Strategy Eur/Usd mini, how to reduce the maximum % drawdown?
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Sorry TempusFugit but I just realised that I read through your code rather quickly and misread it. I was working under the illusion that the conditions were all separate exit conditions whereas they are actually all combined as one
I’m still not sure that they add anything to the strategy of much worth. In my 100k bar test the LOSSEXIT condition was only ever met once. The WINEXIT condition was met 49 times but this just resulted in less overall gain. Time in market was less but with a long and short forex strategy overnight fees are not a major concern as you get paid to be short and you pay to be long.
The win rate was higher by just over 5% but the gain/loss ratio was lower.
With the exit conditions the longest trade was held for 116 bars/hours. Without the conditions only seven trades went longer than this 116 hours and the longest was still only 159 hours.
I’m just not sure that the extra conditions add very much and they definitely reduced profit per trade in the tested data sample.
I have had the end of day version running live on demo since 18 December 2018 and I thought that the comparison between backtesting and live forward testing might be of interest to others so I post the results here.
My demo account had several issues that meant that the strategy was stopped several times and many of my strategies went through a long phase of not opening positions – although I can’t confirm that this was one of them but because of all this the trade quantities are different and my live version missed the biggest loser. Despite all this the strategy seems to have traded pretty well so far.
Live test is on the left in the images and backtest is on the right.
TempusFugit thanked this postHi guys presents a variant of the code created with the addition of an output based on the filter by John Ehlers, plus I added some optional features like Martingala, Capital reinvestment. I tested the system starting from a minimum capital of € 500.00 and I always got the same result, it seems that the system is quite stable in the long run. I hope someone can take an interest and improve it. Share the variations. Thank you
//@Coscar Break Out Point| Eur/Usd mini - 1D Capital Ini Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** CapitalIni = 10000 // Capitale iniziale cifra intera min € 500,00 CapitalRisk = 10 // Percentuale di rischio del capitale NrContratti = 0.5 // numero di contratti iniziali MargineBroker = 378 // Margine richiesto dal broker IG MARKET per 1 contratto Eur/Usd Mini Martingala = 1 // "1" per ON , "0" per OFF del sistema Martinagala Multi = 1.8 //Martingala Moltiplicatore in caso di vincita - "1" per OFF Reinvestimento = 1 // "1" per ON , "0" per OFF reinvestimento Capitale e profitto Perc = 20 // Percentuale del capitale 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 //------------------ EVENTUALI VARIABILI DEL SISTEMA--------------------------------------- Avg = 2 // Moving Average Period DEFAULT 2 Day Atrs = 0.16 // Multiplier coefficient Atr m = 2.1//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 = 0.5 ENDIF IF Protec>0 AND n>Protec THEN n=Protec ENDIF //**************************************Indicator************************************** a1 = exp (-1.414 * 3.14159 / 10) b1 = 2 * a1 * cos (1.414 * 3.14159 / 10) c2 = b1 c3 = -a1 * a1 c1 = 1 - c2 - c3 if barindex=0 then Filt = c1 * (Close) / 2 elsif barindex=1 then Filt = c1 * (Close + Close[1]) / 2 + c2 * Filt[1] elsif barindex > 1 then Filt = c1 * (Close + Close[1]) / 2 + c2 * Filt[1] + c3 * Filt[2] endif closep=TotalPrice a1 = exp (-1.414 * 3.14159 / 10) b1 = 2 * a1 * cos (1.414 * 3.14159 / 10) c2 = b1 c3 = -a1 * a1 c1 = 1 - c2 - c3 if barindex=0 then Filtp = c1 * (closep) / 2 elsif barindex=1 then Filtp = c1 * (Closep + Closep[1]) / 2 + c2 * Filtp[1] elsif barindex > 1 then Filtp = c1 * (Closep + Closep[1]) / 2 + c2 * Filtp[1] + c3 * Filtp[2] endif Roofing =(Filt-Filtp) Atr = AverageTrueRange[14](close) x = average[Avg,3](Typicalprice) 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 ELSIF Roofing crosses under Roofing [1] 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 elsif Roofing crosses over Roofing [1] 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<-CapitalIni*(CapitalRisk/100) THEN QUIT ENDIF //GRAPH OrderSizeHi Roberto, I reactivated PRT in Reale, this is the test on 200,000 bars, spread 1 pip. The overall DD is 27% and it is normal that in the end there is a value of 55,000 as proportionate to the contracts. Try disabling Reinvestment and Martingale. If there are errors, could you kindly highlight them? Thank you Greetings
Hi Coscar and Roberto,
it seems that most profits are made in the day or in max 2 or 3 days. And the biggest losses in 3 to 6 days. So should not we close after 48h max?
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/18/2018 |
| Status: | Active |
| Attachments: | 22 files |
