Strategy Eur/Usd mini, how to reduce the maximum % drawdown?

• 12/18/2018 at 2:55 PM #87328
  coscar

  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)

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  //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)

   

   

  

  coscar

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  12/18/2018 at 3:26 PM #87369
  robertogozzi

  Variable A is missing, what’s its value?

  

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  12/18/2018 at 3:45 PM #87371
  Vonasi

  Are you aware that if your long or short limit orders open positions then you will not have a sell or exitshort order on the market until the close of the bar? You should add them in like this:

  / 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 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 ENDIF

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  / 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 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 ENDIF

   

  

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  12/18/2018 at 4:20 PM #87375
  coscar

  Variable A is missing, what’s its value?

  a = 2

  Tanks

  

  coscar

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  12/18/2018 at 4:31 PM #87377
  coscar

  DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 capital = 500 + strategyprofit n=1 Atr = AverageTrueRange[14](close) Atrs = 0.1 x = average[2,3]((High+Low+close)/3) ema=average[3,6](close) 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 and close>ema 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 ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop and close<ema 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 ENDIF set stop loss (1.8*ATR) If Capital<-300 then quit endif

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  DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 capital = 500 + strategyprofit n=1 Atr = AverageTrueRange[14](close) Atrs = 0.1 x = average[2,3]((High+Low+close)/3) ema=average[3,6](close) 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 and close>ema 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 ENDIF   // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop and close<ema 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 ENDIF set stop loss (1.8*ATR) If Capital<-300 then quit endif

  I’ve applied some variations like an EMA filter

  

  coscar

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  12/18/2018 at 4:36 PM #87378
  coscar

  New Test

  

  coscar

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  12/18/2018 at 4:40 PM #87380
  robertogozzi

  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.

   

  

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  12/18/2018 at 4:56 PM #87382
  Vonasi

  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)

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  //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)

  

  

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  Vonasi

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  12/18/2018 at 5:41 PM #87387
  pippo999

  Great Work guys.

  Vanosi, is m = 2.7 ?

  

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  12/18/2018 at 5:48 PM #87388
  Vonasi

  The name is Vonasi not Vanosi!

  m is the multiple of the ATR for the stoploss. If you unremark the stoploss and unremark the m = 2.7 then you can run it with a stoploss. 2.7 was the value that gave highest results.

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  Vonasi

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  12/18/2018 at 8:30 PM #87401
  Vonasi

  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?

  

  

   

  //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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  //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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  12/18/2018 at 8:43 PM #87405
  pippo999

  Ok ok sorry Vonasi 🙂 Have a nice weekend…..

  

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  12/18/2018 at 8:46 PM #87406
  robertogozzi

  What an early weekend! You’re lucky Vonasi.

  

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  12/18/2018 at 8:52 PM #87407
  Vonasi

  Every day is a weekend on a boat! 🙂

   

  

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  12/18/2018 at 9:19 PM #87408
  pippo999

  Roberto, I forgot that someone need still to work … 😁😁

  

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