Strat – Bol break with vol filtr DAX.H1 [Seemore]
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RE: https://www.prorealcode.com/prorealtime-trading-strategies/dax-bollinger-break-v
“Dax Bollinger break with volume. 1 Hour”
Just opening a forum topic for this breakout strategy idea posted by Seemore Profit. I’m a bit short on time but wanted to post a quick optimization. Also I have a few more points about this.
- Not really a fan of hard coded vars – volume threshold should be dynamic
- Bollenger periods also hard coded; could be dynamic
- Needs some proper money-management code. Hard coded basis point stop and limit are not allowing for shifts in volatility. So add ADX / FDI filters and such like
Anyway point being I think the overall idea is cool and there’s much further to go on this 🙂
Have a great week!
Best,
Maz
// System Settings DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 070000 DEFPARAM FLATAFTER = 181500 // Old Variables //positionSize = 1 //volumeThreshold = 8000 //pointTarget = 60 //pointStop = 30 //bolUpPeriod = 20 //bolDnPeriod = 20 // New variables positionSize = 1 volumeThreshold = 12500 pointTarget = 53 // must make this dynamic pointStop = 30 // must make this dynamic bolUpPeriod = 20 // not optimized yet bolDnPeriod = 20 // not optimized yet // Indicators bolUp = bollingerUp[bolUpPeriod](close) bolDn = bollingerDown[bolDnPeriod](close) volumeFilter = ( Volume >= volumeThreshold ) tradingDay = not (OpenDayOfWeek = 6 OR OpenDayOfWeek = 0) // Entry logic // long side bc1 = (close > bolUp) and volumeFilter bc1 = bc1 and tradingDay // short side sc1 = (close < bolDn) and volumeFilter sc1 = sc1 and tradingDay // Execution IF bc1 then BUY positionSize PERPOINT AT MARKET elsif sc1 THEN SELLSHORT positionSize PERPOINT AT MARKET ENDIF // Stops and targets SET STOP pLOSS pointStop SET TARGET pPROFIT pointTargetLet’s see some further development 🙂
Nicolas, BC, Francesco78 and Daniel Rönnqvist thanked this postDue to the lack of volume data I looked at building this in MT4. The problem is that the volume data is different. I spoke to IG and a prop trader about the different data and I was informed that indices volume data varies and in the case of IG it represents their client pool volume.
Thanks For finding this out, was wondering about this.
My final strat from the original saw the best vol set at 7000 and the target price changed to 58.
Gave these results, anyone find anything else worth adding/changing?
Hello
For volumeThreshold, it is possible to calculate an average of last volume data , in case of evolution of volume of trading of the intrument.
There is no volume during night, so volume could be filled with last volume value to prevent a zero in the average.
If volume>2000 then myvolume= volume volumeaverage=average(myvolume)[50] Endif volumeThreshold = x*volumeaverage//12500 x=2 gives good results in backtestBacktest with x= 2 gives good results
Real robot get 3 consecutives winning trades
Seemore Profit and JR1976 thanked this postHi I have found this article for similar strategy adapted to FX , maybe on other commodities for diversification
https://blog.quandl.com/bollinger-band-breakout-augmented-volume
The strategy is making some money according to backtest.
Please find live results for people who would be interested in this strategy.
Even if the DAX is in a bull market, the short side wins more than long side due to the better ratio Earning/loss. This could be due to the fact that indices grows slowly but falls sharply in fear mode. I will try to find “safe heavens money flow” related to fear mode , maybe Gold, Yen, BTC
Despair thanked this post
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8 years, 3 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 06/05/2017 |
| Status: | Active |
| Attachments: | 7 files |
