Strategy HSI-M1-ReverseAngleLong

• 05/27/2020 at 7:25 PM #133495
  Dow Jones

  Hi everyone,

  Here is a new strategy on Hang Seng 1 min TF. It measures the angle of the slope and looking for a V-slope. As unit of price and bar is not the same, thus replaced the bar with ATR (with higher period) to have in relative price to price comparison.

  Looking forward for your suggestion and ideas of improvement.

  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 2000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM = 1 then once maxSize = 2 once minSize = 1 once startingsize = 1 once stepsize = 0.5 once resetafterlost = 0 once doublestepdown = 0 once resetafterstrikewin = 2 once positionsize = startingsize once wincount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)>0 then if positionsize < maxSize then positionsize = positionsize + stepsize endif wincount = wincount + 1 if wincount >= resetafterstrikewin then positionsize = startingsize wincount = 0 endif else if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif endif if positionsize < minSize then positionsize = minSize endif ENDIF timedaytrade = (time > 093100 + waitmin) AND (time < 120000) OR (time > 130000 + waitmin AND time < 155500) timeok = timedaytrade //====== Enter market - start ===== samebarsignal = 0 M1atrAB = AverageTrueRange[periodA + periodB](close) //Look for V shape adjacentA = (close - close[periodA]) / M1atrAB angelA = atan(adjacentA) adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB) C1 = angelB < longB AND angelA > longA // LONG side IF timeok AND Not OnMarket AND C1 AND samebarsignal = 0 THEN BUY positionsize CONTRACT AT MARKET SET STOP pLOSS SL TP = RR * SL SET TARGET pPROFIT TP samebarsignal = 1 ENDIF //====== Enter market - end ===== //====== Exit market - start ===== IF NOT ONMARKET THEN ENDIF //====== Exit market - end =====

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  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 2000   //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM = 1 then once maxSize = 2 once minSize = 1 once startingsize = 1 once stepsize = 0.5 once resetafterlost = 0 once doublestepdown = 0 once resetafterstrikewin = 2 once positionsize = startingsize once wincount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)>0 then if positionsize < maxSize then positionsize = positionsize + stepsize endif wincount = wincount + 1 if wincount >= resetafterstrikewin then positionsize = startingsize wincount = 0 endif else if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif endif   if positionsize < minSize then positionsize = minSize endif ENDIF   timedaytrade = (time > 093100 + waitmin) AND (time < 120000) OR (time > 130000 + waitmin AND time < 155500) timeok = timedaytrade   //====== Enter market - start =====   samebarsignal = 0     M1atrAB = AverageTrueRange[periodA  + periodB](close) //Look for V shape adjacentA = (close - close[periodA]) / M1atrAB angelA = atan(adjacentA) adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB)     C1 = angelB < longB AND angelA > longA   //  LONG  side IF timeok AND Not OnMarket AND C1 AND samebarsignal = 0 THEN BUY positionsize CONTRACT AT MARKET SET STOP   pLOSS   SL TP = RR * SL SET TARGET pPROFIT TP samebarsignal = 1   ENDIF       //====== Enter market - end =====   //====== Exit market - start =====   IF NOT ONMARKET THEN   ENDIF     //====== Exit market - end =====

   

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  GraHal, bertrandpinoy, MAKSIDE, Nicolas

  

  Dow Jones

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  05/28/2020 at 10:15 AM #133580
  MAKSIDE

  Hi,

  Can you try to backtest this strategy with a breakeven and maybe a filter on M5

  With 200k, i get 100%.

  for example

  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 2000 //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM = 1 then once maxSize = 2 once minSize = 1 once startingsize = 1 once stepsize = 0.5 once resetafterlost = 0 once doublestepdown = 0 once resetafterstrikewin = 2 once positionsize = startingsize once wincount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)>0 then if positionsize < maxSize then positionsize = positionsize + stepsize endif wincount = wincount + 1 if wincount >= resetafterstrikewin then positionsize = startingsize wincount = 0 endif else if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif endif if positionsize < minSize then positionsize = minSize endif ENDIF timedaytrade = (time > 093100 + waitmin) AND (time < 120000) OR (time > 130000 + waitmin AND time < 155500) timeok = timedaytrade timeframe(5minutes,updateonclose) st = close > supertrend[5,4] timeframe(default) //====== Enter market - start ===== samebarsignal = 0 M1atrAB = AverageTrueRange[periodA + periodB](close) //Look for V shape adjacentA = (close - close[periodA]) / M1atrAB angelA = atan(adjacentA) adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB) C1 = angelB < longB AND angelA > longA // LONG side IF timeok AND Not OnMarket AND C1 AND samebarsignal = 0 and st THEN BUY positionsize CONTRACT AT MARKET SET STOP pLOSS SL TP = RR * SL SET TARGET pPROFIT TP samebarsignal = 1 ENDIF //====== Enter market - end ===== //====== Exit market - start ===== IF NOT ONMARKET THEN ENDIF //====== Exit market - end ===== // breakeven stop atr once breakevenstoptype = 1 // breakeven stop - 0 off, 1 on once breakevenstoplong = 1 // breakeven stop atr relative distance once breakevenstopshort = 1 // breakeven stop atr relative distance once pointstokeep = 5 // positive or negative once atrperiodbreakeven = 14 // atr parameter value once minstopbreakeven = 36 // minimum breakeven stop distance //---------------------------------------------- atrbreakeven = averagetruerange[atrperiodbreakeven]((close/10)*pipsize)/1000 //atrbreakeven=averagetruerange[atrperiodbreakeven]((close/1)*pipsize) // (forex) bestopl = round(atrbreakeven*breakevenstoplong) bestops = round(atrbreakeven*breakevenstopshort) if breakevenstoptype = 1 then // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxpricebe = 0 minpricebe = close newslbe = 0 endif // if longonmarket then maxpricebe = max(maxpricebe,close) if maxpricebe-tradeprice(1)>=bestopl*pointsize then if maxpricebe-tradeprice(1)>=minstopbreakeven then newslbe=tradeprice(1)+pointstokeep*pipsize else newslbe=tradeprice(1)- minstopbreakeven*pointsize endif endif endif // if shortonmarket then minpricebe = min(minpricebe,close) if tradeprice(1)-minpricebe>=bestops*pointsize then if tradeprice(1)-minpricebe>=minstopbreakeven then newslbe = tradeprice(1)-pointstokeep*pipsize else newslbe = tradeprice(1) + minstopbreakeven*pointsize endif endif endif // if longonmarket then if newslbe>0 then sell at newslbe stop endif if newslbe>0 then if low < newslbe then sell at market endif endif endif // if shortonmarket then if newslbe>0 then exitshort at newslbe stop endif if newslbe>0 then if high > newslbe then exitshort at market endif endif endif endif

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  DEFPARAM CumulateOrders = false DEFPARAM PRELOADBARS = 2000   //Money Management MM = 0 // = 0 for optimization if MM = 0 then positionsize = 1 ENDIF if MM = 1 then once maxSize = 2 once minSize = 1 once startingsize = 1 once stepsize = 0.5 once resetafterlost = 0 once doublestepdown = 0 once resetafterstrikewin = 2 once positionsize = startingsize once wincount = 0 if strategyprofit <> strategyprofit[1] then if positionperf(1)>0 then if positionsize < maxSize then positionsize = positionsize + stepsize endif wincount = wincount + 1 if wincount >= resetafterstrikewin then positionsize = startingsize wincount = 0 endif else if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif endif   if positionsize < minSize then positionsize = minSize endif ENDIF   timedaytrade = (time > 093100 + waitmin) AND (time < 120000) OR (time > 130000 + waitmin AND time < 155500) timeok = timedaytrade   timeframe(5minutes,updateonclose)   st = close > supertrend[5,4] timeframe(default) //====== Enter market - start =====   samebarsignal = 0     M1atrAB = AverageTrueRange[periodA  + periodB](close) //Look for V shape adjacentA = (close - close[periodA]) / M1atrAB angelA = atan(adjacentA) adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB)     C1 = angelB < longB AND angelA > longA   //  LONG  side IF timeok AND Not OnMarket AND C1 AND samebarsignal = 0 and st THEN BUY positionsize CONTRACT AT MARKET SET STOP   pLOSS   SL TP = RR * SL SET TARGET pPROFIT TP samebarsignal = 1   ENDIF       //====== Enter market - end =====   //====== Exit market - start =====   IF NOT ONMARKET THEN   ENDIF     //====== Exit market - end ===== // breakeven stop atr once breakevenstoptype     = 1   // breakeven stop - 0 off, 1 on once breakevenstoplong     = 1    // breakeven stop atr relative distance once breakevenstopshort    = 1    // breakeven stop atr relative distance once pointstokeep          = 5    // positive or negative once atrperiodbreakeven    = 14   // atr parameter value once minstopbreakeven      = 36  // minimum breakeven stop distance //---------------------------------------------- atrbreakeven = averagetruerange[atrperiodbreakeven]((close/10)*pipsize)/1000 //atrbreakeven=averagetruerange[atrperiodbreakeven]((close/1)*pipsize) // (forex) bestopl = round(atrbreakeven*breakevenstoplong) bestops = round(atrbreakeven*breakevenstopshort) if breakevenstoptype = 1 then // if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxpricebe = 0 minpricebe = close newslbe = 0 endif // if longonmarket then maxpricebe = max(maxpricebe,close) if maxpricebe-tradeprice(1)>=bestopl*pointsize then if maxpricebe-tradeprice(1)>=minstopbreakeven then newslbe=tradeprice(1)+pointstokeep*pipsize else newslbe=tradeprice(1)- minstopbreakeven*pointsize endif endif endif // if shortonmarket then minpricebe = min(minpricebe,close) if tradeprice(1)-minpricebe>=bestops*pointsize then if tradeprice(1)-minpricebe>=minstopbreakeven then newslbe = tradeprice(1)-pointstokeep*pipsize else newslbe = tradeprice(1) + minstopbreakeven*pointsize endif endif endif // if longonmarket then if newslbe>0 then sell at newslbe stop endif if newslbe>0 then if low < newslbe then sell at market endif endif endif // if shortonmarket then if newslbe>0 then exitshort at newslbe stop endif if newslbe>0 then if high > newslbe then exitshort at market endif endif endif endif

   

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  MAKSIDE

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  05/28/2020 at 3:13 PM #133623
  Dow Jones

  Thanks @MAKSIDE for the idea.

  For the 100% result, I guess you mean win rate? Not sure why, but I don’t get the same result with the parameters I set in the .itf.

  If re-optimize the parameters, I have some combination giving 100% win rate, but the trade number is way too low <5. Do you observe the same?

  If possible, can you please share the .itf?

  

  Dow Jones

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  05/28/2020 at 3:45 PM #133627
  MAKSIDE

  Sure..

  i removed supertrend.

  pls find

   

   

  

  MAKSIDE

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  05/30/2020 at 4:51 PM #133910
  Dow Jones

  Thanks. It seems the trades are too little. I’m not expert, but personally, I felt the number of trade is too little to justify the consistency thus I will not have confident. But just me…

  

  Dow Jones

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  06/01/2020 at 8:57 AM #134018
  bertrandpinoy

  hello how did you define x and y to make the code work?
  I don’t see an optimization report to help with the decision ..? Thank you Best regards.

  

  bertrandpinoy

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  06/01/2020 at 12:55 PM #134051
  zilliq

  Hi DowJones

  Thanks for your work

  Something I dn’t understand is the ATR instead of a number of bars ?

  adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB)

  1 2	adjacentB = (close[periodA] - close[periodA + periodB]) / M1atrAB[periodA] angelB = atan(adjacentB)

  Because to calculate Arctangente you need the opposite side : (close[periodA] – close[periodA + periodB] Thant’s ok

  But M1atrAB[periodA] is not the adajacent side ?

  I understand your explannations but don’t think it will be the same

  Cheers

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  Dow Jones

  

  zilliq

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  06/01/2020 at 9:00 PM #134105
  zilliq

  And I don’t understand this part of your code

  if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif

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  if resetafterlost then positionsize = startingsize elsif doublestepdown then positionsize = positionsize - stepsize * 2 else positionsize = positionsize - stepsize endif wincount = 0 endif

  Because I think you decrement position size when position perf is negative but resetafterlost is always at 0 and doublestepdown too.

  Does something mis as a count on loss trades ?

  Thanks

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  Dow Jones

  

  zilliq

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  06/02/2020 at 12:56 PM #134210
  Dow Jones

  zilliq wrote:

  I understand your explannations but don’t think it will be the same

  Hi @zilliq, indeed. I understand your concern. Using ATR is just taking the reference where x bar in average moved by y point (range). Rather than taking directly the bar, because the bar unit is totally not relevant with point unit. For sure both analogy is still not the same like measuring with ruler with centimeter, but at least using bar vs point are less relevant, e.g. from 5 bars, it moves from 21000 to 21150, so taking arctan of 5 and 150 vs from 5 bars, ATR is 50, it moves from 21000 to 21150, so taking arctan of 50 and 150

  zilliq wrote:

  but resetafterlost is always at 0 and doublestepdown too

  From GRAPH, right? Because I never activate it (line 5) 🙂 I left it like a template and forget to remove it.

  MM = 0 // = 0 for optimization

  1	MM = 0 // = 0 for optimization

   

  

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  06/02/2020 at 3:15 PM #134230
  zilliq

  Thanks for you answer Dowjones. I understand for ATR, it’s a different point of view

  For the second part, sorry for my bad explanations

  I said that resetafterlost is always at 0 so the condition is always at ON (instead to be at 0 some times and if positionsperf(1)<0 to be at 1 for example) and same for doublestepdown. So how can the code understand wich choice to use ?

  Hope to be clear

  

  zilliq

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  06/04/2020 at 1:37 PM #134555
  Dow Jones

  zilliq wrote:

  So how can the code understand wich choice to use ?

  Ah, sorry for misunderstanding. These are actually configuration parameter, to be chosen accordingly which is preferred.

  once maxSize = 2

  once minSize = 1

  once startingsize = 1

  once stepsize = 0.5

  once resetafterlost = 0

  once doublestepdown = 0

  once resetafterstrikewin = 2

  Whether you prefer to reset the lot back to startingsize once hit a single loss trade, or you prefer to doublestepdown. It is choice need to be made.

  So if you choose resetafterlost, then doublestepdown will not be applicable even if you set it to 1. By default, all are set to 0, so once there is a loss trade, the lot size will be reduced by sizestep

  

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  06/04/2020 at 10:08 PM #134604
  zilliq

  Understand, Thanks

  I thought it depends of the configuration of the code

  have a nice evening

  

  zilliq

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