Strategy SR Dow J Day

• 06/28/2020 at 4:30 PM #137408
  Mauro T. “Algorithm System”

  Hi Vonasi,
  When I make the optimizations of my trading systems I ALWAYS stop in December 2017 for any Time Frame, so the computer cannot know beyond that date what happened …. in the attached graph it starts Without the time-based sale from 1 January 2018. …… clearly I try to have the odds in my favor certainty does not exist in anything …..
  I thank you for your work and I wish you a good evening …

   

   

  

  Mauro T. “Algorithm System”

  Participant

  Topics: 18

  Replies: 302

  Been thanked: 75 times
  06/28/2020 at 8:59 PM #137432
  Paul

  the set target profit needs to be straight below the buy order because it uses average range & close. 

  It can not be put on the bottom. It’s placed correct and uses the close when conditions are true to go long.

  however, you do not use not longonmarket, so, if your are long and conditions are true to go long again are ignored (because  DEFPARAM CumulateOrders = false) , it updates the target with the new close of that bar which is incorrect. To have it correct I think you have to use not longonmarket?

  If you add not longonmarket performance goes down, however, if you take every signal when in a long and losing position to close & reenter again long, it’s much better.

  here again a but, because not sure why the code below makes such a difference.

  if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close) endif

  1 2 3 4

  if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close) endif

  or

  if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close)[1] endif

  1 2 3 4

  if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close)[1] endif

   

  // Strategy SR Dow J. Day indicator by roberto gozzi DEFPARAM CumulateOrders = false once tradetype = 2 // [1]long & short; [2]long only; [3]short only once reenter = 0 // [0]off; [1]reenter based on positionperftype once positionperftype = 0 // [0]perf<>ppv; [1]perf<ppv; [2]perf>ppv once positionperfvalue = 0 indicator1 = ADX[10] indicator2 = ADXR[14] c2 = (indicator1[1] > indicator2[1]) indicator11 = ADX[10] c1 = (indicator11[1] >= 15) c30 =TR(close)>25 ONCE PrezzoC = 0 ONCE PrezzoB = 0 ONCE PrezzoA = 0 Prezzo = CALL SRtest IF Prezzo > 0 THEN PrezzoA = PrezzoB PrezzoB = PrezzoC PrezzoC = Prezzo ENDIF positionsize=1 LossMonth =200 once StopMonth=1 IF Month <> Month[1] THEN ProfitMonth=strategyprofit StopMonth=1 endif If strategyprofit<=ProfitMonth-LossMonth then StopMonth=0 endif Cond = PrezzoB > PrezzoA AND PrezzoB > PrezzoC condbuy=StopMonth=1 and close CROSSES UNDER PrezzoB AND C2 AND C1 AND C30 AND Cond > 0 // CONDBUY=CONDBUY AND NOT LONGONMARKET condsell=1 ctime=1 // entry criteria if ctime then if (tradetype=1 or tradetype=2) then if condbuy then buy positionsize contract at market SET TARGET pPROFIT 5* averagetruerange[1](close) endif endif if (tradetype=1 or tradetype=3) then if condsell and not shortonmarket then sellshort positionsize contract at market endif endif if reenter then if positionperftype=1 then positionperformance=positionperf(0)*100<-positionperfvalue // in loss elsif positionperftype=2 then positionperformance=positionperf(0)*100>positionperfvalue // in profit else positionperformance=((positionperf(0)*100)<-positionperfvalue or (positionperf(0)*100)>positionperfvalue) // in loss or profit endif if (tradetype=1 or tradetype=2) then if condbuy and longonmarket and positionperformance then sell at market endif if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close) // or [1] at the end? endif endif if (tradetype=1 or tradetype=3) then if condsell and shortonmarket and positionperformance then exitshort at market endif if condsell[1] and not shortonmarket then sellshort positionsize contract at market endif endif endif else if longonmarket and condsell then //sell at market endif if shortonmarket and condbuy then //exitshort at market endif endif If longonmarket and (barindex-tradeindex)>=43 then //SELL AT MARKET ENDIF Trailinglong = 2* averagetruerange[5](close) Trailingsteplong = 5* averagetruerange[1](close) TGL = Trailinglong STPL = Trailingsteplong if not onmarket then MAXPRICE = 0 PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL then PREZZOUSCITA = MAXPRICE-STPL ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF SET STOP %LOSS 8

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118

  // Strategy SR Dow J. Day     indicator by roberto gozzi   DEFPARAM CumulateOrders = false   once tradetype          = 2 // [1]long & short; [2]long only; [3]short only once reenter            = 0 // [0]off; [1]reenter based on positionperftype once positionperftype   = 0 // [0]perf<>ppv; [1]perf<ppv; [2]perf>ppv once positionperfvalue  = 0   indicator1 =  ADX[10] indicator2 = ADXR[14] c2 = (indicator1[1] > indicator2[1]) indicator11 = ADX[10] c1 = (indicator11[1] >= 15) c30 =TR(close)>25 ONCE PrezzoC = 0 ONCE PrezzoB = 0 ONCE PrezzoA = 0 Prezzo = CALL SRtest IF Prezzo > 0 THEN PrezzoA = PrezzoB PrezzoB = PrezzoC PrezzoC = Prezzo ENDIF   positionsize=1   LossMonth  =200 once StopMonth=1 IF Month <> Month[1] THEN ProfitMonth=strategyprofit StopMonth=1 endif If strategyprofit<=ProfitMonth-LossMonth then StopMonth=0 endif   Cond    = PrezzoB > PrezzoA AND PrezzoB > PrezzoC   condbuy=StopMonth=1 and close CROSSES UNDER PrezzoB AND C2 AND C1 AND C30 AND Cond > 0   // CONDBUY=CONDBUY AND NOT LONGONMARKET   condsell=1 ctime=1   // entry criteria if ctime then if (tradetype=1 or tradetype=2) then if condbuy then buy positionsize contract at market SET TARGET pPROFIT 5* averagetruerange[1](close) endif endif if (tradetype=1 or tradetype=3) then if condsell and not shortonmarket then sellshort positionsize contract at market endif endif if reenter then if positionperftype=1 then positionperformance=positionperf(0)*100<-positionperfvalue  // in loss elsif positionperftype=2 then positionperformance=positionperf(0)*100>positionperfvalue // in profit else positionperformance=((positionperf(0)*100)<-positionperfvalue or (positionperf(0)*100)>positionperfvalue) // in loss or profit endif if (tradetype=1 or tradetype=2) then if condbuy and longonmarket and positionperformance then sell at market endif if condbuy[1] then buy positionsize contract at market SET TARGET PROFIT 5* averagetruerange[1](close)  // or [1] at the end? endif endif if (tradetype=1 or tradetype=3) then if condsell and shortonmarket and positionperformance then exitshort at market endif if condsell[1] and not shortonmarket then sellshort positionsize contract at market endif endif endif else if longonmarket and condsell then //sell at market endif if shortonmarket and condbuy then //exitshort at market endif endif   If longonmarket and (barindex-tradeindex)>=43 then //SELL AT MARKET ENDIF   Trailinglong     = 2* averagetruerange[5](close) Trailingsteplong = 5* averagetruerange[1](close) TGL = Trailinglong STPL = Trailingsteplong if not onmarket then MAXPRICE = 0 PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL then PREZZOUSCITA = MAXPRICE-STPL ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF   SET STOP   %LOSS  8

   

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  06/28/2020 at 9:18 PM #137436
  Vonasi

  Paul wrote:

  however, you do not use not longonmarket, so, if your are long and conditions are true to go long again are ignored (because  DEFPARAM CumulateOrders = false) , it updates the target with the new close of that bar which is incorrect. To have it correct I think you have to use not longonmarket?

  Well spotted Paul. When I added my SEB testing code to the strategy I encased the STOP and TARGET orders in an IF NOT ONMARKET condition so that I could count all possible trades outside of that condition – so my version did not behave the same as the original. I should try to find time to retest with the varying stop and target orders. Bit busy at the moment as leaving the harbour to go sailing for the summer in a few days time and so lots of jobs to do – including hours and hours of fixing my back-up navigation laptop. Who would think it could be so difficult to get a netbook working on XP!

  1 user thanked author for this post.

  Paul

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  06/29/2020 at 9:09 AM #137458
  Mauro T. “Algorithm System”

  Hello Paul,
  The operation from 1 January 2018 is identical …. and it is the only important thing …… if we had put in real since that date in both ways we would have had the same results.
  Thank you

  (I am attaching the graph of your variant from January 2018.)

   

  

  Mauro T. “Algorithm System”

  Participant

  Topics: 18

  Replies: 302

  Been thanked: 75 times
• Author
  Posts