SHORT EUR USD (m15) // PAC MAN STRATEGY
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200 k
spread=2
//------------------------------------------------------------------------- // Main code : PacMan BALMORA74 //------------------------------------------------------------------------- // PAC MAN - PIP HUNTER // EUR / USD (M15) // By BALMORA74 19.05.2018 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 4000 //VARIABLES x = 100 MoneyManagement = 1 //0, 1or 2 RiskManagement = 0 //0 or 1 Capital = 10000 MinBetSize = 1 RiskLevel = 5 Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 // STRATEGY Cv1 = (close < Average[100]) and (Average[50] < Average[50](close[1])) Cv2 = RSI[14](close) <= 28 Cv3 = STD[10](close) >= 10.93 * pipsize Cv4 = close <= BollingerDown[13](close[2]) OKSHORT = cv1 and cv2 and Cv3 and Cv4 IF OKSHORT then Sellshort PositionSize CONTRACT at market SET STOP pLOSS 52 SET TARGET PPROFIT 25 ENDIF //EXIT ZOMBIE TRADE //IF POSITIONPERF < 0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= x and close > TradePrice THEN EXITSHORT AT MARKET ENDIF //ENDIFVonasi thanked this postSo the OOS that we have for my version (actually Sharkool’s slightly modified version) is shown in the attached image. Pretty good but we have to consider that the market has been a shorters paradise for the whole OOS period. Still it performed OK in the IS period which was much more varied so we have some hope that it won’t fall apart completely and with Brexit hanging over the Euro perhaps it will be a shorters of the Euro paradise for a bit longer.
I thought that I would do a side by side comparison.
In the image are the equity curves for our forward test OOS period from 1st May 2018 of Balmora74’s original version, my modified version of his code and now Sharkool’s slightly modified version of mine. Also at the top is ‘short and hold’ to show what the equity curve would be if we just went short and held that position open.
….and the winner is….. ( drum roll)….. Sharkool’s version.
It is possible however that as Sharkool said that he started testing it from 1st Sep 2019 that it has just been fitted to include most of the data in our OOS – so in reality we only have the OOS equity curve shown in the second image for the Sharkool version.
What still worries me is the short and hold equity curve – we still have not had a bull run to properly test the strategies and short and hold would still win hands down compared to any of the strategies tested here – especially if you add in all those overnight fees that you would have been paid.
Just wanted to understand the reasoning behind that part of the code:
//EXIT ZOMBIE TRADE IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= 100 and close > TradePrice THEN EXITSHORT AT MARKET ENDIF
@Balmora74 is this to avoid incurring overnight fees?In the version i have, when i remove this the performance increases slightly and so does the %. (see screenshots attached)
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/01/2018 |
| Status: | Active |
| Attachments: | 59 files |
