bullbear wrote:

//————————————————————————-<br /> // Main code : Vectorial DJI 3M v6.0 +entFilt<br /> //————————————————————————-<br /> //————————————————————————-<br /> // Main code : Vectorial DJI 3M v6.0<br /> //————————————————————————-<br /> //————————————————————————-<br /> // Main code : _Vectorial Dax V3<br /> //————————————————————————-<br /> // ROBOT VECTORIAL DAX<br /> // M5<br /> // SPREAD 1.5<br /> // by BALMORA 74 – FEBRUARY 2019</p> <p>DEFPARAM CumulateOrders = false<br /> DEFPARAM Preloadbars = 50000<br /> T1 = 6<br /> p1 = average[t1](close)<br /> p2 = average[t1*2](close)<br /> p3 = average[t1*6](close)<br /> p4 = average[t1*3](close)</p> <p>a1 = p1 > p2 and p2 > p3 and p3 > p4<br /> a2 = p1 < p2 and p2 < p3 and p3 < p4</p> <p>//VARIABLES<br /> CtimeA = time >= 080000 and time <= 180000<br /> CtimeB = time >= 080000 and time <= 180000</p> <p>// TAILLE DES POSITIONS<br /> PositionSizeLong = 1<br /> PositionSizeShort = 1</p> <p>//STRATEGIE</p> <p>//VECTEUR = CALCUL DE L’ANGLE<br /> ONCE PeriodeA = 10<br /> ONCE nbChandelierA= 15<br /> MMA = Exponentialaverage[PeriodeA](close)<br /> ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA<br /> ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE<br /> CondBuy1 = ANGLE >= 35<br /> CondSell1 = ANGLE <= – 40</p> <p>//VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE<br /> ONCE PeriodeB = 20<br /> ONCE nbChandelierB= 35<br /> lag = 1.5<br /> MMB = Exponentialaverage[PeriodeB](close)<br /> pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB<br /> trigger = Exponentialaverage[PeriodeB+lag](pente)<br /> CondBuy2 = (pente > trigger) AND (pente < 0)<br /> CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1)</p> <p>//ENTREES EN POSITION<br /> CONDBUY = CondBuy1 and CondBuy2 and CTimeA<br /> CONDSELL = CondSell1 and CondSell2 and CtimeB</p> <p>//POSITION LONGUE<br /> IF CONDBUY and A1 THEN<br /> buy PositionSizeLong contract at market<br /> //SET Target %PROFIT 1<br /> //SET STOP %LOSS 0.7<br /> ENDIF</p> <p>//POSITION COURTE<br /> IF CONDSELL and a2 THEN<br /> Sellshort PositionSizeShort contract at market<br /> //SET Target %PROFIT 1.2<br /> //SET STOP %LOSS 1<br /> ENDIF</p> <p>//VARIABLES STOP SUIVEUR<br /> ONCE trailingStopType = 1 // Trailing Stop – 0 OFF, 1 ON<br /> ONCE trailingstoplong = 9 // Trailing Stop Atr Relative Distance<br /> ONCE trailingstopshort = 8 // Trailing Stop Atr Relative Distance</p> <p>ONCE atrtrailingperiod = 14 // Atr parameter Value<br /> ONCE minstop = 0 // Minimum Trailing Stop Distance</p> <p>// TRAILINGSTOP<br /> //———————————————-<br /> atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000<br /> trailingstartl = round(atrtrail*trailingstoplong)<br /> trailingstartS = round(atrtrail*trailingstopshort)<br /> if trailingStopType = 1 THEN<br /> TGL =trailingstartl<br /> TGS=trailingstarts<br /> if not onmarket then</p> <p>MAXPRICE = 0<br /> MINPRICE = close<br /> PREZZOUSCITA = 0<br /> ENDIF<br /> if longonmarket then<br /> MAXPRICE = MAX(MAXPRICE,close)<br /> if MAXPRICE-tradeprice(1)>=TGL*pointsize then<br /> if MAXPRICE-tradeprice(1)>=MINSTOP then<br /> PREZZOUSCITA = MAXPRICE-TGL*pointsize<br /> ELSE<br /> PREZZOUSCITA = MAXPRICE – MINSTOP*pointsize<br /> ENDIF<br /> ENDIF<br /> ENDIF<br /> if shortonmarket then<br /> MINPRICE = MIN(MINPRICE,close)<br /> if tradeprice(1)-MINPRICE>=TGS*pointsize then<br /> if tradeprice(1)-MINPRICE>=MINSTOP then<br /> PREZZOUSCITA = MINPRICE+TGS*pointsize<br /> ELSE<br /> PREZZOUSCITA = MINPRICE + MINSTOP*pointsize<br /> ENDIF<br /> ENDIF<br /> ENDIF<br /> if onmarket and PREZZOUSCITA>0 then<br /> EXITSHORT AT PREZZOUSCITA STOP<br /> SELL AT PREZZOUSCITA STOP<br /> ENDIF<br /> ENDIF

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//————————————————————————- // Main code : Vectorial DJI 3M v6.0 +entFilt //————————————————————————- //————————————————————————- // Main code : Vectorial DJI 3M v6.0 //————————————————————————- //————————————————————————- // Main code : _Vectorial Dax V3 //————————————————————————- // ROBOT VECTORIAL DAX // M5 // SPREAD 1.5 // by BALMORA 74 – FEBRUARY 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 T1 = 6 p1 = average[t1](close) p2 = average[t1*2](close) p3 = average[t1*6](close) p4 = average[t1*3](close) a1 = p1 > p2 and p2 > p3 and p3 > p4 a2 = p1 < p2 and p2 < p3 and p3 < p4 //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 // TAILLE DES POSITIONS PositionSizeLong = 1 PositionSizeShort = 1 //STRATEGIE //VECTEUR = CALCUL DE L’ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA–MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= – 40 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB–MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > –1) //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB //POSITION LONGUE IF CONDBUY and A1 THEN buy PositionSizeLong contract at market //SET Target %PROFIT 1 //SET STOP %LOSS 0.7 ENDIF //POSITION COURTE IF CONDSELL and a2 THEN Sellshort PositionSizeShort contract at market //SET Target %PROFIT 1.2 //SET STOP %LOSS 1 ENDIF //VARIABLES STOP SUIVEUR ONCE trailingStopType = 1 // Trailing Stop – 0 OFF, 1 ON ONCE trailingstoplong = 9 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 8 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //———————————————- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE–tradeprice(1)>=TGL*pointsize then if MAXPRICE–tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE–TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE – MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)–MINPRICE>=TGS*pointsize then if tradeprice(1)–MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

 

Vonasi wrote:

the minimum size on DJI for spread betting was 0.2

It may well be (or 0.5?), but my comment was about CFD position size.

Bjr Fifi, je n arrive pas a ajouté le code de clôture de position exemple, du vendredi pour ne pas être over-week. Merci

I can not add the code to not be in position at the weekend. Thank you

Hello @sublime06. You can publish the itf file that you managed to do?

Good afternoon.
It is the first time I write here and I wanted to talk about the possible over-optimization of the DAX 6.2 Vector proposed by Fifi.

I wanted to know if it is possible to make another optimization different from the one proposed by Fifi.
The first thing I did was to unify the “Filtre_Prise_Position” indicator with the Vectorial Dax system.
Then I estimated that the main system variables are PeriodeA, PeriodeB, ChandelierA, ChandelierB, AngleA and AngleB.
What I am doing is optimizing month by month and getting the best results for each month.
With that data you can do several things:
– An arithmetic average with 15 periods or more.
– Its weighted calculation as if it were an Exponential Average to give more weight to the last months
– A weighted calculation relative to the amount of money earned each month
– Calculation of arithmetic averages between maximum benefit and maximum% success.
– more ….
The options to estimate the optimal values ​​without falling into over optimization are many and all of them are giving positive values.

Regarding the bad results obtained this month by the system proposed by Fifi with its values, I think it is something transitory. All estimates with variables of all types give a drop in this last month.
And in part it is logical because seeing the code we see the great importance of the “Weekpoints” as points of support and resistance that indicate the exits of the operations. Let’s note that this month the DAX was atypically very flat, which makes the system fail.

I still think the system is good, very good.

It takes me one day to get maximum optimization for each month and I am doing it a second time because I detected a failure in my procedure.
When I have all the values ​​obtained again, I will share them here.

Many thanks to those who collaborated in this system and in this forum, especially Balmora, Fifi, GraHal, Gubben …