The edge – trading strategy for 1 hour timeframe

• 01/12/2018 at 4:06 PM #59202
  Inertia

  Hi,

  I was listening to the following podcast (https://www.youtube.com/watch?v=bt2N7rUFzTM) shared last year on this forum.

  So I have decided to find the Hedge too 😉 …

  The conditions were simple. For couple of indicators => TF 1hr. No stop, no target. Sell after 5 bars (5hours).

  The following candidates had an Hedge (more money than the begining of the test…) : The MACD, the Volume and the %Williams. I did not tried them all.

  Hereafter are the results.

  I’ll share the strategy on post N2.

  1 user thanked author for this post.

  Nicolas

  

  Inertia

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  01/12/2018 at 4:26 PM #59213
  Inertia

  Here’s the strategy.

  Only 28 trades…

  Not much history for the volumes…

  Q: How can we make this strategy better ?

  Sharpe ratio would be interesting…

  Thx.

  DAX The Hedge

  //Fomr Inertia 12/01/2018 // Définition des paramètres du code DEFPARAM CumulateOrders = FALSE //Trade to be closed after 5 bars x = 5 IF BarIndex - TradeIndex = x Then Sell at Market endif indicator1 = Volume c1 = (indicator1 >= 10000) indicator2 = MACD[12,24,9](close) c2 = (indicator2 > 0) indicator3 = MACDline[12,24,9](close) c3 = (indicator3 < 0) indicator4 = Williams[14](close) c4 = (indicator4 >= -20) IF c1 AND c2 AND c3 AND c4 THEN BUY positionsize CONTRACT AT MARKET ENDIF //MM... once startpositionsize=1 once positionsize=startpositionsize once flatoverweekends=1 once startequity=0 once Reinvest=1 if reinvest then //------------ Fixed fraction money management ---------- once multiplier=1 once delta=500 // < == THROTTLE once fraction=delta*pipvalue once newlevel=delta*pipvalue once oldlevel=delta*pipvalue if strategyprofit+startequity>newlevel then multiplier=multiplier+1 oldlevel=newlevel newlevel=strategyprofit+startequity+multiplier*fraction positionsize=multiplier*startpositionsize elsif strategyprofit+startequity<oldlevel and multiplier>=2 then newlevel=strategyprofit+startequity oldlevel=strategyprofit+startequity-multiplier*fraction multiplier=multiplier-1 positionsize=multiplier*startpositionsize endif Endif if flatoverweekends then //--------------- daylight-saving corrections ------------------ if currentmonth=3 and day>=15 then dlc=10000 elsif currentmonth=11 and day<8 then dlc=10000 else dlc=0 endif fridaynight=(currentdayofweek=5 and time>=(223000-dlc)) else fridaynight=0 endif if fridaynight then if longonmarket then sell at market elsif shortonmarket then exitshort at market endif endif //trailing stop trailingstop = 40 if not onmarket then MAXPRICE = 0 priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then SELL AT priceexit STOP endif SET STOP ploss 100//20 SET TARGET pPROFIT 150

  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

  //Fomr Inertia 12/01/2018   // Définition des paramètres du code DEFPARAM CumulateOrders = FALSE   //Trade to be closed after 5 bars x  = 5   IF BarIndex - TradeIndex = x Then Sell at Market endif   indicator1 = Volume c1 = (indicator1 >= 10000) indicator2 = MACD[12,24,9](close) c2 = (indicator2 > 0) indicator3 = MACDline[12,24,9](close) c3 = (indicator3 < 0) indicator4 = Williams[14](close) c4 = (indicator4 >= -20)   IF c1 AND c2 AND c3 AND c4 THEN BUY positionsize CONTRACT AT MARKET ENDIF   //MM... once startpositionsize=1 once positionsize=startpositionsize once flatoverweekends=1 once startequity=0 once Reinvest=1 if reinvest then //------------ Fixed fraction money management ---------- once multiplier=1 once delta=500 // < == THROTTLE once fraction=delta*pipvalue once newlevel=delta*pipvalue once oldlevel=delta*pipvalue if strategyprofit+startequity>newlevel then multiplier=multiplier+1 oldlevel=newlevel newlevel=strategyprofit+startequity+multiplier*fraction positionsize=multiplier*startpositionsize elsif strategyprofit+startequity<oldlevel and multiplier>=2 then newlevel=strategyprofit+startequity oldlevel=strategyprofit+startequity-multiplier*fraction multiplier=multiplier-1 positionsize=multiplier*startpositionsize endif Endif   if flatoverweekends then //--------------- daylight-saving corrections ------------------ if currentmonth=3 and day>=15 then dlc=10000 elsif currentmonth=11 and day<8 then dlc=10000 else dlc=0 endif   fridaynight=(currentdayofweek=5 and time>=(223000-dlc)) else fridaynight=0 endif   if fridaynight then if longonmarket then sell at market elsif shortonmarket then exitshort at market endif endif   //trailing stop trailingstop = 40 if not onmarket then MAXPRICE = 0 priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then SELL AT priceexit STOP endif SET STOP ploss 100//20 SET TARGET pPROFIT 150

   

  

  Inertia

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  01/12/2018 at 7:33 PM #59263
  mr blue

  I would be very very satisfied with current results – I assume done with only 1 contract.

  Try a “re-invest” strategy that will leverage the results. You can also switch from mini cfd to real future contract that leverages also.

   

  

  mr blue

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  01/12/2018 at 8:36 PM #59290
  Inertia

  Thx you Mr Blue.

  I do not have and IB account yet 😉 for futures.

  Yes, 1 contract first. over 500 EUR/PTS goes to 2 etc…

  Sorry what do you mean with current results ? I “assume” that you mean backtest results…Not live.

  

  Inertia

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