Strategy Eur/Usd mini, how to reduce the maximum % drawdown?
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Hi I’m new and not very experienced and for some time I try to learn information from the community. I ask you advice to improve this simple code that I developed but I would like to reduce the% Ma DrawDown and I think there is some error. Thanks to anyone who wants to help me.
//Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 n=1 Atr = AverageTrueRange[14](close) Atrs = 0.1 x = average[A,3]((High+Low+close)/3) b1e = ((2*x)-high)+(ATR*ATRs) s1e = ((2*x)-Low)-(ATR*ATRs) Hbop = (2*x)-(2*Low)+High Lbop = (2*x)-(2*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close<lbop THEN BUY n CONTRACTS AT b1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket THEN SELL AT s1e limit ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop THEN SELLSHORT n CONTRACTS AT s1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket THEN EXITSHORT AT b1e limit ENDIF set stop loss (1.8*ATR)New Test
You have to try changing values until you find the ones that you think are what suit you (not the market!) best.
Setting an average type of 2 (wma), instead of 3, then 1.3 at line 34, provided variable A has been assigned 2, my drawdown drops to 267.30 as from screenshot.
Try to walk forward your strategy.
I prefer to take stuff away rather than add it. I have removed the fixed level stop loss (it doesn’t add much anyway) and you have levels set to reverse the trades anyway. Most trades don’t seem to be more than one day so I have added exits at the close of any day that you are in profit. The ATRS variable has been optimised to 0.16. It seems pretty stable for a EUR/USD strategy. I wouldn’t add EMA’s as you are just adding an extra level of curve fit and EMA’s are oh so easy to curve fit!
//Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 a = 2 t = 2 //m = 2.7 n=1 Atr = AverageTrueRange[14](close) Atrs = 0.16 x = average[A,3]((High+Low+close)/3) b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close<lbop THEN BUY n CONTRACTS AT b1e limit SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket THEN SELL AT s1e limit if close > positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop THEN SELLSHORT n CONTRACTS AT s1e limit EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket THEN EXITSHORT AT b1e limit if close < positionprice then exitshort at market endif ENDIF //set stop loss (m*ATR)[attachment file=87383]
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Just out of interest I decided to take my version of your strategy and convert it to an end of day strategy. So I removed the limit orders and just bought or sold if it was above or below lbop and hbop. I reinstated the stop loss and optimised it and ATRS. I tested back to the beginning of 1995. Even if the ride was a little rough especially through the 2008 recession it was still ultimately a good equity curve. You may be on to something with your ATR band calculations. Are you sure that you’re new to this game?
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//Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 a = 2 t = 2 m = 1.8 n=1 Atr = AverageTrueRange[14](close) Atrs = 0.01 x = average[A,3]((High+Low+close)/3) b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket and close > s1e THEN SELL AT market//s1e limit if close > positionprice then//positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket and close < b1e THEN EXITSHORT AT market//b1e limit if close < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) //graph b1e //graph s1e //graph Hbop //graph Lbop //
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/18/2018 |
| Status: | Active |
| Attachments: | 22 files |
