Discussing the strategy VECTORIAL DAX (M5)
03/25/2019 at 11:42 AM #9464103/25/2019 at 11:48 AM #9464303/25/2019 at 12:27 PM #9465403/27/2019 at 4:36 PM #9479403/27/2019 at 5:00 PM #9480503/27/2019 at 5:06 PM #9480703/27/2019 at 5:10 PM #9481003/27/2019 at 5:47 PM #94814
When using AVERAGETRUERANGE it is not normally necessary to use the (close) part of the instruction to get a result. It appears that the closing price or close/10 within the () is somehow used in the calculation of the average true range. I can only guess at the moment that it is used in the true range calculation required. This seems wrong to me. I have highlighted it to Nicolas off forum and hopefully he can investigate with PRT how they use what is in the () in the calculation.03/28/2019 at 8:55 AM #94858AverageTrueRange[N](price)
This represents the volatility of a stock.
True range is the highest data in absolute value among :
(today’s high – today’s low)
(today’s high – yesterday’s close)
(today’s low – yesterday’s close)
So if you replace the Close (which is the default data serie to calculate the ATR) with another variable, it will be used in the above calculation, comparing Close/10 to High and Low will obviously result of something peculiar! 😉
1 user thanked author for this post.03/28/2019 at 10:07 AM #9486303/28/2019 at 11:22 AM #9487004/03/2019 at 12:06 PM #95402
I’m running the strategy since 1. of march on live account and it looks pretty stable. There was one trade last friday which went profitable on monday but the trailing did not get activated at all so I closed the position manually. However, I’m running a mixed version with an dax opening strategy so the problem might be there. I’m also currently looking into a position which got stopped out today altough a clear opposite trend was building up for a while. Maybe it makes sense to include an additional stop criteria.04/03/2019 at 5:36 PM #9542704/07/2019 at 8:27 PM #95648
Hello, I have one question regarding the trailing stop used in the strategy. I know this is one of the existing trailing stop codes of the website.
I guess that both trailingstoplong and trailingstopshort variables have been optimized to fit the prices between mid 2016 and now, so for a DAX between 10000 and 13500.
So will the trailing stop be still this efficient outside this trading range, for instance for a DAX above 13500 or below 10000 ?04/07/2019 at 10:00 PM #95651
So will the trailing stop be still this efficient outside this trading range, for instance for a DAX above 13500 or below 10000 ?
Probably not or maybe!
This is a major problem whenever a strategy has an optimized SL or TP of any form IMHO. If the original strategy was developed on a section of data and then re-tested on an out of sample section of data and then still performed the same then you might be in with a fighting chance that it will work in the future – or the markets could just do something completely different in the future compared to the past and confound us all.
Often range can change with increase of price especially on indices making a fixed SL or TP or trailing stop variable seem irrelevant. Also range compared to price is not totally linear so even trying to adapt SL and TP relative to price does not always work – or ends up being just one more thing that you curve fitted.
1 user thanked author for this post.