Strategy MAEX – experiment with MFE & MAE

Paul · Mon, 26 Oct 2020 18:13:35 +0000

This strategy Maex (Maximum Excursion) tries to find a good opportunity to buy the lows. So I experimented with MFE & MAE. I ‘ve some doubt if it’s programmed right, but it gives interesting results. The algo is based on the dow 1 minute, no position overnight and a stoploss of 0.5%. As basis, I wanted to minimise the optimisation of parameters sl/pt/ts/be and all are based in a rough ratio on the stoploss (except the atr trailingstop). The goal is to improve on this preferably without changing the ratio’s but through new methods which could replace the current one or add to it.

This topic has 82 replies, 14 voices, and was last updated 9 months ago by Meta Signals Pro.

Tagged: mae, MFE

Viewing 15 posts - 61 through 75 (of 83 total)

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01/19/2021 at 8:48 PM #158575

Tanou

The Endif at the bottom of wich section? sorry Nonetheless but I try to understand the code…!

Tanou

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01/19/2021 at 9:05 PM #158576

nonetheless

// mfe & mae
count = 0
For zz = 1 to 5 do
IF range[zz]=0 THEN
count= 1
ENDIF
next
 
if count=0 then
n = 4
nn= 1

if method=1 then

maerec=0
mferec=0

for i=1 to n
maerec=maerec+(high[i]-open[i])
mferec=mferec+(open[i]-low[i])
next

for j=1 to nn
maerec=maerec+(open[j]-low[j])
mferec=mferec+(high[j]-open[j])
next

averecentmael=close-(maerec/nn)
averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)
averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2
avgs=(averecentmaes+averecentmfes)/2

elsif method=2 then
maerec=0
mferec=0
maerec2=0
mferec2=0

for i=1 to n
maerec=maerec+(high[i]-open[i])
mferec=mferec+(open[i]-low[i])
next

for j=1 to nn
maerec2=maerec2+(open[j]-low[j])
mferec2=mferec2+(high[j]-open[j])
next

averecentmael=close-(maerec2/nn)
averecentmfel=close+(mferec2/nn)

averecentmaes=close+(maerec/n)
averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)
avgs=(averecentmaes+averecentmfes)
endif

avgmfemaes=average[25](avgs)
avgmfemael=average[25](avgl)

if vectorial then
periodea      = 8
nbchandeliera = 3
mma = average[periodea,1](totalprice)
adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera
angle = (atan(adjasuroppo))

cb1 = angle < 0
cs1 = angle > 0
else
cb1=1
cs1=1
endif
ENDIF

// mfe & mae

count = 0

For zz = 1 to 5 do

IF range[zz]=0 THEN

count= 1

ENDIF

if count=0 then

n = 4

nn= 1

if method=1 then

maerec=0

mferec=0

for i=1 to n

maerec=maerec+(high[i]-open[i])

mferec=mferec+(open[i]-low[i])

for j=1 to nn

maerec=maerec+(open[j]-low[j])

mferec=mferec+(high[j]-open[j])

averecentmael=close-(maerec/nn)

averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)

averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2

avgs=(averecentmaes+averecentmfes)/2

elsif method=2 then

maerec=0

mferec=0

maerec2=0

mferec2=0

for i=1 to n

maerec=maerec+(high[i]-open[i])

mferec=mferec+(open[i]-low[i])

for j=1 to nn

maerec2=maerec2+(open[j]-low[j])

mferec2=mferec2+(high[j]-open[j])

averecentmael=close-(maerec2/nn)

averecentmfel=close+(mferec2/nn)

averecentmaes=close+(maerec/n)

averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)

avgs=(averecentmaes+averecentmfes)

endif

avgmfemaes=average[25](avgs)

avgmfemael=average[25](avgl)

if vectorial then

periodea = 8

nbchandeliera = 3

mma = average[periodea,1](totalprice)

adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera

angle = (atan(adjasuroppo))

cb1 = angle < 0

cs1 = angle > 0

else

cb1=1

cs1=1

endif

ENDIF

nonetheless

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01/20/2021 at 10:30 AM #158637

nonetheless

stopped again … zero parameter. I’m losing the will to live.

nonetheless

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01/20/2021 at 3:16 PM #158690

Paul

I get your frustration. Created a stripped down version, one last attempt.

One thing also I spotted, which doesn’t change results, and most likely will not be the cause, but there were 2 rows which were not written correct. The combination and & or at the condsell/condbuy area. It was missing ().

Anyway you could test this and then call it a day.

defparam cumulateorders = false
defparam preloadbars    = 2000

once sll = 1.2 // stoploss long
once sls = 0.6 // stoploss short

once ptl = 1.2 // profit target long
once pts = 1.9 // profit target short

TIMEFRAME(15 minutes)
count1 = 0
For zz1 = 1 to 7 do
IF range[zz1]=0 THEN
count1= 1
ENDIF
next
if count1=0 then
indicator1 = SuperTrend[2,6]
indicator1a = SAR[0.005,0.005,0.01]
cnd1 = (close > indicator1) or (close > indicator1a)
cnd2 = (close < indicator1) or (close < indicator1a)
endif

TIMEFRAME(5 minutes)
count2 = 0
For zz2 = 1 to 11 do
IF range[zz2]=0 THEN
count2= 1
ENDIF
next
if count2=0 then
//Stochastic RSI | indicator
lengthRSIa = 10 //RSI period
lengthStocha = 10 //Stochastic period
smoothKa = 4 //Smooth signal of stochastic RSI
smoothDa = 2 //Smooth signal of smoothed stochastic RSI
myRSIa = RSI[lengthRSIa](close)
MinRSIa = lowest[lengthStocha](myrsia)
MaxRSIa = highest[lengthStocha](myrsia)
if (MaxRSIa-MinRSIa)<>0 then
StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa)
else
StochRSIa=StochRSIa[1]
endif
K2a = average[smoothKa](stochrsia)*100
D2a = average[smoothDa](K2a)
cnd3 = K2a>D2a
cnd4 = K2a<D2a
endif

TIMEFRAME(default)
// mfe & mae
count3 = 0
For zz3 = 1 to 26 do
IF range[zz3]=0 THEN
count3= 1
ENDIF
next
if count3=0 then
n = 4
nn= 1


maerec=0.01
mferec=0.01

for i=1 to n
maerec=maerec+(high[i]-open[i])
mferec=mferec+(open[i]-low[i])
next

for j=1 to nn
maerec=maerec+(open[j]-low[j])
mferec=mferec+(high[j]-open[j])
next

averecentmael=close-(maerec/nn)
averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)
averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2
avgs=(averecentmaes+averecentmfes)/2

avgmfemaes=average[25](avgs)
avgmfemael=average[25](avgl)

periodea      = 8
nbchandeliera = 3
mma = average[periodea,1](totalprice)
adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera
angle = (atan(adjasuroppo))

cb1 = angle < 0
cs1 = angle > 0

cb2=close>totalprice
cs2=close<totalprice

// conditions
condbuy = avgmfemael crosses over avgmfemaes
condbuy = condbuy and cb1 and cnd1 and cnd3
condbuy = condbuy and ((high>high[1] or close>open or low>low[1]))
condbuy=condbuy and cb2 and cb2>cb2[1]

condsell = avgmfemael crosses under avgmfemaes
condsell = condsell and cs1 and cnd2 and cnd4
condsell = condsell and ((high<high[1] or close<open or low<low[1]))
condsell = condsell and cs2 and cs2>cs2[1]

// entry
if condbuy then
buy 1 contract at market
set stop %loss sll
set target %profit ptl
endif
if condsell then
sellshort 1 contract at market
set stop %loss sls
set target %profit pts
endif
endif

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defparam cumulateorders = false

defparam preloadbars = 2000

once sll = 1.2 // stoploss long

once sls = 0.6 // stoploss short

once ptl = 1.2 // profit target long

once pts = 1.9 // profit target short

TIMEFRAME(15 minutes)

count1 = 0

For zz1 = 1 to 7 do

IF range[zz1]=0 THEN

count1= 1

ENDIF

if count1=0 then

indicator1 = SuperTrend[2,6]

indicator1a = SAR[0.005,0.005,0.01]

cnd1 = (close > indicator1) or (close > indicator1a)

cnd2 = (close < indicator1) or (close < indicator1a)

endif

TIMEFRAME(5 minutes)

count2 = 0

For zz2 = 1 to 11 do

IF range[zz2]=0 THEN

count2= 1

ENDIF

if count2=0 then

//Stochastic RSI | indicator

lengthRSIa = 10 //RSI period

lengthStocha = 10 //Stochastic period

smoothKa = 4 //Smooth signal of stochastic RSI

smoothDa = 2 //Smooth signal of smoothed stochastic RSI

myRSIa = RSI[lengthRSIa](close)

MinRSIa = lowest[lengthStocha](myrsia)

MaxRSIa = highest[lengthStocha](myrsia)

if (MaxRSIa-MinRSIa)<>0 then

StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa)

else

StochRSIa=StochRSIa[1]

endif

K2a = average[smoothKa](stochrsia)*100

D2a = average[smoothDa](K2a)

cnd3 = K2a>D2a

cnd4 = K2a<D2a

endif

TIMEFRAME(default)

// mfe & mae

count3 = 0

For zz3 = 1 to 26 do

IF range[zz3]=0 THEN

count3= 1

ENDIF

if count3=0 then

n = 4

nn= 1

maerec=0.01

mferec=0.01

for i=1 to n

maerec=maerec+(high[i]-open[i])

mferec=mferec+(open[i]-low[i])

for j=1 to nn

maerec=maerec+(open[j]-low[j])

mferec=mferec+(high[j]-open[j])

averecentmael=close-(maerec/nn)

averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)

averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2

avgs=(averecentmaes+averecentmfes)/2

avgmfemaes=average[25](avgs)

avgmfemael=average[25](avgl)

periodea = 8

nbchandeliera = 3

mma = average[periodea,1](totalprice)

adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera

angle = (atan(adjasuroppo))

cb1 = angle < 0

cs1 = angle > 0

cb2=close>totalprice

cs2=close<totalprice

// conditions

condbuy = avgmfemael crosses over avgmfemaes

condbuy = condbuy and cb1 and cnd1 and cnd3

condbuy = condbuy and ((high>high[1] or close>open or low>low[1]))

condbuy=condbuy and cb2 and cb2>cb2[1]

condsell = avgmfemael crosses under avgmfemaes

condsell = condsell and cs1 and cnd2 and cnd4

condsell = condsell and ((high<high[1] or close<open or low<low[1]))

condsell = condsell and cs2 and cs2>cs2[1]

// entry

if condbuy then

buy 1 contract at market

set stop %loss sll

set target %profit ptl

endif

if condsell then

sellshort 1 contract at market

set stop %loss sls

set target %profit pts

endif

Paul

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Been thanked: 660 times

01/20/2021 at 4:53 PM #158704

nonetheless

hey, thanks Paul – gotta be worth a try. You think it’s better to test it without the trail?

nonetheless

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01/20/2021 at 5:04 PM #158707

Paul

I just wanted it to be light and that it opens a position. The exit criteria are not important but have no influence I think about this error. So you could add that.

The code above I’ve put in demo and will let you know if it fails or not.

1 user thanked author for this post.

nonetheless

Paul

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01/25/2021 at 9:30 AM #159334

Johann

Hi nonetheless,

Thank you for your code. Just a small suggestion to the //EXIT ZOMBIE TRADE. It helps with both the long and short avg profit/loss figures. The overall result remains more or less the same but the risk are less. The 150 represents the max profit and loss the system takes on the backtest so the logic is that if you do not get to those figures in a reasonable amount of time you might as well cover the position. We all know that small timeframes can change quickly.

//EXIT ZOMBIE TRADE
IF longonmarket and barindex-tradeindex > 250 and close-positionprice<150 then
sell at market
endif
IF shortonmarket and barindex-tradeindex > 350 and positionprice-close<150 then
exitshort at market
endif

//EXIT ZOMBIE TRADE

IF longonmarket and barindex-tradeindex > 250 and close-positionprice<150 then

sell at market

endif

IF shortonmarket and barindex-tradeindex > 350 and positionprice-close<150 then

exitshort at market

endif

1 user thanked author for this post.

nonetheless

Johann

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01/29/2021 at 9:12 AM #159765

cgassfr67

@ Paul,

I tested your code, i copy it in @Nonetheless ea.

The EA take an position, and after 1 minute, he closed the position and give an error (the system received a negative parameter or nul )

Here are the itf

I have the same error with DJ1m Maex v4.5 atr

Have a nice day

cgassfr67

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01/29/2021 at 2:10 PM #159836

Paul

Thnx for testing cgassfr67. There was never had a proper solution for this problem and likely it’s something which just isn’t fixable.

Paul

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02/01/2021 at 9:59 AM #160022

Tanou

So we can’t use this strategy…?

Tanou

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02/02/2021 at 6:05 PM #160197

Paul

too early to tell, but I tried something new and it’s working so far!… I will post more later.

1 user thanked author for this post.

bertrandpinoy

Paul

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Replies: 812

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02/02/2021 at 8:20 PM #160203

Paul

Still no problems in both strategies. If the error occurs ONLY while in position, then don’t calculate the questionable indicators while in position. This means you can’t reverse on opposite signal, but for long/short only it should work which is fine for me.

Like this below, or include all condbuy/condsell conditions. But with mtf it could be a bitmore tricky. Actually I think it’s perhaps not programmed right below. But it’s also in the test. Anyway this is the idea.

//-------------------------------------------------------------------------
// Hoofd code : test div0
//-------------------------------------------------------------------------
defparam cumulateorders = false
defparam preloadbars    = 2000

once sll = 0.2 // stoploss long
once sls = 0.2 // stoploss short

once ptl = 0.5 // profit target long
once pts = 0.5 // profit target short

TIMEFRAME(15 minutes)
indicator1 = SuperTrend[2,6]
indicator1a = SAR[0.005,0.005,0.01]
cnd1 = (close > indicator1) or (close > indicator1a)
cnd2 = (close < indicator1) or (close < indicator1a)

TIMEFRAME(5 minutes)
//Stochastic RSI | indicator
lengthRSIa = 10 //RSI period
lengthStocha = 10 //Stochastic period
smoothKa = 4 //Smooth signal of stochastic RSI
smoothDa = 2 //Smooth signal of smoothed stochastic RSI
myRSIa = RSI[lengthRSIa](close)
MinRSIa = lowest[lengthStocha](myrsia)
MaxRSIa = highest[lengthStocha](myrsia)
if (MaxRSIa-MinRSIa)<>0 then
StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa)
else
StochRSIa=StochRSIa[1]
endif

K2a = average[smoothKa](stochrsia)*100
D2a = average[smoothDa](K2a)
cnd3 = K2a>D2a
cnd4 = K2a<D2a

TIMEFRAME(default)
// mfe & mae
if not onmarket then
n = 4
nn= 1

maerec=0
mferec=0

for i=1 to n
maerec=maerec+(high[i]-open[i])
mferec=mferec+(open[i]-low[i])
next

for j=1 to nn
maerec=maerec+(open[j]-low[j])
mferec=mferec+(high[j]-open[j])
next

averecentmael=close-(maerec/nn)
averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)
averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2
avgs=(averecentmaes+averecentmfes)/2

avgmfemaes=average[25](avgs)
avgmfemael=average[25](avgl)

periodea      = 8
nbchandeliera = 3
mma = average[periodea,1](totalprice)
adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera
angle = (atan(adjasuroppo))

cb1 = angle < 0
cs1 = angle > 0
else
cb1=0
cs1=0
endif

cb2=close>totalprice
cs2=close<totalprice


// conditions
condbuy = avgmfemael crosses over avgmfemaes
condbuy = condbuy and cb1 and cnd1 and cnd3
condbuy = condbuy and ((high>high[1] or close>open or low>low[1]))
condbuy=condbuy and cb2 and cb2>cb2[1]

condsell = avgmfemael crosses under avgmfemaes
condsell = condsell and cs1 and cnd2 and cnd4
condsell = condsell and ((high<high[1] or close<open or low<low[1]))
condsell = condsell and cs2 and cs2>cs2[1]

// entry
if condbuy then
buy 1 contract at market
set stop %loss sll
set target %profit ptl
endif
if condsell then
sellshort 1 contract at market
set stop %loss sls
set target %profit pts
endif

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//-------------------------------------------------------------------------

// Hoofd code : test div0

//-------------------------------------------------------------------------

defparam cumulateorders = false

defparam preloadbars = 2000

once sll = 0.2 // stoploss long

once sls = 0.2 // stoploss short

once ptl = 0.5 // profit target long

once pts = 0.5 // profit target short

TIMEFRAME(15 minutes)

indicator1 = SuperTrend[2,6]

indicator1a = SAR[0.005,0.005,0.01]

cnd1 = (close > indicator1) or (close > indicator1a)

cnd2 = (close < indicator1) or (close < indicator1a)

TIMEFRAME(5 minutes)

//Stochastic RSI | indicator

lengthRSIa = 10 //RSI period

lengthStocha = 10 //Stochastic period

smoothKa = 4 //Smooth signal of stochastic RSI

smoothDa = 2 //Smooth signal of smoothed stochastic RSI

myRSIa = RSI[lengthRSIa](close)

MinRSIa = lowest[lengthStocha](myrsia)

MaxRSIa = highest[lengthStocha](myrsia)

if (MaxRSIa-MinRSIa)<>0 then

StochRSIa = (myRSIa-MinRSIa) / (MaxRSIa-MinRSIa)

else

StochRSIa=StochRSIa[1]

endif

K2a = average[smoothKa](stochrsia)*100

D2a = average[smoothDa](K2a)

cnd3 = K2a>D2a

cnd4 = K2a<D2a

TIMEFRAME(default)

// mfe & mae

if not onmarket then

n = 4

nn= 1

maerec=0

mferec=0

for i=1 to n

maerec=maerec+(high[i]-open[i])

mferec=mferec+(open[i]-low[i])

for j=1 to nn

maerec=maerec+(open[j]-low[j])

mferec=mferec+(high[j]-open[j])

averecentmael=close-(maerec/nn)

averecentmfel=close+(mferec/nn)

averecentmaes=close+(maerec/n)

averecentmfes=close-(mferec/n)

avgl=(averecentmael+averecentmfel)/2

avgs=(averecentmaes+averecentmfes)/2

avgmfemaes=average[25](avgs)

avgmfemael=average[25](avgl)

periodea = 8

nbchandeliera = 3

mma = average[periodea,1](totalprice)

adjasuroppo = (mma-mma[nbchandeliera]*pipsize) / nbchandeliera

angle = (atan(adjasuroppo))

cb1 = angle < 0

cs1 = angle > 0

else

cb1=0

cs1=0

endif

cb2=close>totalprice

cs2=close<totalprice

// conditions

condbuy = avgmfemael crosses over avgmfemaes

condbuy = condbuy and cb1 and cnd1 and cnd3

condbuy = condbuy and ((high>high[1] or close>open or low>low[1]))

condbuy=condbuy and cb2 and cb2>cb2[1]

condsell = avgmfemael crosses under avgmfemaes

condsell = condsell and cs1 and cnd2 and cnd4

condsell = condsell and ((high<high[1] or close<open or low<low[1]))

condsell = condsell and cs2 and cs2>cs2[1]

// entry

if condbuy then

buy 1 contract at market

set stop %loss sll

set target %profit ptl

endif

if condsell then

sellshort 1 contract at market

set stop %loss sls

set target %profit pts

endif

Paul

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Topics: 40

Replies: 812

Been thanked: 660 times

02/03/2021 at 9:58 AM #160223

nonetheless

I had the stripped down version on test for a while and it worked fine, but as soon as I added the MM and the trail then I kept getting the zero parameter error. That was on 1m.

Have you been testing the above at 10sec?

If so then the upper TFs could probably be brought down to maybe 1m and 5m, but would need re-optimizing. I’ll try it later if i get the time.

nonetheless

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02/03/2021 at 11:33 AM #160238

Tanou

Hello guys!

Have you thought about changing the Money Management? Maybe the problem comes from this…!

Could you try something like:

ONCE factor = 8 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc

1	ONCE factor = 8 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc

Tanou

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02/03/2021 at 1:50 PM #160243

Tanou

@Paul, could you upload your two .itf?

Tanou

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Topics: 18

Replies: 153

Been thanked: 29 times

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