Stoch-RSI-STrend DAX 15M

• 01/16/2017 at 4:39 PM #21331
  GraHal

  Hi Guys

  My 1st Algo for your usage and eminent comments.

  Code Strategy is self-evident and is optimised for the DAX over 100,000 bars @ 15 mins.

  Code shows ‘nil 0 bars’ re tick-tick backtest. However on the Detailed Report, Closed Positions List shows 67 0 bars all at £2 loss … can anybody see why please.

  Above is not a trick question, but may prove useful to see that even with tick-tick backtest we can still get 0 bars for other reasons? Unless I am missing something … which I can be prone to 🙂

  Cheers
  GraHal

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Go Long Indicator1 = Stochastic[14,3](close) c1 = (indicator1 CROSSES OVER 13) Indicator2 = RSI[2](close) c2 = (indicator2 CROSSES OVER 28) IF c1 AND c2 AND Supertrend[3,10] < Close THEN BUY 1 Contract AT MARKET ENDIF // Exit Long Indicator3 = Stochastic[14,3](close) c3 = (indicator3 CROSSES UNDER 58) Indicator4 = RSI[6](close) c4 = (indicator4 CROSSES UNDER 24) IF c3 AND c4 THEN SELL AT MARKET ENDIF // Go Short Indicator5 = Stochastic[14,3](close) c5 = (indicator5 CROSSES UNDER 55) Indicator6 = RSI[10](close) c6 = (indicator6 CROSSES UNDER 40) IF c5 AND c6 THEN SELLSHORT 1 Contract AT MARKET ENDIF // Exit Short Indicator7 = Stochastic[14,3](close) c7 = (indicator7 CROSSES OVER 10) Indicator8 = RSI[25](close) c8 = (indicator8 CROSSES OVER 27) IF c7 AND c8 OR Supertrend[3,10] < Close THEN EXITSHORT AT MARKET ENDIF // Stops and targets

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Go Long Indicator1 = Stochastic[14,3](close) c1 = (indicator1 CROSSES OVER 13)   Indicator2 = RSI[2](close) c2 = (indicator2 CROSSES OVER 28)   IF c1 AND c2 AND Supertrend[3,10] < Close THEN BUY 1 Contract AT MARKET ENDIF   // Exit Long Indicator3 = Stochastic[14,3](close) c3 = (indicator3 CROSSES UNDER 58)   Indicator4 = RSI[6](close) c4 = (indicator4 CROSSES UNDER 24)   IF c3 AND c4 THEN SELL  AT MARKET ENDIF   // Go Short Indicator5 = Stochastic[14,3](close) c5 = (indicator5 CROSSES UNDER 55)   Indicator6 = RSI[10](close) c6 = (indicator6 CROSSES UNDER 40)   IF c5 AND c6  THEN SELLSHORT 1 Contract AT MARKET ENDIF   // Exit Short Indicator7 = Stochastic[14,3](close) c7 = (indicator7 CROSSES OVER 10)   Indicator8 = RSI[25](close) c8 = (indicator8 CROSSES OVER 27)   IF c7 AND c8 OR Supertrend[3,10] < Close THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets

   

  

  GraHal

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  01/16/2017 at 4:55 PM #21335
  Nicolas

  Hey GraHal, I moved your post from the library’s pending queue to this new topic, I’m sorry but the reason is that the strategy is a bit “overrated”, mainly because of optimized indicators periods. That’s why I prefer discuss it here in the forum instead of the library where everyone is expecting nice and finalized “products” .. 🙂

  About 0 bars, even if strategy is tested with the new backtest engine, orders can open and close on the same bars, and now stoploss can be tested before the takeprofit and vice-versa: the first price level to be met is the first action to be fired: stoploss or takeprofit, no preferred order any more.

   

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  Nicolas

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  01/16/2017 at 5:04 PM #21336
  JC_Bywan

  At first glance I’d recommend to be careful with line 43, when mixing “and” and “or” in a conditions combo, it might be useful to use parenthesis to be sure it does what you really wanted it to do…

  was it (c7 and c8) or supertrend…

  was it c7 and (c8 or supertrend…)

  without parenthesis I am not even sure if the software gives priority to the “and” or the “or”, or just reads it in the order it happens without priority…

  Another possibility could be you never meant this to be a “or” and wanted “c7 and c8 and supertrend”… like you did in line 10

  Don’t know… In any case I wouldn’t mix “and” and “or” without parenthesis

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  01/16/2017 at 7:16 PM #21356
  GraHal

  Hey thanks Guys.

  With parenthesis (as below) the profit is the same and still ‘Qty 67 o bars’.

  With ‘And’ before Supertrend (instead of OR) the profit drops by over 2K

  IF (c7 AND c8) OR Supertrend[3,10] < Close THEN EXITSHORT AT MARKET ENDIF

  1 2 3

  IF (c7 AND c8) OR Supertrend[3,10] < Close THEN EXITSHORT  AT MARKET ENDIF

  I thought tick-tick backtest is to tell us how many times an Algo opens and closes in the same bar where there is anomaly re computed profit / loss?  See screen shots  for nil zero bars shown in Optimise Results but 67 zero bars shown in the Detailed Results.  Not what I was expecting from 10.3 tick-tick. Maybe there is a ‘lower limit on anomalous profit / loss’? (its only £2 loss each time there is a 0 bar).

  Be nice to know why I’m getting Qty 67 0 bars? What’s even more intriguing is … why / how is it £2 each and every time??

  Thanks
  GraHal

  

  GraHal

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  01/16/2017 at 7:28 PM #21361
  GraHal

  Further thoughts in case above confuses …

  I understand that 10.3 tick-tick won’t stop an Algo open and close on the same bars / 0 bars (as Nicolas says above)  but I thought 10.3 tick-tick is supposed to tell us / show us how many 0 bars we have … clearly it is not doing this in my scenario as evidenced by the screen shots above?

  GraHal

  

  GraHal

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  01/16/2017 at 7:56 PM #21362
  JC_Bywan

  All those times when losing 2 pounds, are they matching candlesticks for which you have simultaneously your short entry conditions met (c5 and c6) and the supertrend lower than close too? Because ok c7 and c5 are mutually exclusive so your (c7 and c8) exit can’t happen same candlestick as your (c5 and c6) entry, but as you confirmed you wanted a “or supertrend<close”, this supertrend exit condition could happen at the same time your (c5 and c6) entry happens without this being a 0 bar backtest bug… You’d be in and out offering the spread to IG, would that match 2 pounds?

  

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  01/16/2017 at 8:14 PM #21363
  JC_Bywan

  (moreover I’d say the zerobar issue was when there was a target and a stop within the same candle, but here anyway you have neither target nor stop, you just have entry rules and exit rules for trades in both directions, so solving the 2 pounds losses mistery would most likely involve simultaneity of entry and exit rules within same bars rather than zerobar stop/target 10.2/10.3 matters)

  

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  01/16/2017 at 8:26 PM #21364
  GraHal

  Haha you’re a genius Noob! I used the Graph function and checked 4 instances of meeting conditions c5 AND C6 AND Supertrend[3,10] < Close and that’s it … spot on!

  Also yes … Sellshort IG spread on the DAX during the day is £1 and Exitshort spread is £1 so that solves the ‘£2 mystery’ … genius! 🙂

  I had tried similar yesterday but got fed up; I just needed a fresh pair of eyes with a suggestion to renew my enthusiasm … and that’s what this Community is all about! Long live the PRC Community! 🙂

  Many Thanks Noob
  GraHal

   

  

  GraHal

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  01/16/2017 at 10:02 PM #21378
  GraHal

  Tidied up and improved code and over 30% more profit.

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated STOCH = Stochastic[14,3](close) STREND = Supertrend[3,10] // Go Long c1 = (STOCH CROSSES OVER 13) c2 = (RSI[2](close) Crosses Over 28) IF c1 AND c2 AND STREND < Close THEN BUY 1 Contract AT MARKET ENDIF // Exit Long C3 = (STOCH CROSSES UNDER 58) c4 = (RSI[6](close) Crosses Under 24) IF (c3 AND c4) OR POSITIONPERF < - 0.0136 OR POSITIONPERF > 0.1 THEN SELL AT MARKET ENDIF // Go Short c5 = (STOCH CROSSES UNDER 55) c6 = (RSI[10](close) CROSSES UNDER 40) IF c5 AND c6 AND STREND > Close THEN SELLSHORT 1 Contract AT MARKET ENDIF // Exit Short c7 = (STOCH CROSSES OVER 10) c8 = (RSI[25](close) CROSSES OVER 27) IF (c7 AND c8) OR STREND < Close OR POSITIONPERF < - 0.003 OR POSITIONPERF > 0.05 THEN EXITSHORT AT MARKET ENDIF // Stops and targets

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated   STOCH  = Stochastic[14,3](close) STREND = Supertrend[3,10]   // Go Long c1 = (STOCH CROSSES OVER 13) c2 = (RSI[2](close) Crosses Over 28)   IF c1 AND c2 AND STREND < Close THEN BUY 1 Contract AT MARKET ENDIF   // Exit Long C3 = (STOCH CROSSES UNDER 58) c4 = (RSI[6](close) Crosses Under 24)   IF (c3 AND c4) OR POSITIONPERF < - 0.0136 OR POSITIONPERF > 0.1 THEN SELL  AT MARKET ENDIF   // Go Short c5 = (STOCH CROSSES UNDER 55) c6 = (RSI[10](close) CROSSES UNDER 40)   IF c5 AND c6  AND STREND > Close THEN SELLSHORT 1 Contract AT MARKET ENDIF   // Exit Short c7 = (STOCH CROSSES OVER 10) c8 = (RSI[25](close) CROSSES OVER 27)   IF (c7 AND c8) OR STREND < Close OR POSITIONPERF < - 0.003 OR POSITIONPERF > 0.05 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets

  GraHal

   

  

  GraHal

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  01/16/2017 at 11:35 PM #21387
  GraHal

  Nicolas is the code below underrated enough (standard indicator periods) to be included in the Library?

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated STOCH = Stochastic[14,3](close) STREND = Supertrend[3,10] RS = RSI[14](close) // Go Long c1 = (STOCH Crosses Over 13) c2 = ( RS > 20) IF c1 AND c2 AND STREND < Close THEN BUY 1 Contract AT MARKET ENDIF // Exit Long C3 = (STOCH CROSSES UNDER 58) c4 = (RS < 20) IF (c3 AND c4) OR POSITIONPERF < - 0.017 OR POSITIONPERF > 0.053 THEN SELL AT MARKET ENDIF // Go Short c5 = (STOCH CROSSES UNDER 55) c6 = (RS < 48) IF c5 AND c6 AND STREND > Close THEN SELLSHORT 1 Contract AT MARKET ENDIF // Exit Short c7 = (STOCH Crosses Over 10) c8 = (RS > 50) IF c7 AND c8 AND STREND < Close OR POSITIONPERF < - 0.003 OR POSITIONPERF > 0.049 THEN EXITSHORT AT MARKET ENDIF // Stops and targets

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated   STOCH  = Stochastic[14,3](close) STREND = Supertrend[3,10] RS     = RSI[14](close) // Go Long c1 = (STOCH Crosses Over 13) c2 = ( RS > 20)   IF c1 AND c2 AND STREND < Close THEN BUY 1 Contract AT MARKET ENDIF   // Exit Long C3 = (STOCH CROSSES UNDER 58) c4 = (RS < 20)   IF (c3 AND c4) OR POSITIONPERF < - 0.017 OR POSITIONPERF > 0.053 THEN SELL  AT MARKET ENDIF   // Go Short c5 = (STOCH CROSSES UNDER 55) c6 = (RS < 48)   IF c5 AND c6  AND STREND > Close THEN SELLSHORT 1 Contract AT MARKET ENDIF   // Exit Short c7 = (STOCH Crosses Over 10) c8 = (RS > 50)   IF c7 AND c8 AND STREND < Close OR POSITIONPERF < - 0.003 OR POSITIONPERF > 0.049 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets

   

  

  GraHal

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  01/17/2017 at 10:01 AM #21418
  JC_Bywan

  Thanks Grahal you’re too kind with me. I agree sometimes we all need another pair of fresh eyes, one day it’s you another day it’s me, and Nicolas PRC forums are great for this. And may I say I am all the more happy I could help you on this one because I can see you help others a lot on these forums, so it’s just fair and fully deserved you get something back out of it when in need of extra eyes.

  

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  01/17/2017 at 10:32 AM #21419
  Nicolas

  @GraHal

  I appreciate the effort to make it less curve-fitted, but I’m sorry about levels thresholds and positionperf which are still different between long and short positions.

  Did you try to separate the strategy : 1 for long and 1 for short side?

  What does it means that short position can exit in loss @ -0.003 or in gain @0.049 ? while long positions have different values? Not so obvious to me to understand what was the intellectual approach to take these values or not other one? what about -0.004? Please don’t be offend 🙂

  

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