Strategy MAEX – experiment with MFE & MAE

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11/16/2020 at 11:24 AM #150636 quote

GraHal
Participant

Master

Paul your DJ-3m-Maex-v3.itf gives loads better equity curve on 1 min TF.

Thank You for sharing.

Paul thanked this post

11/16/2020 at 4:59 PM #150670 quote

Paul
Participant

Master

nice work Nonetheless! It’s very difficult to find good oos results. Also I like the size of the stoploss in comparison to the ts atr values used and the way you used the breakeven. It’s rewarding to see in the first day with a positive result!

v3 is not as refined but the intend was to swap indicators in/out and compare the two methods. I will work on it a bit more.

nonetheless thanked this post

11/16/2020 at 5:55 PM #150672 quote

Paul
Participant

Master

@nonetheless I included your setup in a clean v3 and results are interesting!

Didn’t optimise, it’s also setup for short & long

long & short together have improvement and doesn’t break the strategy which is often the case when optimised for long only!

long only & close on short signal improve equitycurve shape, drawdawn and average losses.

Now I will review how to speed up the code in calculation.

Sharing works because without sharing I doubt very much if I would ‘ve got such results!

swedshare, nonetheless, eckaw and LaurentBZH35 thanked this post

Screenshot-2020-11-16-at-17.42.24-scaled.jpg Screenshot-2020-11-16-at-17.44.01.jpg DJ-3m-Maex-v3-n1.itf

11/16/2020 at 6:57 PM #150683 quote

nonetheless
Participant

Master

Well yes, it is interesting, partly because in 6 months there is precisely 0 short trades … which can’t be right. (kind of explains why the 2 histograms you posted are almost identical!)

I think it might be the vectorial ??

DJ-1m-Maex-v3-n1.jpg

11/16/2020 at 6:57 PM #150685 quote

ullle73
Participant

Senior

when i change positionsize to 0.2, results sucks, why?

11/16/2020 at 7:27 PM #150689 quote

nonetheless
Participant

Master

ullle73 wrote:

when i change positionsize to 0.2

seems ok to me. which version are you running?

11/16/2020 at 7:39 PM #150690 quote

Paul
Participant

Master

nonetheless, tradetype is set to 2 for long only?

closeonreversal is to close a long position if a short signal for entry appears, to close only but not to enter short.

There are a few other things, forgot to include mm, change the name to 1m etc.

0.2 seems fine with me too, on a 1m chart.

nonetheless thanked this post

11/16/2020 at 7:55 PM #150691 quote

nonetheless
Participant

Master

Paul wrote:

tradetype is set to 2 for long only?

Yes – sorry! my bad, didn’t notice you had added a long/short selector 🙄

11/16/2020 at 11:25 PM #150714 quote

ullle73
Participant

Senior

Pauls version DJ-3m-Maex-v3-n1, changes from 70% hitrate and 3 G/L to 30% hitrate and 0.3 G/L ratio

11/16/2020 at 11:29 PM #150715 quote

nonetheless
Participant

Master

here’s a refurb of the v3 Long/Short – looking good, at least for those 6 months! (2 oos)

Thanks for your great work on this, Paul.

One problem though is that it doesn’t seem to work with MM – not with my code or with another that I tried – completely peculiar results with either. Obviously some conflict but I can’t see what it is. Any idea?

Paul and LaurentBZH35 thanked this post

DJ-1m-Maex-v3.5.jpg DJ-1m-Maex-v3.5.itf

11/16/2020 at 11:30 PM #150718 quote

nonetheless
Participant

Master

ullle73 wrote:

changes from 70% hitrate and 3 G/L to 30% hitrate and 0.3 G/L ratio

check the CTime setting, you’re prob running on UK time

11/16/2020 at 11:35 PM #150719 quote

ullle73
Participant

Senior

no, all i do is change positionssize in line 15 to 0.2, tested with both ct time settings. Both works good with 1 contract as size, but 0.2 makes the system lose. You versions works when changing positionsize, but not pauls…

11/17/2020 at 12:11 AM #150721 quote

ullle73
Participant

Senior

same with your latest version as well nonetheless. All i changed in these two is line 6, from 1 to 0.2

nonetheless.jpg

11/17/2020 at 12:20 AM #150725 quote

nonetheless
Participant

Master

ullle73 wrote:

same with your latest version as well

ok, now I’m getting that as well, only just noticed. Probably connected to why the MM won’t work. I’ll have another look at it tomorrow…

ullle73 thanked this post

11/17/2020 at 12:50 AM #150726 quote
Paul
Participant

Master
nonetheless wrote:

Obviously some conflict but I can’t see what it is. Any idea?

Yes, countpos is not compatible with mm. Delete the part what defines the stoploss & profittarget and the row countpos=..

then replace the entrylines with this. (it only adds the set orders after each buy/sellshort command)
```
// entry
if ctime then
if tradetype=1 or tradetype=2 then
if condbuy and (not longonmarket or shortonmarket) then
buy positionsize contract at market
set stop %loss sll
set target %profit ptl
endif
if condbuy and longonmarket then
if reenter=1 then
positionperformance=0
elsif reenter=2 then
positionperformance=1
elsif reenter=3 then
positionperformance=positionperf(0)<0
elsif reenter=4 then
positionperformance=positionperf(0)>0
endif
if positionperformance then
buy positionsize contract at market
set stop %loss sll
set target %profit ptl
endif
endif
endif
if closeonreversal and tradetype=2 and condsell then
sell at market
endif

if tradetype=1 or tradetype=3 then
if condsell and (not shortonmarket or longonmarket) then
sellshort positionsize contract at market
set stop %loss sls
set target %profit pts
endif
if condsell and shortonmarket then
if reenter=1 then
positionperformance=0
elsif reenter=2 then
positionperformance=1
elsif reenter=3 then
positionperformance=positionperf(0)<0
elsif reenter=4 then
positionperformance=positionperf(0)>0
endif
if positionperformance then
sellshort positionsize contract at market
set stop %loss sls
set target %profit pts
endif
endif
if closeonreversal and tradetype=3 and condbuy then
exitshort at market
endif
endif
else
if condbuy then
//exitshort at market
endif
if condsell then
//sell at market
endif
endif
```
Screenshot-2020-11-17-at-00.47.39.jpg
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