Simple Strategy : TF 10S / Bollinger / RSI

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Viewing 15 posts - 16 through 30 (of 50 total)
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  • 05/06/2020 at 7:30 PM #130306
    Scooby

    Then, I checked my code and I found some good thing to change and a beautiful mistake… :S (no long on my strat…)

    Then I will do a new version tonight and post it soon.

    If someone wants to check it with me … 🙂

    1 user thanked author for this post.
    avatar bertrandpinoy
    05/06/2020 at 8:02 PM #130312
    Scooby

    The new version.

    I found an issue with 2 variables which was not toggled and lot of trades was not realized…

    Right now there is lot of trades by days. Let me know how do you think about it 🙂

    See you

    1 user thanked author for this post.
    avatar swedshare
    05/07/2020 at 9:07 AM #130392
    turame

    Hi Scooby,

    Well in theory, and mostly without spread. In your itf file, you put a spread of 1. however the DJ spread is iqual to 2.4 between 15h30 and 22h00.

    And please consider that spread average on 10s TF is around 3.6 at least in reality.

    The backtest with this new information is still positive, but the profit factor decreases from 1.9 to 1.16…

    05/07/2020 at 10:24 AM #130411
    swedshare
    turame wrote:

    spread average on 10s TF is around 3.6 at least in reality

    Are you saying that the spread is different depending on the time frame?

    05/07/2020 at 12:24 PM #130427
    turame

    Absolutely ! Even if it may seem counter-intuitive, slippage is slightly different according to the timeframe.

    This is not a scientific fact but a simply observation on live trading algo.

    And you can also have a difference depending on your algo (more and less heavy and complicated).

    3.6 is my personal observation on DJ 10s TF.

     

    05/07/2020 at 1:30 PM #130446
    Francesco

    Sorry but I don’t think that the spread changes with the tf, would like to have the confirm from more experienced voices but I’m pretty sure about this 🙂

    05/07/2020 at 3:54 PM #130472
    Scooby

    Sorry this algo came from EUR/USD and I put everytime a spread higher than the real one.

    I didnt had the time to work this last week but I will try to find a good way with this base.

     

    For the spread higher with a small TF that Can explain why the backtest and the reality is different ^^

    05/07/2020 at 6:07 PM #130496
    swedshare

    Scooby, would you say that your EUR/USD strategy needs the same update as the DJI v3?

    05/07/2020 at 6:13 PM #130497
    Scooby

    Yes I will work on this one tonight because I think there is the same “bug” as the DJI.

    Since yesterday night (21h), 65 euros positive for the DJI, but too much drawdown for me, I’ve stopped it and need to work again I think…

    I gonna try to compare the movement between the TF 5 min / 1 min and take the trade in 10s to get better results.

    1 user thanked author for this post.
    avatar swedshare
    05/08/2020 at 12:44 AM #130536
    Scooby

    I worked a bit on EUR/USD. Did’nt find the time for DJI.

    Let’s check the new update.

    I’m pretty sure that it’s possible to adapt  the code for some others forex with good volatility

    05/08/2020 at 12:56 AM #130540
    Scooby

    Maybe a bonus for someone.

    I tried some minutes ago to take the V3 of EUR/USD and try with DJI, and the result (after optimisation) is … not bad with spread of 4 pts.

     

    2 users thanked author for this post.
    avatar swedshare, avatar GraHal
    05/10/2020 at 8:39 PM #131024
    swedshare

    The DJI v3 still seems good. Found any other good optimizations the last days?

    05/11/2020 at 7:05 PM #131193
    Scooby

    Yes the DJI v3 is still good. Obviously we need to continue and check if it can be a good strategy on the long time (for example, the begining of this day is bad).

    For the EUR/USD, the V2 is still fine because of the last week. I’ve got optimised too much certainly the code.

    The EUR/USD V3 gave me good results today, but not previous friday, need to see for the further days…

    I hope that someone can help me to adapt the code and optimise only what it need to me optimised xD. What should be the good way ? Doing optimisation for each days and try an “average” of the best variables ?

    05/11/2020 at 10:42 PM #131216
    swedshare

    I was playing around with the DJI v3 and the variables for the Bollinger bands. Your default was 20 but if you increase it to between 40 and 60 it gets pretty interesting. For example:

    See attached comparison.

    You had some great results testing on the DJI a few days ago (v4?), what did you optimise then?

    1 user thanked author for this post.
    avatar keewee
    05/12/2020 at 8:57 PM #131388
    Scooby

    Hi @swedshare

    Yes I did a V4 but this one was not better. I tried to see if the position is the higher of lower compared to the history (10 frames, 20, 30…)

    I think that it should be better to compare the position with the PP, R1, R2, S1, S2 for example or try with a stochastic maybe.
    I’ve closed my account today to transfert it on prorealtime.com (more data…) then I can’t try out to find a better algo currently 🙂

    Hope this week my transfert will be done 😀

    Anyway, that’s should be good to manage the bollinger band like you did ! I would like to try it soon !!

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