I mean the code in the very first post on this topic. Lines 4-6 should be given in percent and recoded in lines 17-31.
okay one last attempt
how does this one look SnorreDK ?
///Spread set to 0.9 points
defparam preloadbars = 10000
possize = 5
pointsL = 1.0056 //points where profit is to be locked in LONG//25
pointsS = 0.9954 //points where profit is to be locked in SHORT//25
pointsL1 = 0.991 //points where stop is to be taken //36 SP500
pointsS1 = 1.01 //points where stop is to be taken //36 SP500
fast = average[11,4](close) //11
medium = average[14,4](close) //13
TIMEFRAME (10 MINUTES, updateonclose)
A = 26
B = 8
S = 1.3
A1 = Average[A,B](low)
A2 = Average[A*s,B](low)
c3 = a1 > a2
TIMEFRAME (default, UPDATEONCLOSE)
//If countofposition = 0 then
//If fast > medium then
//BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop
//EndIf
//EndIf
If countofposition = 0 then
If fast > medium and c3 then
BUY possize CONTRACT AT open + 5*pipsize stop
EndIf
EndIf
If longonmarket and close >= positionprice * pointsL then
If close < close[1] then
SELL AT MARKET
EndIf
ElsIf longonmarket and close <= positionprice * pointsL1 then
SELLSHORT possize*2 CONTRACT AT MARKET
EndIf
If shortonmarket and close <= positionprice * pointsS then
If close > close[1] then
EXITSHORT AT MARKET
EndIf
ElsIf shortonmarket and close >= positionprice * pointsS1 then
BUY possize*2 CONTRACT AT MARKET
EndIf
SET TARGET %PROFIT 0.54
SET STOP %LOSS 1.2
I mean the code in the very first post on this topic. Lines 4-6 should be given in percent and recoded in lines 17-31.
There you go:
//Spread set to 0.9 points
defparam preloadbars = 10000
possizePC = 0.05 //0.05%
pointspPC = 0.4 //0.40%
pointsbPC = 1.0 //1.00%
//
possize = close / 100 * possizePC
pointsp = close / 100 * pointspPC //points where profit is to be locked in //20 SP500
pointsb = close / 100 * pointsbPC //points where stop is to be taken //36 SP500
//
fast = average[11,4](close) //11
medium = average[14,4](close) //13
If countofposition = 0 then
If fast > medium then
BUY possize CONTRACT AT open + averagetruerange[3](close)*2 stop
EndIf
EndIf
If longonmarket and close >= positionprice + pointsp then
If close < close[1] then
SELL AT MARKET
EndIf
ElsIf longonmarket and close <= positionprice - pointsb then
SELLSHORT possize*2 CONTRACT AT MARKET
EndIf
If shortonmarket and close <= positionprice - pointsp then
If close > close[1] then
EXITSHORT AT MARKET
EndIf
ElsIf shortonmarket and close >= positionprice + pointsb then
BUY possize*2 CONTRACT AT MARKET
EndIf
SET TARGET pPROFIT 16 //50
SET STOP %LOSS 1.1
I have to ask for your opinion now because that’s buzzing around in my head. With this simple system here (just changed the trend input and introduced fixed trading hours) I was able to achieve pretty good results on pretty much every index in the M1 and also in the M5. Which makes me a little cautious. Safe, robust … you would have to test it. The system is on the market for a long time if the profit is higher and the loss is higher, and it also works as a scalper with a larger SL, with a super hit rate.
What do you think of this type of code? Or am I missing something obvious?
@Grahal: What do you think about that? I know from you that you regularly optimize your systems for the market.
I played around with the code, changed entry, added exits. The whole thing is optimized to 75000bars, so the last year. It has been running in demo for me for over a week and is making incredible profits. I’m close to trying it live. A strategy that makes good profits long and short is rare these days. The joke is I have no idea why it works so well. What do you think?
//-------------------------------------------------------------------------
// Hauptcode : T2 Curvefolger M5 SP500
//-------------------------------------------------------------------------
///Optimiert 75000bars
defparam preloadbars = 10000
defparam CUMULATEORDERS = false
ONCE a = 40
ONCE b = 40
ONCE c = 50
ONCE x1 = 2
ONCE x2 = 2
possize = 5
pointsp = a //points where profit is to be locked in //20 SP500
pointsb = b //points where stop is to be taken //36 SP500
timeframe(4hour, updateonclose)
Bull = close > close[1]
Bear = close < close[1]
myclose = close
myhigh = high
mylow = low
timeframe(default)
myRSI = RSI[2](close)
RSIExlong = myRSI < 10
RSIExshort = myRSI > 90
long = Bull
short = Bear
// trading window
ONCE BuyTime = 150000
ONCE SellTime = 220000
// position management
IF Time >= buyTime AND Time <= SellTime THEN
If countofposition = 0 then
If long then
BUY possize CONTRACT AT market
EndIf
EndIf
If countofposition = 0 then
If short then
sellshort possize CONTRACT AT market
EndIf
EndIf
endif
//Umkehr
If longonmarket and close >= positionprice + pointsp then
If close < close[1] then
SELL AT MARKET
EndIf
ElsIf longonmarket and close <= positionprice - pointsb then //and short
SELLSHORT possize*x1 CONTRACT AT MARKET //*2
EndIf
If shortonmarket and close <= positionprice - pointsp then
If close > close[1] then
EXITSHORT AT MARKET
EndIf
ElsIf shortonmarket and close >= positionprice + pointsb then //and long
BUY possize*x2 CONTRACT AT MARKET //*2
EndIf
//endif
SET TARGET pPROFIT c //50
SET STOP %LOSS 1.3
If longonmarket and RSIExlong and (PositionPerf * PositionPrice / PipSize) >= 20 then
sell at market
endif
If shortonmarket and RSIExshort and (PositionPerf * PositionPrice / PipSize) >= 25 then
exitshort at market
endif
IF Time >= 10000 AND Time <= 150000 THEN
If longonmarket and (PositionPerf * PositionPrice / PipSize) >= 30 then
sell at market
endif
If shortonmarket and (PositionPerf * PositionPrice / PipSize) >= 40 then
exitshort at market
endif
endif
//abends
If longonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 35 then
sell at market
endif
If shortonmarket and time=220000 and (PositionPerf * PositionPrice / PipSize) >= 50 then
exitshort at market
endif
//TrailingStop in Punkten
////************************************************************************
//trailing stop function
trailingstartL = 40 //LONG trailing will start @trailinstart points profit //30
trailingstartS = 40 //SHORT trailing will start @trailinstart points profit
trailingstepL = 9 //trailing step to move the "stoploss" //1
trailingstepS = 1 //trailing step to move the "stoploss"
Distance = 1 * PipSize
//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)>=trailingstartL*pipsize THEN
newSL = tradeprice(1)+trailingstepL*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstepL*pipsize THEN
newSL = newSL+trailingstepL*pipsize
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstartS*pipsize THEN
newSL = tradeprice(1)-trailingstepS*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstepS*pipsize THEN
newSL = newSL-trailingstepS*pipsize
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
IF LongOnMarket THEN
IF (close - Distance) > newSL THEN
SELL AT newSL STOP
ELSIF (close + Distance) < newSL THEN
SELL AT newSL LIMIT
ELSE
SELL AT Market
ENDIF
ELSIF ShortOnMarket THEN
IF (close - Distance) > newSL THEN
EXITSHORT AT newSL LIMIT
ELSIF (close + Distance) < newSL THEN
EXITSHORT AT newSL STOP
ELSE
EXITSHORT AT Market
ENDIF
ENDIF
endif
//************************************************************************
Hello Phoentz
If you find it useful I went back in time to see if it was stable, it seems overly optimized …. even if I see that some people don’t care about the past but only the present.
Good day
Hello
Mauro T.
Of course it is optimized for today. Above 200000bars it works with other settings. The swings were very different back then, aside from the fact that they’re still just pips size.
Thanks for the reminder!
I forgot to put my version in demo.
Can you show your live results?
I created several versions to test and just let them run. In the last 2 weeks in particular the market has been extremely turbulent with major swings. The results are to be proud of. I think these systems deserve even more in a trend phase. What is apparent is that the systems without doubling the reversal have had a much harder time, but have not really lost so far. I created the versions with different input conditions, the code core is always the same. Recognizable by the name of the strategy. Bollinger inputs somehow don’t work at all in this market phase, I don’t know why yet. Simple inputs that come up often seem to work best. The variants without special inputs, which simply enter the trend without any extra setup, work best. I didn’t expect that. I think the most important thing is that the first trade of the strategy is taken in the direction with the highest probability. The code does the rest. I think.
can you post me your version?
Bollinger inputs somehow don’t work at all in this market phase
That could be similar to me myself not being able to trade this manually. Swings are even 1% the hour easily on any large index, and I can’t make money out of it.
Without really investigating it (the code(s) you are dealing with at this moment), I think this is related to most systems (me too) depend on lag. And before you know it (before you are sure) you are too late and the lot reverses.
Someone (you, @phoentzs ?) should really abuse this with code which is not too late and without emotion. You could earn greenhouses, nice cars, normal houses, each day an other. And me ? I am fighting for a “stupid” 500, manually. And the fight is because being in a 10K loss first. Tiring. 🙁
haha
But ditch the code in time, because this won’t last forever …
I’m not quite comfortable with that either. The SMA version, i.e. the one that performs best, is created over 200,000 bars and would have made money even with the corona crash. I’m still undecided.
Can u post ur code for the SMA version phoentzs. Would like to make a 1M backtest
