GraHal wrote:

DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 1 // = 0 for optimization if MM = 0 then positionsize=.5 ENDIF if MM = 1 then ONCE startpositionsize = .5 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // IG first tier margin limit ONCE maxpositionsize = 550 //  IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF   Ctime = time >= 010000 and time <= 230000   TIMEFRAME(2 hours) Period= 240 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c9 = HULLa > HULLa[1] //c2 = HULLa < HULLa[1]   TIMEFRAME(15 minutes) mx1 = average[16,1](close) c7 = mx1 > mx1[1] //c8 = mx1 < mx1[1]   TIMEFRAME(10 minutes) mx2 = average[15,0](close) c5 = mx2 > mx2[1] //c6 = mx2 < mx2[1]   //Stochastic RSI | indicator lengthRSI = 10//RSI period lengthStoch = 16//Stochastic period smoothK = 16 //Smooth signal of stochastic RSI smoothD = 3 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c3 = K>D //c4 = K indicator4) //c2 = (close < indicator4)   //VECTEUR = CALCUL DE L’ANGLE ONCE PeriodeA = 5 ONCE nbChandelierA= 42 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 31 //CondSell1 = ANGLE <= – 25     //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 24 ONCE nbChandelierB= 50 lag = 4 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 Ctime and c1 and c3 and c5 and c7 and c9 //CONDSELL = CondSell1 and CondSell2 and Ctime and c2 and c4 and c6 and c8     //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 1.7 SET TARGET %PROFIT 2.1 ENDIF   //POSITION COURTE //IF CONDSELL THEN //Sellshort positionsize contract at market //SET STOP %LOSS sls //SET TARGET %PROFIT tps //ENDIF   //Break even once breakeven = 1//1 on – 0 off   breakevenPercent = .22 PointsToKeep = 2 startBreakeven = tradeprice(1)*(breakevenpercent/100)   //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // — BUY SIDE — //test if the price have moved favourably of “startBreakeven” points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // — end of BUY SIDE — IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif   //**************************************************************************************** // trailing atr stop II once trailingstoptype     = 1    // trailing stop – 0 off, 1 on   once tsincrements = 0         // set to 0 to ignore tsincrements once tsminatrdist = 2   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 0    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 9   // ts atr distance trailingstopshort    = 9  // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then=”” trailingstopshort=”trailingstopshort” else=”” endif=””  =”” tsatr=”averagetruerange[tsatrperiod]((close/10)*pipsize)/1000″ (forex)=”” tgl=”round(tsatr*trailingstoplong)” tgs=”round(tsatr*trailingstopshort)” if=”” not=”” onmarket=”” or=”” ((longonmarket=”” and=”” shortonmarket[1])=”” (longonmarket[1]=”” shortonmarket))=”” tsmaxprice=”0″ tsminprice=”close” tsnewsl=”0″ tssensitivity=”” tssensitivitylong=”high” tssensitivityshort=”low” longonmarket=”” tsmaxprice-tradeprice(1)=””>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif</tsnew

GraHal wrote:

DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //Money Management MM = 1 // = 0 for optimization if MM = 0 then positionsize=.5 ENDIF if MM = 1 then ONCE startpositionsize = .5 ONCE factor = 10 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.005) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 55 // IG first tier margin limit ONCE maxpositionsize = 550 //  IG tier 2 margin limit ONCE minpositionsize = .2 // enter minimum position allowed IF Not OnMarket THEN positionsize = startpositionsize + Strategyprofit/(factor*margin) ENDIF IF Not OnMarket THEN IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin ENDIF IF Not OnMarket THEN if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN positionsize = minpositionsize //keeps positionsize from going below allowed minimum ENDIF IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit ENDIF ENDIF ENDIF ENDIF   Ctime = time >= 010000 and time <= 230000   TIMEFRAME(2 hours) Period= 240 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c9 = HULLa > HULLa[1] //c2 = HULLa < HULLa[1]   TIMEFRAME(15 minutes) mx1 = average[16,1](close) c7 = mx1 > mx1[1] //c8 = mx1 < mx1[1]   TIMEFRAME(10 minutes) mx2 = average[15,0](close) c5 = mx2 > mx2[1] //c6 = mx2 < mx2[1]   //Stochastic RSI | indicator lengthRSI = 10//RSI period lengthStoch = 16//Stochastic period smoothK = 16 //Smooth signal of stochastic RSI smoothD = 3 //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) c3 = K>D //c4 = K indicator4) //c2 = (close < indicator4)   //VECTEUR = CALCUL DE L’ANGLE ONCE PeriodeA = 5 ONCE nbChandelierA= 42 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 31 //CondSell1 = ANGLE <= – 25     //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 24 ONCE nbChandelierB= 50 lag = 4 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 Ctime and c1 and c3 and c5 and c7 and c9 //CONDSELL = CondSell1 and CondSell2 and Ctime and c2 and c4 and c6 and c8     //POSITION LONGUE IF CONDBUY THEN buy positionsize contract at market SET STOP %LOSS 1.7 SET TARGET %PROFIT 2.1 ENDIF   //POSITION COURTE //IF CONDSELL THEN //Sellshort positionsize contract at market //SET STOP %LOSS sls //SET TARGET %PROFIT tps //ENDIF   //Break even once breakeven = 1//1 on – 0 off   breakevenPercent = .22 PointsToKeep = 2 startBreakeven = tradeprice(1)*(breakevenpercent/100)   //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // — BUY SIDE — //test if the price have moved favourably of “startBreakeven” points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // — end of BUY SIDE — IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif   //**************************************************************************************** // trailing atr stop II once trailingstoptype     = 1    // trailing stop – 0 off, 1 on   once tsincrements = 0         // set to 0 to ignore tsincrements once tsminatrdist = 2   once tsatrperiod    = 14         // ts atr parameter once tsminstop      = 12         // ts minimum stop distance   once tssensitivity        = 0    // [0]close;[1]high/low   if trailingstoptype then if barindex=tradeindex then trailingstoplong     = 9   // ts atr distance trailingstopshort    = 9  // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then=”” trailingstopshort=”trailingstopshort” else=”” endif=””  =”” tsatr=”averagetruerange[tsatrperiod]((close/10)*pipsize)/1000″ (forex)=”” tgl=”round(tsatr*trailingstoplong)” tgs=”round(tsatr*trailingstopshort)” if=”” not=”” onmarket=”” or=”” ((longonmarket=”” and=”” shortonmarket[1])=”” (longonmarket[1]=”” shortonmarket))=”” tsmaxprice=”0″ tsminprice=”close” tsnewsl=”0″ tssensitivity=”” tssensitivitylong=”high” tssensitivityshort=”low” longonmarket=”” tsmaxprice-tradeprice(1)=””>=tgl*pointsize then if tsmaxprice-tradeprice(1)>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if tradeprice(1)-tsminprice>=tgs*pointsize then if tradeprice(1)-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif</tsnewsl[1]>

Hi All,

I tested the 2 versions (Nonetheless and Grahal) with MM=0, spread2, tick by tick, 200K candles.

Cf attached results. We should perforam a WF analysis.

NoneVectMoD-DJI-M5.png