Trend surfer DAX modified

• 04/02/2018 at 8:31 PM #66954
  irioton

  Hey ! I’m glad it works for you ! Are you using it on 1min timeframe? because it is much more profitable on 2min (because optimized for it).

  Here is the latest code, with “quit snippet” (don’t forget to adjust capital and %loss if you’re using it) :

  a=50

  b=500

  c=175

  d=39

  trendsurfer dax 2min

  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False //ONCE BigLoss = 0.95 //ONCE Capital = 10000 //IF NOT OnMarket AND OnMarket[1] THEN //IF (Capital + StrategyProfit) <= (Capital * BigLoss) THEN //QUIT //ENDIF //Capital = Capital + StrategyProfit //ENDIF 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 // Conditions pour ouvrir une position acheteuse indicator1 = Average[a](close) indicator2 = Average[b](close) c1 = (indicator1[1] CROSSES OVER indicator2[1]) IF c1 THEN BUY max(1,taille) SHARES AT MARKET ENDIF // Conditions pour fermer une position acheteuse indicator3 = Average[a](close) indicator4 = Average[b](close) c2 = (indicator3[1] CROSSES UNDER indicator4[1]) IF c2 THEN SELL AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert indicator5 = Average[a](close) indicator6 = Average[b](close) c3 = (indicator5[1] CROSSES UNDER indicator6[1]) IF c3 THEN SELLSHORT max(1,taille) SHARES AT MARKET ENDIF // Conditions pour fermer une position en vente à découvert indicator7 = Average[a](close) indicator8 = Average[b](close) c4 = (indicator7[1] CROSSES OVER indicator8[1]) IF c4 THEN EXITSHORT AT MARKET ENDIF StopdistanceBreakeven = d 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 SET STOP ptrailing c endif endif If shortonmarket then If minprice <= positionprice - StopdistanceBreakeven then exitshort at positionprice -1 stop else SET STOP ptrailing c endif ENDIF

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  // Trend Surfer DAX Modified DEFPARAM CumulateOrders = False //ONCE BigLoss  = 0.95 //ONCE Capital  = 10000 //IF NOT OnMarket AND OnMarket[1] THEN //IF (Capital + StrategyProfit) <= (Capital * BigLoss) THEN //QUIT //ENDIF //Capital = Capital + StrategyProfit //ENDIF   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   // Conditions pour ouvrir une position acheteuse indicator1 = Average[a](close) indicator2 = Average[b](close) c1 = (indicator1[1] CROSSES OVER indicator2[1])   IF c1 THEN BUY max(1,taille) SHARES AT MARKET ENDIF   // Conditions pour fermer une position acheteuse indicator3 = Average[a](close) indicator4 = Average[b](close) c2 = (indicator3[1] CROSSES UNDER indicator4[1])   IF c2 THEN SELL AT MARKET ENDIF   // Conditions pour ouvrir une position en vente à découvert indicator5 = Average[a](close) indicator6 = Average[b](close) c3 = (indicator5[1] CROSSES UNDER indicator6[1])   IF c3 THEN SELLSHORT max(1,taille) SHARES AT MARKET ENDIF   // Conditions pour fermer une position en vente à découvert indicator7 = Average[a](close) indicator8 = Average[b](close) c4 = (indicator7[1] CROSSES OVER indicator8[1])   IF c4 THEN EXITSHORT AT MARKET ENDIF   StopdistanceBreakeven = d   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 SET STOP ptrailing c endif endif   If shortonmarket then If minprice <= positionprice - StopdistanceBreakeven then exitshort at positionprice -1  stop else SET STOP ptrailing c endif ENDIF

   

  

  irioton

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  04/02/2018 at 8:51 PM #66955
  irioton

  @GraHal you were right, first “(lowest[m](low))” and “tradeprice” were inverted. Then I fixed the code, and I now have a break even and trailing highs and lows 🙂

  It doesn’t work for this particular strategy, but I think we can use it on others, I am currently testing it on my dax trend surfer 1 min.

  I just got one problem : when I optimize “m” and “n”probacktest tests all possibilities for m (as it should be), but n stays to 1 !

  Is it a bug from the plateform ?

  Here is the code :

  trailing highs and lows

  //trailing stop function trailingstart = 39 //trailing will start @trailinstart points profit clow = (lowest[m](low))-tradeprice chigh= tradeprice-(highest[n](high)) //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)+1 else SET STOP ptrailing 175 ENDIF //next moves IF newSL>0 AND clow>trailingstart 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)-1 else SET STOP ptrailing 175 ENDIF //next moves IF newSL>0 AND chigh>trailingstart 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

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  //trailing stop function trailingstart = 39 //trailing will start @trailinstart points profit   clow = (lowest[m](low))-tradeprice chigh= tradeprice-(highest[n](high))   //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)+1 else SET STOP ptrailing 175 ENDIF //next moves IF newSL>0 AND clow>trailingstart 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)-1 else SET STOP ptrailing 175 ENDIF //next moves IF newSL>0 AND chigh>trailingstart 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

   

  

  irioton

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  04/15/2018 at 2:19 AM #68373
  irioton

  Hello again,

  here is an other enigma i am not able to solve myself :

  I wrote the PRC_squeeze system (seen above) on IB markets, futur Dax (because this is where I trade manually, and where i spend most of my time). So far i’m happy with the curve, ready to test it on ProOrder.

  I exported the strategy on IG markets, CFD Dax and the stratety transforms into a looser one.

  Now, I know the curves are not the same and several cotation points off, but the Squeeze is (please tell me if I’m wrong, I’ve got a lot to learn) a momentum indicator, thus this shouldn’t be a problem, because it buys/sells on the trend strength (thus in relation with previous historic) and not on fixed levels.

  So theorically, it should buy/sell on the same time (or close) in both cases, and even if it is not the case, the system should work anyway, shouldn’t it ?

  So why is it not the case ?

  Why, all parameters equals, can’t I get a similar curve ?

  Is it the system itself ? the market ? the plateform ? me ? or everything at the same time ?

  Could someone test it on Ig broker and tell me the result ?

  Attached is :

  • the system, dax 2 min
  • the supertrend extended indicator (used in the system)
  • the curves on IG and IB
  • in the red squares are buying and selling times which are different and I can’t see why

  

  irioton

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  04/15/2018 at 8:29 AM #68381
  Eric

  FDAX 08-22?

  IG CFD 00-22:15,  22:30-23

  

  Eric

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  04/15/2018 at 11:30 AM #68390
  irioton

  Hi @Eric I didn’t understand what you meant. You think this has to do with opening and closing time of the market ?

  But trading time is from 08am to  5pm in the system…

  Attached is a clue of what is wrong, the system almost  only buys and many trades close on the same candle, but I don’t know why : sl or tp are not touched.

  

  irioton

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  04/15/2018 at 2:04 PM #68400
  Eric

  irioton wrote:

  Hi @Eric I didn’t understand what you meant. You think this has to do with opening and closing time of the market ? But trading time is from 08am to 5pm in the system… Attached is a clue of what is wrong, the system almost only buys and many trades close on the same candle, but I don’t know why : sl or tp are not touched.

  i looked at the wrong code

   

  

  Eric

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  04/15/2018 at 3:08 PM #68405
  GraHal

  irioton wrote:

  Hello again, here is an other enigma i am not able to solve myself :

  I’ve read and reread the last several posts and I’m still not 100% sure what the enigma is … is it trades opening and closing in the same bar?

  I downloaded what I thought was 2 Systems (from the post quoted above) and my Platform keeps telling me  they are Indicators ( I did save them under Systems )!!??

  My brain may need a rest so I’ll have a lie under my duvet (which I always enjoy 🙂 ) and hope the enigma is a bit clearer when I surface again 🙂 🙂

  GraHal

  

  GraHal

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  04/15/2018 at 5:42 PM #68409
  Nicolas

  Futures DAX and CFD are 2 different instrument. Your system may be overfit for Future (the one you develop the system for) or maybe it is a parametric thing that cause the trouble, pointsize .. trading hours ..

  

  Nicolas

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  04/15/2018 at 6:29 PM #68410
  irioton

  pointsize and trading hours, have the same settings…

  The system doesn’t work like it should, I don’t know why, see proof attached (shouldn’t buy with red supertrend…)

  I will review the code all over again.

   

  

  irioton

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  04/15/2018 at 6:55 PM #68412
  irioton

  Okay, I started testing the conditions. I use supertrend extended as a filter, so I made an indicator to test which direction it was going, -1 for red and + 1 for blue and it’s inverted !

  I think this could be helpfull to those who import itf files with “called indicators” in it : the variables indicator1 and 2 switched, god knows why…

  

  irioton

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  04/16/2018 at 1:20 AM #68432
  irioton

  So ! I rewrote the code to make the conditions work and each one is tested in an indicator (see attached).

  signal_squeeze1 :

  • negative surface for down supertrend and positive surface for up supertrend
  • red spikes for short signals and green spikes for long signals

  signal_squeeze2 :

  • red spikes for short signals AND down supertrend
  • green spikes for long signals  AND up supertrend

   

  signal_squeeze2 is used by the system to enter a position, and supertrend to exit (plus money management). But it’s not the case as you can see.

  Soooooooo, now that I narrowed down the problem, i’m deducing that the only part of the code which could be the problem is the part below, where the system buys and sells, Elementary my dear Watson !

  //signal1 : buy signal //signal2 : sell signal //lol[1] = -1 : down supertrend //lol[1] = 1 : up supertrend if signal2 then IF LONGONMARKET THEN SELL AT MARKET SELLSHORT 5 SHARES AT MARKET ELSE SELLSHORT 5 SHARES AT MARKET ENDIF ENDIF if signal1 then IF SHORTONMARKET THEN EXITSHORT AT MARKET BUY 5 SHARES AT MARKET ELSE BUY 5 SHARES AT MARKET ENDIF ENDIF IF LONGONMARKET and lol[1]=-1 THEN SELL AT MARKET ENDIF IF SHORTONMARKET and lol[1]=1 THEN EXITSHORT AT MARKET ENDIF

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  //signal1 : buy signal //signal2 : sell signal //lol[1] = -1 : down supertrend //lol[1] = 1 : up supertrend   if signal2 then IF LONGONMARKET THEN SELL AT MARKET SELLSHORT 5 SHARES AT MARKET ELSE SELLSHORT 5 SHARES AT MARKET ENDIF ENDIF   if signal1 then IF SHORTONMARKET THEN EXITSHORT AT MARKET BUY 5 SHARES AT MARKET ELSE BUY 5 SHARES AT MARKET ENDIF ENDIF     IF LONGONMARKET and lol[1]=-1 THEN SELL AT MARKET ENDIF   IF SHORTONMARKET and lol[1]=1 THEN EXITSHORT AT MARKET ENDIF

   

  I finally found the problem and I’m really having fun doing this, but now i’m stuck, and this has been already for a few hours, could someone help please ?

  chears !

  PS : the entire code is also attached if needed

  

  irioton

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  04/16/2018 at 10:30 AM #68455
  GraHal

  irioton wrote:

  I finally found the problem, but now i’m stuck,

  What are you stuck on?

  I’ve run your code and made a few trial changes, but – as I can’t see results and / or an equity curve for your PRC_TTM-SQUEEZE4.itf  – I can’t tell if I am improving or not?

  Please post your  results and equity curve for  PRC_TTM-SQUEEZE4.itf

  Thanks
  GraHal

   

  

  GraHal

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  04/16/2018 at 11:31 AM #68472
  irioton

  Hi ! attached is the result, the problem is between line 56 and 80 of the code.

  You need supertrend extended indicator to run this code, i attached it also, this may be why you don’t get results.

  

  irioton

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  04/16/2018 at 12:02 PM #68481
  GraHal

  I must already have the Indicator (Platform tells you if not).

  Attached results (over 10k bars only ) with Code line 56 and 80 as below … which I had already  changed prior to you saying above … I must be getting better at this coding lark!!! 🙂 🙂

  PS I think I only changed the first 8 lines as shown below?
  PPS You get a good increase on your curve at the end … so are my changes making much difference at all??
  I may have patted myself on the back too soon?? 🙂
  Attached is mine over 100k bars … different but mot much better, but my code changes may spark more ideas in you??

   

  if signal2 then SellShort 5 SHARES AT MARKET ENDIF if signal1 then Buy 5 SHARES AT MARKET ENDIF IF LONGONMARKET and lol[1]=-1 THEN SELL AT MARKET ENDIF IF SHORTONMARKET and lol[1]=1 THEN EXITSHORT AT MARKET ENDIF StopdistanceBreakeven = c NormalStop = sl nb = barindex - max(1,tradeindex) minprice = lowest[nb + 1](Low) maxprice = highest[nb + 1](High)

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  if signal2 then SellShort 5 SHARES AT MARKET ENDIF   if signal1 then Buy 5 SHARES AT MARKET ENDIF     IF LONGONMARKET and lol[1]=-1 THEN SELL AT MARKET ENDIF   IF SHORTONMARKET and lol[1]=1 THEN EXITSHORT AT MARKET ENDIF   StopdistanceBreakeven = c NormalStop = sl   nb = barindex - max(1,tradeindex) minprice = lowest[nb + 1](Low) maxprice = highest[nb + 1](High)

   

  

  GraHal

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  04/16/2018 at 10:54 PM #68540
  irioton

  Thank you Grahal, but i’m loosing my cool on this one. The system doesn’t behave like it should, see attached. It only take the “sells signal” which is not even filtered. I don’t get it.

  

  irioton

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