Discussing the strategy VECTORIAL DAX (M5)

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  • This topic has 992 replies, 103 voices, and was last updated 2 hours ago by avatarPaul.
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  • #94203 Report

    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.

     

     

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    #94209 Report

    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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    #94211 Report

    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).

    #94213 Report

    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.

    #94214 Report

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

     

     

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    #94218 Report

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

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    #94236 Report

    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.

    #94244 Report

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

    #94325 Report

    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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    #94334 Report

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

    #94343 Report

    Live on demo.

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    #94605 Report

    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!

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    #94612 Report

    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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    #94618 Report

    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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    #94636 Report

    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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