Ok, I finally made it work my way, then I added your code (+5% win ratio), then I added volume, it didn’t change much, same thing for volatility.

I’ve got good %win ratio but awful win/loss ratio, any idea how to improve this ?

ratios.png

OK, eventually I filtered it with supertrend extended (see attached), looks better now, I’ll try to push it.

Here’s the code :

a = 89 (sl)

b = 28 (tp)

c = 20

d = 1

// Trend Surfer DAX Modified
DEFPARAM CumulateOrders = False

// code-Parameter
DEFPARAM FlatBefore = 080500
DEFPARAM FlatAfter = 180000

 
// DAX trading window
ONCE BuyTimeMorning = 080500
//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 <= SellTimeAfternoon) THEN

value = (Highest[lengthKC](high)+Lowest[lengthKC](low)+average[lengthKC](close))/3
val = linearregression[lengthKC](close-value)
indicator1, ignored = CALL "PRC_SuperTrend Extended"[2.236, 66, 1, 10]
ignored, indicator2 = CALL "PRC_SuperTrend Extended"[2.236, 66, 1, 10]
c1 = (indicator1 < indicator2)
c2 = (indicator1 > indicator2)

if val>0 and val[1]>0 and val[2]>0 and val<val[1] and val[1]>val[2] and c2 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[1]<0 and val[2]<0 and val>val[1] and val[1]<val[2] and c1 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

chears !

Sans-titre.png

Again, it doesn’t do what I want, which also means it can be even more profitable.

See picture attached, any suggestions are welcome.

Sans-titre-1.png

Here is an other one, much more profitable, based on moving avegerage 50 and 500 (optimized) crossing.

Sometimes, the simpler, the better. I can’t go back further 3 months thow…

moyenne-mobille.itf Sans-titre-3.png