Trend surfer DAX modified

irioton · 2018-03-19T11:46:04+00:00

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 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 = BuyTimeMorning AND 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 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 ?

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03/21/2018 at 6:51 PM #66011 quote
irioton
Participant

Average
I tried this :
```
if close[val]>0 and close[val]<close[val[1]] and close[val[1]]>0 and close[val[1]]>close[val[2]] then
IF LONGONMARKET THEN
SELL 1 SHARES AT MARKET
SELLSHORT 1 SHARES AT MARKET
ELSE
SELLSHORT 1 SHARES AT MARKET
ENDIF
ENDIF


if close[val]<0 and close[val]>close[val[1]] and close[val[1]]<0 and close[val[1]]<close[val[2]]then
IF SHORTONMARKET THEN
EXITSHORT 1 SHARES AT MARKET
BUY 1 SHARES AT MARKET
ELSE
BUY 1 SHARES AT MARKET

ENDIF
ENDIF
```
but still doesn’t work…
03/21/2018 at 7:29 PM #66012 quote
GraHal
Participant

Master
How about below, also try including volume also?
```
if Close > average[200](close) AND close[val]<0 and close[val]>close[val[1]] and close[val[1]]<0 and close[val[1
```
03/21/2018 at 9:14 PM #66016 quote

irioton
Participant

Average

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

03/21/2018 at 10:12 PM #66022 quote

GraHal
Participant

Master

What about adding a momentum indicator, e.g. Chande Momentum Index or similar; RSI maybe??

03/22/2018 at 4:33 AM #66039 quote
irioton
Participant

Average
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
03/22/2018 at 4:54 AM #66041 quote

irioton
Participant

Average

i just saw that i tested it on 10 000 bars, its still good thow, but not so good…

03/22/2018 at 5:41 AM #66042 quote

irioton
Participant

Average

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

03/22/2018 at 12:17 PM #66078 quote

irioton
Participant

Average

I cooked another one that seems to work : ut 2min, trades on TDI overbought/oversold.

Neutral trades are in fact winners of 1 pip (spread + 1)

GraHal thanked this post

Sans-titre-2.png TDI-SURACHAT-SURVENTEok.itf

03/23/2018 at 4:57 PM #66190 quote

irioton
Participant

Average

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…

Nicolas and GraHal thanked this post

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

03/23/2018 at 7:48 PM #66209 quote

irioton
Participant

Average

Even better if we make it swinng trading.

GraHal thanked this post

Sans-titre-4.png moyenne-mobille1.itf

04/02/2018 at 6:36 PM #66942 quote
irioton
Participant

Average
Hi again !

I’m trying to make some tweaks on the last code I posted, but I need help…

I took nicolas’ trailing code here https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

I’m keeping the break even part, but I want the trailing step to be the last high or low (if we go short or long) of “n” or “m” periods (n and m being different for long or short and to be optimized).

here’s what I changed, but it doesn’t seem to work :
```
trailingstart = 39
clow = tradeprice - (lowest[m](low))
chigh= (highest[n](high))-tradeprice
 
//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF
 
//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+clow*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=clow*pipsize THEN
newSL = newSL+clow*pipsize
ENDIF
ENDIF
 
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-chigh*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=chigh*pipsize THEN
newSL = newSL-chigh*pipsize
ENDIF
ENDIF
 
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
//************************************************************************
 
GRAPH newSL as "trailing"
```
04/02/2018 at 6:56 PM #66946 quote

irioton
Participant

Average

It is defined to 39, I missed it when I copied/pasted the code, I edited the post to correct that, sorry

04/02/2018 at 7:12 PM #66948 quote

GraHal
Participant

Master

Aha I thought my eyes were deceiving me so I nipped in and deleted my comment re the Trailingstart! 🙂 🙂

Have you use GRAPH to see what the value of tradeprice – (lowest[m](low)) is? Because if it is > Trailing start then it wouldn’t work anyway??

04/02/2018 at 7:49 PM #66950 quote
irioton
Participant

Average
ok I am going to look closer, I ‘ll report back when I shall find the error.

Meanwhile, I added pyramiding code I founded in nicolas’ advanced training videos,

I tweaked it so that position size increases also after a win (and not just deacreases after a loss).

Win/loss ratio jumped from 4,73 to 5,71.

here’s the code to put at the begining :
```
taille=1
for i = 1 to 2 do
if positionperf(i)<0 then
taille=taille-1
else
if taille<5 then
taille=taille+1
endif
endif
next
```
04/02/2018 at 8:14 PM #66951 quote

GraHal
Participant

Master

Please could you put your latest full code on here and then I can see if I can offer any improvements, but doubt I will as you are doing great on your own … your code has done me well today!

Thank You
GraHal

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