Discussing the strategy VECTORIAL DAX (M5)

Balmora74 · Sun, 24 Feb 2019 19:49:58 +0000

Hello everybody ! I open this discussion file in order to share dans discuss about the strategy VECTORIAL DAX (M5) you can find here : https://www.prorealcode.com/prorealtime-trading-strategies/vectorial-dax-m5/ Best regards.

This topic has 1,238 replies, 121 voices, and was last updated 9 months ago by Monochrome.

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03/20/2019 at 9:33 PM #94203

Balmora74

Hi Vonasi ! I recently worked on a new version of the code based on the various suggestions of this thread (Paul and Jebus89 in particular). I also did a Walk Forward on the variable “lag”. I also took into account your recommendations on the size of the positions and I added your code on money management. Here is the code and below the results. I would be happy to have your feedback and opinion. Thank you.

// ROBOT VECTORIAL DAX
// M5
// SPREAD 1.5
// by BALMORA 74 - FEBRUARY 2019

DEFPARAM CumulateOrders = false
DEFPARAM Preloadbars = 50000


//VARIABLES
CtimeA = time >= 080000 and time <= 180000
CtimeB = time >= 080000 and time <= 180000


MoneyManagement = 2
RiskManagement = 0
Capital = 10000
MinBetSize = 1
RiskLevel = 20
 
Equity = Capital + StrategyProfit
 
IF MoneyManagement = 1 THEN
PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital))
ENDIF
 
IF MoneyManagement = 2 THEN
PositionSize = Max(LastSize, Equity * (MinBetSize/Capital))
LastSize = PositionSize
ENDIF
 
IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN
PositionSize = MinBetSize
ENDIF
 
IF RiskManagement THEN
IF Equity > Capital THEN
RiskMultiple = ((Equity/Capital) / RiskLevel)
PositionSize = PositionSize * (1 + RiskMultiple)
ENDIF
ENDIF
 
PositionSize = Round(PositionSize)

 
// TAILLE DES POSITIONS
PositionSizeLong = 1 * positionsize
PositionSizeShort = 1 * positionsize
 

//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 THEN
buy PositionSizeLong contract at market
SET STOP %LOSS 2
ENDIF

//POSITION COURTE
IF CONDSELL THEN
Sellshort PositionSizeShort contract at market
SET STOP %LOSS 2
ENDIF

//VARIABLES STOP SUIVEUR
ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON
ONCE trailingstoplong     = 4    // Trailing Stop Atr Relative Distance
ONCE trailingstopshort    = 4    // 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

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// ROBOT VECTORIAL DAX

// M5

// SPREAD 1.5

// by BALMORA 74 - FEBRUARY 2019

DEFPARAM CumulateOrders = false

DEFPARAM Preloadbars = 50000

//VARIABLES

CtimeA = time >= 080000 and time <= 180000

CtimeB = time >= 080000 and time <= 180000

MoneyManagement = 2

RiskManagement = 0

Capital = 10000

MinBetSize = 1

RiskLevel = 20

Equity = Capital + StrategyProfit

IF MoneyManagement = 1 THEN

PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital))

ENDIF

IF MoneyManagement = 2 THEN

PositionSize = Max(LastSize, Equity * (MinBetSize/Capital))

LastSize = PositionSize

ENDIF

IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN

PositionSize = MinBetSize

ENDIF

IF RiskManagement THEN

IF Equity > Capital THEN

RiskMultiple = ((Equity/Capital) / RiskLevel)

PositionSize = PositionSize * (1 + RiskMultiple)

ENDIF

PositionSize = Round(PositionSize)

// TAILLE DES POSITIONS

PositionSizeLong = 1 * positionsize

PositionSizeShort = 1 * positionsize

//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 THEN

buy PositionSizeLong contract at market

SET STOP %LOSS 2

ENDIF

//POSITION COURTE

IF CONDSELL THEN

Sellshort PositionSizeShort contract at market

SET STOP %LOSS 2

ENDIF

//VARIABLES STOP SUIVEUR

ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON

ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance

ONCE trailingstopshort = 4 // 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

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

if onmarket and PREZZOUSCITA>0 then

EXITSHORT AT PREZZOUSCITA STOP

SELL AT PREZZOUSCITA STOP

ENDIF

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winnie37,

capgros

Balmora74

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03/20/2019 at 9:57 PM #94209

Vonasi

My at glance feelings are that there are quite a number of variables that could all be curve fitted or a combination of variables be curve fitted which is going to be quite a bit of analysis to see how much affect each variable or combination of variables has. Even simple variables like the stop loss distances can be very curve fitted and will need to be included or eliminated from the analysis.

One thing I do notice is that you have MINSTOP set to zero which will always massively improve a strategy performance. In the real world the brokers set a minimum stop distance and even change this based on volatility so a setting of zero is the perfect world and the perfect world is not something we can trade in!

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swedshare,

Jeremy8,

Balmora74

Vonasi

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03/20/2019 at 10:13 PM #94211

Balmora74

Yes i understand. But a interesting thing is that if you turn off the trailing stop (ONCE trailingStopType = 0) the equity curve is quite good and the strategy profit is the same (we just have a highest draw down).

Balmora74

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03/20/2019 at 10:18 PM #94213

Vonasi

I’ve given up trying to find a trailing stop that actually improves a strategy. It might just be my trading style but also there are usually too many variables in a trailing stop code that make me fear curve fitting.

Please post the non-trailing code equity curves if you can.

Also I would recommend only ever developing and forward testing with level stakes as money management just adds one extra level of confusion to strategy development. Once you are totally happy and confident in a strategy then add it and put it live if it still backtests well with the money management active.

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Wilko

Vonasi

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03/20/2019 at 10:23 PM #94214

Balmora74

Ok so i put on value = 0 the variables “MoneyManagement” and “trailingStopType”. These a the results :

Balmora74

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03/20/2019 at 10:30 PM #94218

Balmora74

Sorry these are the good pictures below with “MoneyManagement” and “trailingStopType” = 0

Balmora74

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03/21/2019 at 8:21 AM #94236

Vonasi

That still looks like a very nice equity curve, especially considering the 49% win rate and proves that the trailing stop adds very little to the basic concept. Now you just need to check how various combinations of variables (including the % stop levels) change results to find out if you are sitting on a curve fitted cliff edge. Unfortunately I have to drive up to Athens and back again today so I won’t be able to help much with this.

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03/21/2019 at 9:13 AM #94244

Balmora74

I will put on demo account different version for 6 month and look at if after…

Balmora74

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03/21/2019 at 4:05 PM #94325

Vonasi

I’m back from Athens now! Forward testing for a long period is the best test possible – and so much easier than testing and analysing all variable combinations in backtests!

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winnie37

Vonasi

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03/21/2019 at 4:56 PM #94334

Balmora74

When you speak of forward testing you wan to say on a demo account ? Or with Walk Forward ?

Balmora74

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03/21/2019 at 5:40 PM #94343

Vonasi

Live on demo.

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nfulcher,

Balmora74

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03/25/2019 at 10:41 AM #94605

capgros

Good morning everyone,

Thanks Balmora74 for this strategy, I am trying to run it on live demo since last thursday 21, but it took one trade that day and since then, last friday and today system stops because order requests fail… I am a newbie so I can´t understand why this is happening, if someone can help me to understand and try to solve it. Attach you can find the message I get and all the failed attempts from this morning. Thanks a lot in advance!

capgros

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03/25/2019 at 10:47 AM #94612

Balmora74

Hello capgros ! I have the same problem since friday on my account for different strategy based on CFD Dax 30 (1 euros). Strategy have shutdown and i have to re-start them manually. I think it’s perhaps a problem who can be linked to ongoing account migrations from IG Markets to IG Europe… ?

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capgros

Balmora74

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03/25/2019 at 10:57 AM #94618

capgros

Aaaaah, maybe you are right, because it is the same for me, not only your strategy stopped but some of them, and some not. Ok I will keep restarting all of them manually and will see what´s going on next days. Will keep you updated. Cheers

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Balmora74

capgros

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03/25/2019 at 11:18 AM #94636

Vonasi

See here for a discussion regarding stopped strategies and rejected orders.

https://www.prorealcode.com/topic/strategies-stopped-due-to-rejected-orders-lack-of-info/#post-93069

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capgros

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