Sharing a system
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Hi guys,
I just finished reviewing this system, and everything looks good to me, so I wanted to share with you and know your opinion.
It is being difficult to me to find systems due Im dedication to each system 2000 USD, with risk per trade around 1.5-2%.
Apparently this one comply with my requirements, but I suspect that due to the high number of paramethers it may be overfitted. More than WF test, is there any other robustness test we can do with PRT?
// Estrategia 3.22.100 // DXSXXXX // 1H DEFPARAM CUMULATEORDERS = false // Parámetros ATRFallingPeriod1 = atrf //100 IchimokuTenkanp = tenk //7 IchimokuKijunp = kiju //20 MomCrossPeriod1 = mcp //40 MomLongLimit = mll //30 MomShortLimit = msl //150 ADXPeriod = adxp //20 BarsBeforeExit = bbe //100 ProfitTargetMultiplier = ptm //4 StopLossPips = slpip //300 TrailingStopPips = tspip //40 TrailingActivationMultiplier = tam //2 // Indicadores atrFalling = average[ATRFallingPeriod1](tr) atrNow = average[15](tr) atrActivation = average[200](tr) ichimokuTenkan = (highest[IchimokuTenkanp](high) + lowest[IchimokuTenkanp](low)) / 2 ichimokuKijun = (highest[IchimokuKijunp](high) + lowest[IchimokuKijunp](low)) / 2 xmomentum = Momentum[MomCrossPeriod1](close) adxNow = ADX[ADXPeriod] // Señales longEntrySignal = (atrFalling[1] < atrFalling[2]) and (ichimokuTenkan[1] CROSSES OVER ichimokuKijun[1]) shortEntrySignal = (atrFalling[1] < atrFalling[2]) and (ichimokuTenkan[1] CROSSES UNDER ichimokuKijun[1]) //GRAPH longEntrySignal //GRAPH shortEntrySignal longExitSignal = (atrFalling[1] < atrFalling[2]) and (xmomentum[3] CROSSES UNDER MomLongLimit) and adxNow[3] > adxNow[4] shortExitSignal = (atrFalling[1] < atrFalling[2]) and(xmomentum[3] CROSSES OVER MomShortLimit) and adxNow[3] > adxNow[4] //GRAPH longExitSignal //GRAPH shortExitSignal // ======= EJECUCIÓN DE ÓRDENES ======= // Entradas Largas if longEntrySignal then slPoints = StopLossPips * pointvalue tpPoints = ProfitTargetMultiplier * atrNow buy 1 contract at market set stop ploss slPoints set target pprofit tpPoints entryBarIndex = barindex //GRAPHONPRICE TRADEPRICE - slPoints endif // Entradas Cortas if shortEntrySignal and not longEntrySignal then slPoints = StopLossPips * pointvalue tpPoints = ProfitTargetMultiplier * atrNow sellshort 1 contract at market set stop ploss slPoints set target pprofit tpPoints entryBarIndex = barindex //GRAPHONPRICE TRADEPRICE - slPoints endif //GRAPH barindex - TRADEINDEX //GRAPHONPRICE TRADEPRICE + slPoints // ======= SALIDAS MANUALES POR CONDICIONES ======= if longonmarket then // Salida por condición técnica if longExitSignal and not longEntrySignal then sell at market endif // Salida por tiempo if barindex - tradeindex = BarsBeforeExit then sell at market endif // Trailing dinámico runningProfit = close - tradeprice[1] activationLevel = TrailingActivationMultiplier * atrActivation //GRAPH runningProfit //GRAPH activationLevel trailingDistance = TrailingStopPips * pointvalue //GRAPH trailingDistance if runningProfit > activationLevel then newStopLong = close - trailingDistance if newStopLong > tradeprice[1] then sell at newStopLong stop endif endif endif if shortonmarket then // Salida por condición técnica if shortExitSignal and not shortEntrySignal then exitshort at market endif // Salida por tiempo if barindex - tradeindex = BarsBeforeExit then exitshort at market endif // Trailing dinámico runningProfit = tradeprice(1) - close activationLevel = TrailingActivationMultiplier * atrActivation trailingDistance = TrailingStopPips * pointvalue if runningProfit > activationLevel then newStopShort = close + trailingDistance if newStopShort < tradeprice(1) then exitshort at newStopShort stop endif endif endifTrying to collaborate at the same time that learning.
Thank you guys!
robertogozzi thanked this postYou could try Monte-Carlo Testing.
https://www.prorealcode.com/topic/monte-carlo-analysis/I tested it with the excelsheet of khtradingsystems.com. It is fast and easy. However, dont know how to read some results.
MC is telling there is a chance of ruin about 1%. Is this reasonable ratio? Also, Return/DD ratio 3.83 doesnt look very good…
Additionally, I was thinking about it is better idea to avoid systems with long and shorts at the same time and analyse them independently, right?
Thank you @GraHal,
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 04/23/2025 |
| Status: | Active |
| Attachments: | 4 files |
