principal : CANDLE //------------------------------------------------------------------------- Defparam cumulateorders = false n =5 timeframe(10 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open sc1 = open < open[1] and close < close[1] and close < open timeframe(2 minute,updateonclose) c11m = open > open[1] and close > close[1] c21m = abs(close-open) >= 17 c31m = abs(close[1]-open[1]) c41m = c31m > c21m sc2 = open < open[1] and close < close[1] sc3 = abs(close-open) <= 17 //see below sc4 = abs(close[1]-open[1]) //these may need to be same as bove, and sc5 stays < sc5 = sc3 < sc4 timeframe(default) c1def = open > open[1] and close > close[1] c2def = abs(close-open) >= 1 sc6 = open < open[1] and close < close[1] sc7 = abs(open-close) <= 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 //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 IF not shortonmarket and sc1 and sc2 and sc3 and sc4 and sc5 and sc6 and sc7 then SELLSHORT N contracts at market set stop ploss 300 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 //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 //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 =5 timeframe(10 minute,updateonclose) c160m = open > open[1] and close > close[1] and close > open sc1 =  open < open[1] and close < close[1] and close < open timeframe(2 minute,updateonclose) c11m = open > open[1] and close > close[1] c21m = abs(close-open) >= 17 c31m = abs(close[1]-open[1]) c41m = c31m > c21m   sc2 = open < open[1] and close < close[1] sc3 = abs(close-open) <= 17  //see below sc4 = abs(close[1]-open[1])  //these may need to be same as bove, and sc5 stays < sc5 = sc3 < sc4 timeframe(default) c1def = open > open[1] and close > close[1] c2def = abs(close-open) >= 1 sc6 = open < open[1] and close < close[1] sc7 = abs(open-close) <= 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 //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   IF not shortonmarket and sc1 and sc2 and sc3 and sc4 and sc5 and sc6 and sc7 then SELLSHORT N contracts at market set stop ploss 300 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   //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 //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //***

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  GraHal

  

  deletedaccount051022

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  08/12/2020 at 8:18 AM #141450
  deletedaccount051022

  I’m running this on the DAX on a 2 min time frame.  Initial Capital of 5,000 and trading 5 per point.  I am using a Spread of 2, but may need to increase this as it trades around the clock.

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  boonet

  

  deletedaccount051022

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  08/12/2020 at 8:29 AM #141456
  deletedaccount051022

  I would still add a VDAX filter for this strategy, so that it didn’t trade if volatility on the DAX > than say 40.  Anyone know how this can be achieved?

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  boonet

  

  deletedaccount051022

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