Super Z Strategy

• 10/04/2020 at 1:56 AM #146301
  boonet

  Here is another strategy I converted from TV.
  Results attached.

  Can I request a 200k results for this please?
  Even if looks a bit curve fitted, its could be because of trailing stop function there.

  The entries are decent most of the times so might need an expert’s optimisation.

  Please run, feedback and improve.

   

  Super

  //Converted from TV strategy // Converted by boonet defparam cumulateorders = false Timeframe(1 hour) stmult = 2 stperiod = 9 atr = max(max((high-low),abs(high-close[1])),abs(low-close[1])) uplev= low - (stmult * atr[stperiod]) dnlev= high + (stmult * atr[stperiod]) uptrend=0.0 if close[1] > uptrend[1] then uptrend = max(uplev,uptrend[1]) else uptrend = uplev endif downtrend = 0.0 if close[1] < downtrend[1] then downtrend = min(dnlev,downtrend[1]) else downtrend = dnlev endif trend = 0 if close > downtrend[1] then trend = 1 elsif close < uptrend[1] then trend = -1 endif if trend=1 then stline = uptrend elsif trend =-1 then stline = downtrend endif bullish = close crosses over stline bearish = close crosses under stline Timeframe(default) // Conditions to enter long positions IF NOT LongOnMarket AND bullish THEN BUY 1 CONTRACTS AT MARKET ENDIF // Conditions to enter short positions IF NOT ShortOnMarket AND bearish THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF // SET STOP loss 500 //Break even breakevenPercent = 0.13 PointsToKeep = 20 startBreakeven = tradeprice(1)*(breakevenpercent/100) once breakeven = 0//1 on - 0 off //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif // trailing atr stop once trailingstoptype = 1 // trailing stop - 0 off, 1 on once tsincrements = .01 // set to 0 to ignore tsincrements once tsminatrdist = 1//3 once tsatrperiod = 14 // ts atr parameter once tsminstop = 12 // ts minimum stop distance once tssensitivity = 1 // [0]close;[1]high/low if trailingstoptype then if barindex=tradeindex then trailingstoplong = 2//4 // ts atr distance trailingstopshort = 2//4 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif endif

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  //Converted from TV strategy   // Converted by boonet   defparam cumulateorders = false     Timeframe(1 hour) stmult = 2 stperiod = 9   atr =  max(max((high-low),abs(high-close[1])),abs(low-close[1])) uplev= low - (stmult * atr[stperiod]) dnlev= high + (stmult * atr[stperiod])     uptrend=0.0 if close[1] > uptrend[1] then uptrend = max(uplev,uptrend[1]) else uptrend = uplev endif   downtrend = 0.0 if close[1] < downtrend[1] then downtrend = min(dnlev,downtrend[1]) else downtrend = dnlev endif   trend = 0 if close > downtrend[1] then trend = 1 elsif close < uptrend[1] then trend = -1 endif     if trend=1 then stline = uptrend elsif trend =-1 then stline = downtrend endif   bullish = close crosses over stline bearish = close crosses under stline         Timeframe(default)   // Conditions to enter long positions IF NOT LongOnMarket AND bullish THEN BUY 1 CONTRACTS AT MARKET ENDIF   // Conditions to enter short positions IF NOT ShortOnMarket AND bearish  THEN SELLSHORT 1 CONTRACTS AT MARKET ENDIF //   SET STOP loss 500   //Break even breakevenPercent = 0.13 PointsToKeep = 20 startBreakeven = tradeprice(1)*(breakevenpercent/100)   once breakeven = 0//1 on - 0 off //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif     // trailing atr stop once trailingstoptype     = 1    // trailing stop - 0 off, 1 on   once tsincrements = .01         // set to 0 to ignore tsincrements once tsminatrdist = 1//3   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 1    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 2//4   // ts atr distance trailingstopshort    = 2//4   // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10)*pipsize)/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)*pipsize) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 endif if tssensitivity then tssensitivitylong=high tssensitivityshort=low else tssensitivitylong=close tssensitivityshort=close endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-tradeprice(1)>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif endif

   

   

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  GraHal

  

  boonet

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  10/04/2020 at 1:59 AM #146302
  boonet

  Results for 100k here.

  *DJI-1m*

  

  boonet

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  10/04/2020 at 2:21 AM #146305
  Paul

  sure, used spread 3.8.

   

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  boonet

  

  Paul

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  10/04/2020 at 8:21 AM #146314
  boonet

   

  Thanks @Paul

  Yeah as said seems a bit fitted, but win rate is good.

  Can you do your magic on this Paul? 🙂

   

  

  boonet

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  10/04/2020 at 1:20 PM #146374
  Paul

  Hi Boonet,

  I poured your code in the the layout of vectorial. This is a good example to test retry.

  One pic is similar to yours with retry off. I didn’t match be/ts/sl though. (here sl2%,ts1%) (no rsi stochastic or something else, but with mri)

  the second pic, I activated retry and the problem became visible. Too many signals in one area, which means big problems & low quality.

  The bigger the Stoploss, trailing stop, the less meaning have a signal, as they don’t get out and keep stuck to the position and curvetting will show nice graph.

  I can post the code now, but maybe I can improve a bit.

   

   

   

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  boonet

  

  Paul

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  10/04/2020 at 2:42 PM #146386
  Paul

  Spend some time on this, but not getting the results I seek. Attached is the code. The retry method is an approach, but maybe it’s not suited to be used for every strategy.

   

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  GraHal, boonet

  

  Paul

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  10/04/2020 at 6:42 PM #146414
  boonet

  Thanks @Paul.

  I will take a look and comeback to you.

   

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  Paul

  

  boonet

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  10/04/2020 at 9:18 PM #146421
  mykologen

  Attached 200k backtest of “version 0”.

  

  mykologen

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