Discussing the strategy VECTORIAL DAX (M5)

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Viewing 15 posts - 751 through 765 (of 1,239 total)
  • #130956

    Here is my modification of Balmora’s original. I went back to the beginning and made a few small changes with in mind it had to be a lite version.

    Besides that, the trailing stop kicks in when atr distance is 8 and quickly moves to 4 when there are no new high/low made in an effort not to surrender too much gains.

    With 2% stoploss and a trailingstop there are lot’s off signals which aren’t visible when in a position. So it’s important to be able to include those, especially in the optimisation!

    Inserted reenter, so every true conditions to enter the market could be tested, even when current position was in loss, profit or both. (selectable) Then it’s closed and opened again in same direction.

    It means more trades and smaller average losses/gains and still this strategy is maintaining a similar result despite more trades.  a good indication for robustness!

     

    10 users thanked author for this post.
    #131031

    Little question which should be obvious for you:

    How many occurencies should i choose in the Walk Forward?

    #131041

    If it’s the 121-version you wish to backtest you can set it to 1 and then inactive.

    #131203

    ok. Thank you.

    #131300

    todays position wasnt good at all,,

    franro.

    #131493

    Good premiere on the first day it operates!

    #131535

    Nacho you jinxed it

    #131778

    one thing to point out.

    running it for long only and short only, both performances with current settings are poor. Long & short work together with eachother and both have in part optimised settings. That is one major reliability issue regardless how the performance looks if both are active at the same time, is it not?

     

     

    #131885

    on 121p, simply selecting long/short only resulted in (very) poor performance.

    It uses the stoploss of 2% and a big trailingstop.

    So new test, the focus is long/short only, it needed a smaller stoploss and changed it to 0.5%

    Made the trailingstop faster (atr 6), optimised the settings (and went back to the original values) and optimised the angle. Without the trend detection.

     

     

     

     

    5 users thanked author for this post.
    #131954

    Hi Paul. What do you mean when you say : “without the trend detection” ? . It is the Average [20] and/ or Average[35] condition for CONDBUY and CONDSELL ?

    #131965

    Hi, yeah that’s it.

    here’s the latest, I don’t know how to improve with only few extra criteria significantly for only short & only long.

     

     

     

     

     

    7 users thanked author for this post.
    #132037

    Paul this is the last version of the code i’m running since one month and the results seems quite good. I added ATR + Daily / Weekly and Monthly Pivot for calculating the PositionSize and as a filter for entry point. Perhaps a idea to improve the your excellent v130p version of Vectorial Dax…

     

     

     

    8 users thanked author for this post.
    #132050

    Thanks a lot for releasing a new version Balmora74! Looks very interesting, first thing I think where v130 can be improved with is pivots. Got some work to do! 🙂

    #132490

    Maybe it’s curve fitting guys, but I get best results when using 5 instead of 11 and 20 instead of 36 for the ATR position sizing. Tested the robustness and it looks quite alright, let me know what you think 🙂


    @Balmora74
    , how did you found the ATR values ? I’m working on a more gradual sizing position on your “basic” version.

    Anyhow, even older versions are working quite well despite the crash, I’m very surprised, i honestly thought there was some overfitting in the air, but apparently not so much ! Good job guys!

    1 user thanked author for this post.
    #132557

    Hi, yeah that’s it.

    here’s the latest, I don’t know how to improve with only few extra criteria significantly for only short & only long.

     

    Hi @Paul
    Why do you separate long/short robots ? Do you think it ameliorate something ?

    Cheers

     

Viewing 15 posts - 751 through 765 (of 1,239 total)

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