SHORT (DAX OPTIMIZED) GAMING THEORY

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  • 09/21/2018 at 1:21 PM #81013 quote
    didi059
    Participant
    Junior
    // Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
// define parameters
dailyrange=Range[1]
longsma=Average[myaverage](close)
Dailyclose=DClose(1)
//Dailyopen=DOpen(1)
CloseTest=Dailyclose-dailyrange*.25

// Conditions to enter short positions


IF Dailyclose>= CloseTest and  Dailyclose > longsma THEN
SELLSHORT 1 SHARES AT MARKET
ENDIF

// Conditions to exit long positions
// See Stops and target

// Stops and targets
SET STOP pLOSS loose
SET TARGET pPROFIT gain
    SHORT-DAX-OPTIMALISATION-OPTIMIZE-REPORT.jpg SHORT-DAX-OPTIMALISATION-OPTIMIZE-REPORT.jpg short-dax-optimalisation-equity-curve-15375210834lp8c.jpg short-dax-optimalisation-equity-curve-15375210834lp8c.jpg
    09/21/2018 at 1:28 PM #81024 quote
    Nicolas
    Keymaster
    Master

    Thanks for the post, but there is a major problem. The optimization tool does not include backtests made with internal bars check. It means that for this kind of daily strategy, the takeprofit is tested before the stoploss, that’s what we called here the “0 bar issue”.

    In your optimizations results window, you can check the “Tick mode” column where the optimizer tells you how many orders are concerned with that problem, and there are a lot!  So in order to get the best accuracy (and to validate the optimization), you’ll have to make backtests individually, with the tick-by-tick mode checked.

    09/22/2018 at 10:15 PM #81084 quote
    didi059
    Participant
    Junior

    Nicolas

    Thank you for your advice.

    I will checked it out .

    brgs

    J-P

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SHORT (DAX OPTIMIZED) GAMING THEORY


ProOrder: Automated Strategies & Backtesting

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didi059 @didi059 Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by didi059
7 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/21/2018
Status: Active
Attachments: 2 files
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