Strategy MAEX – experiment with MFE & MAE

Paul · 2020-10-26T18:13:35+00:00

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.

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02/04/2021 at 4:51 PM #160363 quote

Paul
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Master

sorry Tanou still working on it, maybe later. But the strategy posted above is still running.

@nonetheless the 10s code doesn’t use mtf (to slow to backtest 1m) but if it did you’re right to bring upper tf down. I wonder btw. if you don’t calculate the indicators ie. longonly when in position, would it speed up optimising? Will give it a test.

02/04/2021 at 6:39 PM #160382 quote

nonetheless
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Master

Ah sorry, so the 10s is something else. I thought you meant the code posted at #160203

02/08/2021 at 12:49 PM #160676 quote

Paul
Participant

Master

here’s the long file 10s.

Couldn’t find good values but I just put it up for testing. It got lucky so far.

DJ-10s-MAEX-p2step3l.itf Screenshot-2021-02-08-at-12.45.23.jpg

02/08/2021 at 5:01 PM #160711 quote

Tanou
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Senior

@Paul, have you tested it on 1M candles to check…? The curve is not very linear…!

02/08/2021 at 6:25 PM #160723 quote

Paul
Participant

Master

here’s a pic of 1M of both Long & Short.

So the values for long are just not good, but it worked because the market went up.

The values for short were better based on the backtest, but if the market goes straight up it fails. Both were just a test, setup on a fast timeframe to create many trades.

Here’s the short version too.

LaurentBZH35 thanked this post

Screenshot-2021-02-08-at-18.18.30.jpg Screenshot-2021-02-08-at-18.22.49.jpg DJ-10s-MAEX-p2step3s.itf

02/16/2021 at 9:02 AM #161598 quote

Paul
Participant

Master

both strategies were running good, no errors for 14 days.

02/23/2021 at 8:16 PM #162479 quote

LaurentBZH35
Participant

Average

Well !!!

What about now ?

Thanks

06/30/2023 at 5:12 PM #217093 quote

Meta Signals Pro
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Veteran

Hi,

Here is the backtest I get today;
Has anybody worked on this concept?

DOW-10-secondes.png
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