Strategy on S&P500 30min/5min

• 12/30/2022 at 6:38 PM #206545
  stefou102

  If some of you can improve this strategy, please share. Logic is pretty robust normally for markets that can trend. Basically you have some bands (like bollinger, but it’s not) on a higher timeframe, and if your outside the bands, it may mean there is a strong trend and you bet it will continue, while you enter into position on a lower TF.

  DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2 tradetime=time >080000 and time < 215000 and dayofweek<>0 timeframe (30 minute, updateonclose) stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev) c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low Timeframe (5 minute) EMA8=exponentialaverage[8](close) SMA20=average[20](close) c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3 if tradetime then if c1 and c2 and not onmarket then Buy positionsize contracts at market stoplevel=lowest[6](low)-close/500//lowest[5](low)-close/1000 endif if cs1 and cs2 and not onmarket then Sellshort positionsize contracts at market stoplevel=highest[6](high)+close/500//lowest[5](low)-close/1000 endif endif stoplevelactive=1 if longonmarket and stoplevelactive=1 then sell at stoplevel stop endif if shortonmarket and stoplevelactive=1 then exitshort at stoplevel stop endif targetactive=1 if longonmarket and close<low[1] and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at market endif if shortonmarket and close>high[1] and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at market endif //si le trade ne part pas flat=1 if longonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and flat and close<positionprice then sell at positionprice+ministop limit endif //si le trade part pas if shortonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and close>positionprice and flat then exitshort at positionprice-ministop limit endif //vendredi le marché cloture plus tot if dayofweek=5 and longonmarket and time=225500 then sell at market endif if dayofweek=5 and shortonmarket and time=225500 then exitshort at market endif set stop %loss 0.5 set target %profit 1

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  DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2       tradetime=time >080000 and time < 215000 and dayofweek<>0   timeframe (30 minute, updateonclose)   stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev)   c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low     Timeframe (5 minute)   EMA8=exponentialaverage[8](close) SMA20=average[20](close)   c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3   if tradetime then   if c1 and c2 and not onmarket then   Buy positionsize contracts at market stoplevel=lowest[6](low)-close/500//lowest[5](low)-close/1000   endif   if cs1 and cs2 and not onmarket then   Sellshort positionsize contracts at market stoplevel=highest[6](high)+close/500//lowest[5](low)-close/1000   endif endif   stoplevelactive=1 if longonmarket and stoplevelactive=1 then sell at stoplevel stop endif if shortonmarket and stoplevelactive=1 then exitshort at stoplevel stop endif       targetactive=1 if longonmarket and close<low[1] and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at market endif   if shortonmarket and close>high[1] and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at market endif   //si le trade ne part pas flat=1 if longonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and flat and close<positionprice then sell at positionprice+ministop limit endif //si le trade part pas if shortonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and close>positionprice and flat then exitshort at positionprice-ministop limit endif //vendredi le marché cloture plus tot if dayofweek=5 and longonmarket and time=225500 then sell at market endif if dayofweek=5 and shortonmarket and time=225500 then exitshort at market endif   set stop %loss 0.5 set target %profit 1

   

   

  

  stefou102

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  12/30/2022 at 11:32 PM #206561
  Roger

  Watch out, I have backtested your strategy on 1M units (since 2010), see the result attached

  

  Roger

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  01/01/2023 at 2:38 PM #206594
  stefou102

  Thx. I think I still need to add a filter of some sort. Also either the strat is overfitted, which I don’t believe, either it works best when there is lot of uncertainty in the market like in 2022, so maybe the bands parameters should change in function of a measure of this uncertainty, which is maybe not easy to do.

  

  stefou102

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  01/02/2023 at 5:14 PM #206682
  stefou102

  improved version.

  DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2 tradetime=time >153000 and time < 215000 and dayofweek<>0 timeframe (30 minutes, updateonclose) once stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev) c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low Timeframe (5 minute) if month<>month[1]then dmonthly=0 else dmonthly=dmonthly+1 endif If volume >0 then VWAPmonthly = SUMMATION[max(1,dmonthly)](volume*typicalprice)/SUMMATION[max(1,dmonthly)](volume) endif EMA8=exponentialaverage[8](close) SMA20=average[20](close) if day<>day[1] then barVWAP=0 else barVWAP=barVWAP+1 endif if volume>0 then VWAP = SUMMATION[max(1,barVWAP)](volume*typicalprice)/SUMMATION[max(1,barVWAP)](volume) endif c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 and close>VWAPmonthly cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3 and close<VWAPmonthly if tradetime then if c1 and c2 and not onmarket then Buy positionsize contracts at market endif if cs1 and cs2 and not onmarket then Sellshort positionsize contracts at market endif endif targetactive=1 if longonmarket and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at low-ministop*1.5 stop endif if shortonmarket and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at high+ministop*1.5 stop endif if dayofweek=5 and longonmarket and time=225500 then sell at market endif if dayofweek=5 and shortonmarket and time=225500 then exitshort at market endif breakevenactive=1 If not OnMarket then StopLoss = 0 Endif If StopLoss = 0 and OnMarket and breakevenactive then If PositionPerf > 0.004 then If LongOnMarket then StopLoss = PositionPrice // + ministop Else StopLoss = PositionPrice //- ministop Endif Endif Endif If StopLoss > 0 then Sell at StopLoss STOP Exitshort at StopLoss STOP Endif set stop %loss 0.5 set target %profit 1

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  DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2     tradetime=time >153000 and time < 215000 and dayofweek<>0   timeframe (30 minutes, updateonclose)     once stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev)   c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low     Timeframe (5 minute)   if month<>month[1]then dmonthly=0 else dmonthly=dmonthly+1 endif   If volume >0 then   VWAPmonthly = SUMMATION[max(1,dmonthly)](volume*typicalprice)/SUMMATION[max(1,dmonthly)](volume)   endif   EMA8=exponentialaverage[8](close)   SMA20=average[20](close)   if day<>day[1] then barVWAP=0 else barVWAP=barVWAP+1 endif   if volume>0 then VWAP = SUMMATION[max(1,barVWAP)](volume*typicalprice)/SUMMATION[max(1,barVWAP)](volume)     endif   c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 and close>VWAPmonthly cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3 and close<VWAPmonthly       if tradetime then   if c1 and c2 and not onmarket  then   Buy positionsize contracts at market   endif   if cs1 and cs2 and not onmarket then   Sellshort positionsize contracts at market   endif endif         targetactive=1   if longonmarket and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at low-ministop*1.5 stop endif   if shortonmarket and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at high+ministop*1.5 stop endif       if dayofweek=5 and longonmarket and time=225500 then sell at market endif if dayofweek=5 and shortonmarket and time=225500 then exitshort at market endif     breakevenactive=1   If not OnMarket then StopLoss = 0 Endif If StopLoss = 0 and OnMarket and breakevenactive then   If PositionPerf > 0.004 then   If LongOnMarket then StopLoss = PositionPrice // + ministop Else StopLoss = PositionPrice //- ministop Endif Endif Endif If StopLoss > 0 then Sell      at StopLoss STOP Exitshort at StopLoss STOP Endif   set stop %loss 0.5 set target %profit 1

   

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  stefou102

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  01/02/2023 at 6:23 PM #206686
  stefou102

  the strategy working only if there is sufficient vol, adding ATR filter on the 30Min makes sense

  

  stefou102

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  01/05/2023 at 1:43 PM #206828
  fifi743

  I have modified the code,
  how many spread do you need to do the backtest?

  //DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2 tradetime=time >080000 and time < 215000 and dayofweek<>0 timeframe (30 minute, updateonclose) stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev) c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low Timeframe (5 minute) EMA8=exponentialaverage[8](close) SMA20=average[20](close) wil=Williams[40](close) c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3 c3=abs(open[1]-close[1])>1 and not(dhigh(0)=high and high-close<1 and low-ema8>5)and high>close and ema8[1]-sma20[1]<ema8-sma20 cs3=sma20[1]-ema8[1]<sma20-ema8 if tradetime then if c1 and c2 and c3 and not onmarket then Buy positionsize contracts at market stoplevel=lowest[6](low)-close/500//lowest[5](low)-close/1000 endif if cs1 and cs2 and cs3 and not onmarket then // Sellshort positionsize contracts at market stoplevel=highest[6](high)+close/500//lowest[5](low)-close/1000 endif set stop %loss 0.5 set target %profit 1 endif stoplevelactive=0 if longonmarket and stoplevelactive=1 then sell at stoplevel stop endif if shortonmarket and stoplevelactive=1 then exitshort at stoplevel stop endif targetactive=1 if longonmarket and close<low[1] and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at market endif if shortonmarket and close>high[1] and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at market endif //si le trade ne part pas flat=1 if longonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and flat and close<positionprice then sell at positionprice+ministop limit endif //si le trade part pas if shortonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and close>positionprice and flat then exitshort at positionprice-ministop limit endif //vendredi le marché cloture plus tot if dayofweek=5 and longonmarket and time=225500 then //sell at market endif if dayofweek=5 and shortonmarket and time=225500 then //exitshort at market endif if longonmarket and close>tradeprice and open=close and dhigh(0)=high then sell at market endif

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  //DEFPARAM FlatAfter = 235500 DEFPARAM cumulateorders=false DEFPARAM PRELOADBARS = 10000 ONCE positionsize=10 Once ministop=2       tradetime=time >080000 and time < 215000 and dayofweek<>0   timeframe (30 minute, updateonclose)   stdev=1 aa = average[100,1] HBand = aa+average[200](std[100]*stdev) LBand = aa-average[200](std[100]*stdev)   c1=close crosses over Hband and high>high[1] and summation[100](close>Hband)<65 //and summation[10](close>Hband)[1]<xx//and high<highest[4](high)[1] cs1=close crosses under Lband and low<low[1] and summation[100](close<LBand)<65 //and summation[10](close<LBand)[1]<xx//and low>lowest[4](low)[1] High1H=high Low1H=Low     Timeframe (5 minute)   EMA8=exponentialaverage[8](close) SMA20=average[20](close) wil=Williams[40](close) c2=close>highest[12](high)[1] and close>High1H and BARINDEX-TRADEINDEX(1)>=3 cs2=close<lowest[12](low)[1] and close<Low1H and BARINDEX-TRADEINDEX(1)>=3 c3=abs(open[1]-close[1])>1 and not(dhigh(0)=high and high-close<1 and low-ema8>5)and high>close and ema8[1]-sma20[1]<ema8-sma20 cs3=sma20[1]-ema8[1]<sma20-ema8   if tradetime then   if c1 and c2 and c3 and not onmarket then   Buy positionsize contracts at market stoplevel=lowest[6](low)-close/500//lowest[5](low)-close/1000   endif   if cs1 and cs2 and cs3 and not onmarket then // Sellshort positionsize contracts at market stoplevel=highest[6](high)+close/500//lowest[5](low)-close/1000   endif set stop %loss 0.5 set target %profit 1 endif   stoplevelactive=0 if longonmarket and stoplevelactive=1 then sell at stoplevel stop endif if shortonmarket and stoplevelactive=1 then exitshort at stoplevel stop endif       targetactive=1 if longonmarket and close<low[1] and close<SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 sell at market endif   if shortonmarket and close>high[1] and close>SMA20 and targetactive=1 and positionperf>0.001 then //and positionperf>0.001 exitshort at market endif   //si le trade ne part pas flat=1 if longonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and flat and close<positionprice then sell at positionprice+ministop limit endif //si le trade part pas if shortonmarket and BARINDEX-TRADEINDEX(1)>=18 and positionperf<0.001 and close>positionprice and flat then exitshort at positionprice-ministop limit endif //vendredi le marché cloture plus tot if dayofweek=5 and longonmarket and time=225500 then //sell at market endif if dayofweek=5 and shortonmarket and time=225500 then //exitshort at market endif if longonmarket and close>tradeprice and open=close and dhigh(0)=high then sell at market endif

  

  fifi743

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  01/05/2023 at 2:43 PM #206830
  stefou102

  Thx for the interest. Spread is around 0.8

  

  stefou102

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  01/07/2023 at 9:50 AM #206970
  stefou102

  Hello #fifi743, I have reviewed the conditions you added but don’t believe they have any added value unfortunately.

  

  stefou102

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  01/07/2023 at 10:34 AM #206974
  fifi743

  Spread =1
  I’m in the market for less time
  Less loss
  More gain

  

  fifi743

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