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.
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.
//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
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.
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.
