Trend surfer DAX modified

• 03/19/2018 at 12:46 PM #65668
  irioton

  Hi guys !

  This is the first system I post here.

  I made my own version of Reiners Trend surfer DAX, whith Nicolas´ TDI indicator and my own parameters but the backtest doesn´t work,

  I think it might be because of the trailing stop and take profit which are variables (a and b in the code) that I want to optimize because this will be how I exit the trades, no exit on signal, just sl/tp.

  The message just says “an error occured” but doesn´t say where or why.

  Here´s the code :

  Trend surfer DAX mofified

  // Trend Surfer DAX Modified // code-Parameter DEFPARAM FlatAfter = 173000 DEFPARAM FlatBefore = 093000 // DAX trading window ONCE BuyTimeMorning = 093000 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 170000 ONCE lengthRSI = 13 ONCE lengthband = 34 ONCE lengthrsipl = 3 ONCE lengthtradesl = 7 ONCE lineup = 68 ONCE linemid = 50 ONCE linedown = 32 // trading parameter ONCE PositionSize = 1 ONCE sl = a ONCE tp = b*sl // emergency stop IF STRATEGYPROFIT <-500 THEN QUIT ENDIF // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN // calculate TDI indicator r = rsi[lengthrsi](close) ma = average[lengthband](r) offs = (1.6185 * std[lengthband](r)) blueup = ma+offs bluedn = ma-offs jaune = (blueup+bluedn)/2 vert = average[lengthrsipl](r) rouge = average[lengthtradesl](r) // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge THEN BUY PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge>linemid AND vert CROSSES OVER rouge THEN BUY PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge CROSSES OVER jaune THEN BUY PositionSize CONTRACT AT MARKET ENDIF // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge THEN SELL PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge<linemid AND vert CROSSES UNDER rouge THEN SELL PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge CROSSES UNDER jaune THEN SELL PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

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  // Trend Surfer DAX Modified // code-Parameter DEFPARAM FlatAfter = 173000 DEFPARAM FlatBefore = 093000 // DAX trading window ONCE BuyTimeMorning = 093000 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 170000 ONCE lengthRSI = 13 ONCE lengthband = 34 ONCE lengthrsipl = 3 ONCE lengthtradesl = 7 ONCE lineup = 68 ONCE linemid = 50 ONCE linedown = 32 // trading parameter ONCE PositionSize = 1 ONCE sl = a ONCE tp = b*sl   // emergency stop IF STRATEGYPROFIT <-500 THEN QUIT ENDIF // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN // calculate TDI indicator r = rsi[lengthrsi](close) ma = average[lengthband](r) offs = (1.6185 * std[lengthband](r)) blueup = ma+offs bluedn = ma-offs jaune = (blueup+bluedn)/2 vert = average[lengthrsipl](r) rouge = average[lengthtradesl](r)   // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge THEN BUY PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge>linemid AND vert CROSSES OVER rouge THEN BUY PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge CROSSES OVER jaune THEN BUY PositionSize CONTRACT AT MARKET ENDIF     // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge THEN SELL PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge<linemid AND vert CROSSES UNDER rouge THEN SELL PositionSize CONTRACT AT MARKET ENDIF IF Not ONMARKET AND rouge CROSSES UNDER jaune THEN SELL PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

  can someone help please ?

  

  irioton

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  03/19/2018 at 12:52 PM #65672
  robertogozzi

  Remove ENDIF from line 28 and place it at line 29.

  

  robertogozzi

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  03/19/2018 at 1:41 PM #65677
  irioton

  Okay ! It does work now (the backtest not the system…yet) thank you ! .

  I´ve got another problem now (I put fixed sl/tp for now) : the system only goes long and cumulates orders, I don´t get it !

  It never goes short and sometimes it takes 2 long positions instead of one.

  I tried to fixe the problem and put EXITs on trades at market when it should reverse, but it doesn´t work, any ideas ?

  Here´s the modified code :

  Exit positions

  // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge OR rouge>linemid AND vert CROSSES OVER rouge OR rouge CROSSES OVER jaune THEN IF SHORTONMARKET THEN BUY AT MARKET ENDIF BUY PositionSize CONTRACT AT MARKET ENDIF // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge OR rouge<linemid AND vert CROSSES UNDER rouge OR rouge CROSSES UNDER jaune THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELL PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

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  // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge OR rouge>linemid AND vert CROSSES OVER rouge OR rouge CROSSES OVER jaune THEN IF SHORTONMARKET THEN BUY AT MARKET ENDIF BUY PositionSize CONTRACT AT MARKET ENDIF     // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge OR rouge<linemid AND vert CROSSES UNDER rouge OR rouge CROSSES UNDER jaune THEN IF LONGONMARKET THEN SELL AT MARKET ENDIF SELL PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

   

  

  irioton

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  03/19/2018 at 1:49 PM #65680
  GraHal

  You need below as the 1st line of code …

  DEFPARAM CumulateOrders = False

  1	DEFPARAM CumulateOrders = False

   

   

  

  GraHal

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  03/19/2018 at 2:03 PM #65684
  irioton

  Thank you Grahal ! That´s it for cumulated orders.

  Now the system doesn´t short, worse, it takes long positions where it shoud sell, I read it again and again but can´t figure it out.

   

   

  

  irioton

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  03/19/2018 at 2:12 PM #65686
  Vonasi

  BUY //Opens a long position SELL //Closes a long position SELLSHORT //Opens a short position EXITSHORT //Closes a short position

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  BUY //Opens a long position SELL //Closes a long position   SELLSHORT //Opens a short position EXITSHORT //Closes a short position

  You are using a SELL where you need a SELLSHORT

  

  Vonasi

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  03/19/2018 at 2:31 PM #65688
  irioton

  wow I didn´t know that, thank you !

  I am sorry to waste your time with beginners problems,

  The good thing is that I have an edge now ! Yeeeaahh ! I just need to optimise sp/tp

  so here´s the code for now:

  the code

  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False // code-Parameter DEFPARAM FlatAfter = 173000 DEFPARAM FlatBefore = 090500 // DAX trading window ONCE BuyTimeMorning = 090500 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 170000 ONCE lengthRSI = 13 ONCE lengthband = 34 ONCE lengthrsipl = 3 ONCE lengthtradesl = 7 ONCE lineup = 68 ONCE linemid = 50 ONCE linedown = 32 // trading parameter ONCE PositionSize = 1 ONCE sl = 50 ONCE tp = 50 // emergency stop IF STRATEGYPROFIT <-500 THEN QUIT ENDIF // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN // calculate TDI indicator r = rsi[lengthrsi](close) ma = average[lengthband](r) offs = (1.6185 * std[lengthband](r)) blueup = ma+offs bluedn = ma-offs jaune = (blueup+bluedn)/2 vert = average[lengthrsipl](r) rouge = average[lengthtradesl](r) // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge OR rouge>linemid AND vert CROSSES OVER rouge OR rouge CROSSES OVER jaune THEN BUY PositionSize CONTRACT AT MARKET ENDIF // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge OR rouge<linemid AND vert CROSSES UNDER rouge OR rouge CROSSES UNDER jaune THEN SELLSHORT PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

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  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False   // code-Parameter DEFPARAM FlatAfter = 173000 DEFPARAM FlatBefore = 090500 // DAX trading window ONCE BuyTimeMorning = 090500 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 170000 ONCE lengthRSI = 13 ONCE lengthband = 34 ONCE lengthrsipl = 3 ONCE lengthtradesl = 7 ONCE lineup = 68 ONCE linemid = 50 ONCE linedown = 32 // trading parameter ONCE PositionSize = 1 ONCE sl = 50 ONCE tp = 50   // emergency stop IF STRATEGYPROFIT <-500 THEN QUIT ENDIF   // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN // calculate TDI indicator r = rsi[lengthrsi](close) ma = average[lengthband](r) offs = (1.6185 * std[lengthband](r)) blueup = ma+offs bluedn = ma-offs jaune = (blueup+bluedn)/2 vert = average[lengthrsipl](r) rouge = average[lengthtradesl](r)   // open position // long IF Not ONMARKET AND rouge<bluedn AND vert CROSSES OVER rouge OR rouge<linedown AND vert CROSSES OVER rouge OR rouge>linemid AND vert CROSSES OVER rouge OR rouge CROSSES OVER jaune THEN BUY PositionSize CONTRACT AT MARKET ENDIF     // short IF Not ONMARKET AND rouge>blueup AND vert CROSSES UNDER rouge OR rouge>lineup AND vert CROSSES UNDER rouge OR rouge<linemid AND vert CROSSES UNDER rouge OR rouge CROSSES UNDER jaune THEN SELLSHORT PositionSize CONTRACT AT MARKET ENDIF // stop and profit SET STOP pTRAILING sl SET TARGET pPROFIT tp ENDIF

   

  

  irioton

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  03/19/2018 at 2:49 PM #65692
  irioton

  So, optimisation gives me Trailingstop = 49 and tp= 2.9*sl , but only on 10 000 bars, could someone test it on a 100 000 bars version ?

  Now I have another problem, there are still bits where the trade is taken in the opposite direction (i.e. 23/01/2018 after 9H00 and goes on all day long) of  where it should go, I will see if I can solve it.

  Which also this system can give us more, I will pursue the investigation.

  

  irioton

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  03/19/2018 at 3:58 PM #65708
  GraHal

  irioton wrote:

  I am sorry to waste your time with beginners problems,

  We are happy to help when we get a good explanation of the Issue (as you have done).

  What Timeframe  is this to be run on? I can’t see TF anywhere sorry?

  

  GraHal

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  03/19/2018 at 4:34 PM #65719
  Nicolas

  irioton wrote:

  could someone test it on a 100 000 bars version ?

  We are all willing to help, but you should be able to test yourself on 100k bars.

  

  Nicolas

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  03/19/2018 at 5:27 PM #65731
  irioton

  @Grahal : it is on 5min.

  
  @Nicolas : hi ! On ut 5 min, I only got 10 000 bars, maybe if I put x bars and 100 000 it will work, I will try as soon as I get home.

  

  irioton

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  03/19/2018 at 5:39 PM #65742
  Nicolas

  irioton wrote:

  maybe if I put x bars and 100 000 it will work,

  Yes! That’s how it works! 😉

  

  Nicolas

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  03/19/2018 at 6:03 PM #65744
  irioton

  Great ! Thanks !

  I can’t wait to get home, 16h of bus, from berlin to Paris, this will hurt…

  

  irioton

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  03/21/2018 at 4:41 AM #65920
  irioton

  Okay, back from Berlin,

  It’s 4:30 am, I spent the night, backtesting and optimising the strategy (on 100 000 candles 😉 ), I even broke it into pieces, optimizing each one and ….

  it goes nowhere, ratios are not good or not good enough.

  So I threw it away and started a new one. This is a trend surfer DAX too, so I think we can keep it in the same thread.

  It’s 2min, 1pt spread, based on nicolas’ PRC_TTM SQUEEZE and Verdi’s Breakeven that I found in Grahal’s snippets.

  It’s simple : buy when it turns from red to yellow and sell when it turn from blue to dark blue.

  I’m close to get it right, I just got one problem, the system buys on every yellow (next candle of course) and sells on every blue (see the picture attached).

  Here is the code :

  trend surfer squeeze

  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False // code-Parameter DEFPARAM FlatAfter = 180000 DEFPARAM FlatBefore = 080500 // DAX trading window ONCE BuyTimeMorning = 090500 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 173000 // trading parameter ONCE sl = a ONCE tp = b ONCE lengthKC=20 // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN value = (Highest[lengthKC](high)+Lowest[lengthKC](low)+average[lengthKC](close))/3 val = linearregression[lengthKC](close-value) if val>0 and val<val[1] then IF LONGONMARKET THEN SELL 1 SHARES AT MARKET SELLSHORT 1 SHARES AT MARKET ELSE SELLSHORT 1 SHARES AT MARKET ENDIF ENDIF if val<0 and val>val[1] then IF SHORTONMARKET THEN EXITSHORT 1 SHARES AT MARKET BUY 1 SHARES AT MARKET ELSE BUY 1 SHARES AT MARKET ENDIF ENDIF StopdistanceBreakeven = c NormalStop = sl nb = barindex - tradeindex minprice = lowest[nb + 1](Low) maxprice = highest[nb + 1](High) If longonmarket then If maxprice >= positionprice + StopdistanceBreakeven then sell at (positionprice + 1) stop else sell at positionprice - NormalStop stop endif endif If shortonmarket then If minprice <= positionprice - StopdistanceBreakeven then exitshort at (positionprice - 1) stop else exitshort at positionprice + NormalStop stop endif endif // stop and profit //SET STOP pLOSS sl SET TARGET pPROFIT tp ENDIF

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  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False   // code-Parameter DEFPARAM FlatAfter = 180000 DEFPARAM FlatBefore = 080500 // DAX trading window ONCE BuyTimeMorning = 090500 ONCE SellTimeMorning = 110000 ONCE BuyTimeAfternoon = 130000 ONCE SellTimeAfternoon = 173000   // trading parameter ONCE sl = a ONCE tp = b ONCE lengthKC=20   // position management during trading window IF (Time >= BuyTimeMorning AND Time <= SellTimeMorning) OR (Time >= BuyTimeAfternoon AND Time <= SellTimeAfternoon) THEN   value = (Highest[lengthKC](high)+Lowest[lengthKC](low)+average[lengthKC](close))/3 val = linearregression[lengthKC](close-value)     if val>0 and val<val[1] then IF LONGONMARKET THEN SELL 1 SHARES AT MARKET SELLSHORT 1 SHARES AT MARKET ELSE SELLSHORT 1 SHARES AT MARKET ENDIF ENDIF     if val<0 and val>val[1] then IF SHORTONMARKET THEN EXITSHORT 1 SHARES AT MARKET BUY 1 SHARES AT MARKET ELSE BUY 1 SHARES AT MARKET   ENDIF ENDIF     StopdistanceBreakeven = c NormalStop = sl   nb = barindex - tradeindex minprice = lowest[nb + 1](Low) maxprice = highest[nb + 1](High)   If longonmarket then If maxprice >= positionprice + StopdistanceBreakeven then sell at (positionprice + 1) stop else sell at positionprice - NormalStop stop endif endif   If shortonmarket then If minprice <= positionprice - StopdistanceBreakeven then exitshort at (positionprice - 1) stop else exitshort at positionprice + NormalStop stop endif endif // stop and profit //SET STOP pLOSS sl SET TARGET pPROFIT tp ENDIF

  My guess is I should define what is yellow and dark blue (this I think I can do) and then buy/sell on the change of color (this I have no idea, how do you say “buy if red then yellow ???)

  Can you help ?

  Also, when I do the backtest, I have MFE and MAE in the closed positions toggle, which one should I trust ? (Cause I like MAE 🙂 )

  Should I do a “e-ratio” like I read somewhere on the internet ?

  

  irioton

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  03/21/2018 at 11:07 AM #65961
  GraHal

  irioton wrote:

  Also, when I do the backtest, I have MFE and MAE in the closed positions toggle, which one should I trust ? (Cause I like MAE )

  Glad you got back safe, shouldn’t you have been sleeping at 4:30 AM? 🙂

  My brain has not woken enough yet re most of the questions, but MFE is Max Profit and MAE is Max Loss during that trade.

  I check these and if a Strategy shows big MAE and then eventually a small MFE for lots of individual trades then I consider the Strat not good (even if overall a good profit shows). Reason: it would mean I’ve been sitting there stressing while the trade has had big drawdowns! Okay eventually it managed repeatedly to hitch-hike onto a favourable trend and come out smelling of roses / profit in the end, but the journey was tiring … just like yours from Berlin to Paris! 🙂

  Cheers
  GraHal
  PS I drew same conclusion as you re your original Strat, but I didn’t like to say.
  Thank you for your sterling effort through the night on the new version Strat, I will test it out later.

   

  

  GraHal

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