Strategy Eur/Usd mini, how to reduce the maximum % drawdown?
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I made an MTF version out of latest Vonasi’s version, by:
- replacing empty line 5 with timeframe(Daily,UpdateOnClose)
- replacing empty line 48 with timeframe(default)
- appending Nicolas’ Trailing Stoip code
- launching it form a 2-minute TF
//Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 timeframe(Daily,UpdateOnClose) //Daily a = 2 //2 t = 2 //2 m = 1.8 //1.8 n=1 Atr = AverageTrueRange[14](close) //14 Atrs = 0.1 //0.1 x = average[A,3]((High+Low+close)/3) //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) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 45 //45 trailing will start @trailinstart points profit trailingstep = 15 //15 trailing step to move the "stoploss" //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIFas from attached screenshot.
Drawdown can be further reduced by applying the same strategy above to Heikin-Ashi candlesticks (still Nicolas’ trailing stop code uses regular japanese candlesticks).
I tested it on regular EurUsd, rather than the mini one because I found out it is not just a simple math issue (it’s, or it should be, just a division by ten), because on the mini contract I’ve been reported more than 300 trades, almost all losing money. While there’s no difference when applied to DAX €25 and DAX €5, it’s the same behaviour, only multiplied/divided by 5!
//Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 0 timeframe(Daily,UpdateOnClose) //Daily // HA definition if BarIndex > 1 then xClose = (open+close+low+high)/4 xOpen = (xOpen[1]+xClose[1])/2 haHigh = Max(xOpen, xClose) haLow = Min(xOpen, xClose) xHigh = Max(High,haHigh) xLow = Min(Low,haLow) else xClose = (open+close+low+high)/4 xOpen = (Open[1]+Close[1])/2 haHigh = Max(xOpen, xClose) haLow = Min(xOpen, xClose) xHigh = Max(High,haHigh) xLow = Min(Low,haLow) endif a = 2 //2 t = 2 //2 m = 1.8 //1.8 n=1 Atr = AverageTrueRange[14](xClose) //14 Atrs = 0.1 //0.1 x = average[A,0]((xHigh+xLow+xclose)/3) //4 b1e = ((t*x)-xhigh)+(ATR*ATRs) s1e = ((t*x)-xLow)-(ATR*ATRs) Hbop = (t*x)-(t*xLow)+xHigh Lbop = (t*x)-(t*xHigh)+xLow // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND xclose <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket and xclose > s1e THEN SELL AT market//s1e limit if xclose > positionprice then//positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND xclose >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket and xclose < b1e THEN EXITSHORT AT market//b1e limit if xclose < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 35 //35 trailing will start @trailinstart points profit trailingstep = 15 //15 trailing step to move the "stoploss" //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)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIFGraHal thanked this postHello Vonasi and Roberto I still ask you a kindness, you could test the attached code since 1995. Thank you
//@Coscar Break Out Point on Eur/Usd mini - 1D Capital Ini Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** CapitalIni = 10000 // Capitale iniziale cifra intera NrContratti = 1 // numero di contratti iniziali MargineBroker = 378 // Margine richiesto dal broker per 1 contratto Eur/Usd Mini Martingala = 1 // "1" per ON , "0" per OFF del sistema Martinagala Multi = 1 //Martingala Moltiplicatore in caso di vincita - "1" per OFF Reinvestimento = 1 // "1" per ON , "0" per OFF reinvestimento Capiatale e profitto Perc = 20 // Percentuale del capiatale destinato al reinvestimento (consiglio max 30%) Protec = 100 // "0" per OFF, Contratti massimi consentiti al sistema -Ricordarsi di inserire questo valore in fase di Trading Automatico in PRT Avg = 2 // Moving Average Period Two Day Atrs = 0.16 // Multiplier coefficient Atr m = 1.8 // Multiplier coefficient Stop Loss //*********************************************************************************************** ONCE OrderSize = NrContratti ONCE ExitIndex = -2 Capital= CapitalIni + strategyprofit IF Reinvestimento = 1 THEN NR = ((Capital * Perc/100)/MargineBroker)*1000 n = (ROUND(NR)/1000) Else n = 1 endif IF Protec>0 and n>Protec THEN n=Protec endif Atr = AverageTrueRange[14](close) x = average[Avg,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 OrderSize 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 ExitIndex = BarIndex ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop THEN SELLSHORT OrderSize 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 ExitIndex = BarIndex ENDIF set stop loss (m*ATR) //Martingala************************ IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF PositionPerf(1) < 0 THEN OrderSize = OrderSize + (Martingala*0) ELSIF PositionPerf(1) > 0 THEN OrderSize = 1 * n * Multi ENDIF ENDIF IF Capital<-500 then Quit ENDIF GRAPH OrderSizeHere is the code from the version posted by TempusFugit. My main concern if I had coded it myself would be the exit conditions based on days of week and time and bars since trades opened which seem to smell horribly of data mining.
The true test is to remove most of them and see how it fairs. With just the exit if it is 2100 hours and the rest of them are removed then the equity curve is a little less inspiring. Image attached.
If we let them back in one by one then the equity curve starts to look nice again which is really telling us that they are just data mining conditions. IMHO.
// COSCAR Eur/Usd mini - 1H En PRTCode //Version Tempus Fugit DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 //VARIABLES PositionSize = 1 ENTRYHOURS = HOUR=1 nwma = 2 //Periodos de la Media de Willians sobre "la mediana" t = 2//Multiplicador de la media y otros valores NATR = 14//Periodos del ATR m = 1.8//2.7 //Multiplicador del ATR para el stop Atrs = 0.16//Multiplicador del ATR para el precio límite de salida Timeframe(Daily,Updateonclose) Atr = AverageTrueRange[NATR](close) x = average[nwma,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 LONGSIGNAL = CLOSE<LBOP SHORTSIGNAL = CLOSE>HBOP Timeframe(Default) LONGENTRY = LONGSIGNAL LONGENTRY = LONGENTRY AND ENTRYHOURS LONGENTRY = LONGENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES SHORTENTRY = SHORTSIGNAL SHORTENTRY = SHORTENTRY AND ENTRYHOURS SHORTENTRY = SHORTENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES IF LONGENTRY THEN BUY PositionSize CONTRACTS AT B1E LIMIT SELL AT s1e limit ELSIF SHORTENTRY THEN SELLSHORT PositionSize CONTRACTS AT S1E LIMIT EXITSHORT AT b1e limit ENDIF If LongOnMarket THEN SELL AT s1e limit ELSIF ShortOnMarket THEN EXITSHORT AT b1e limit endif WINEXIT = ONMARKET WINEXIT = WINEXIT AND POSITIONPERF>0 WINEXIT = WINEXIT AND (HOUR=21 OR (BARINDEX-TRADEINDEX>70)) LOSSEXIT = ONMARKET LOSSEXIT = LOSSEXIT AND POSITIONPERF<0 LOSSEXIT = LOSSEXIT AND BARINDEX-TRADEINDEX>80 LOSSEXIT = LOSSEXIT AND HOUR>=21 LOSSEXIT = LOSSEXIT AND (DAYOFWEEK=3 OR DAYOFWEEK=5) IF WINEXIT OR LOSSEXIT THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF set stop loss (m*ATR)
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/18/2018 |
| Status: | Active |
| Attachments: | 22 files |
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