@Paul

My  system with my MM end with many position but this means that the system earns and the combination of DD and necessary margin allows those size. I will not get to those sizes because if the system goes well I will change the instrument…I hope to arrive to use a cash with a 10$ a point.

Paul wrote:

you must have a setting wrong

Had to be something simple so I tried  various … seems the minimum position size on Demo Backtest Spread Bet platform is now 0.5 on DJI.

I changed below (line 23 to 25) and the Algo sprang into life! 🙂

if normal then
positionsize = 0.5 //0.2
endif

Thanks @Paul

I count more than 10 variables in the code = big overfitting and a big distribution in results.

For me it can’t work on OOS.

Just my opinion …

@zilliq I know and I’am a bit sceptical too. But it’s too good not to look at it. The vectorial dax always had many factors and in fact i’ve trying to reduce them but not successfully and instead I added now more 🙂

Here’s the code i’am experimenting with. It can be paste at the bottom. If used I would suggest to turn off the atr trailing stop & breakeven, but use the trailing stop preferably at 1%.

Maybe it’s crap or maybe not (completely). I just was curious about the impact of a rough idea.

//MR
once mr=1
if mr then
starttime = 0     // 08h00 Pré Market EU (Cac, Dax, Footsie, ect...)
endtime   = 044500     // 09h00 Ouverture session européenne

if intradaybarindex = 0 then
hh = 0
ll = 0
endif

if time >= starttime and time <= endtime then
if high > hh then
hh = high
endif
if low < ll or ll = 0 then
ll = low
endif
endif

fib38 = hh
fib0  = ll

fibobull200 = (fib38-fib0)*5.236+fib0
fibobull162 = (fib38-fib0)*4.236+fib0
fibobull124 = (fib38-fib0)*3.236+fib0
fibobull100 = (fib38-fib0)*1.618+fib38
fibobull76 = (fib38-fib0)+fib38
fibobull62 = (fib38-fib0)*1.618+fib0

fibobear62 = (fib0-fib38)*.618+fib0
fibobear76 = (fib0-fib38)+fib0
fibobear100 = (fib0-fib38)*1.618+fib0
fibobear124 = (fib0-fib38)*2.236+fib0
fibobear162 = (fib0-fib38)*3.236+fib0
fibobear200 = (fib0-fib38)*4.236+fib0

fibobull200=fibobull200
fibobull162=fibobull162
fibobull124=fibobull124
fibobull100=fibobull100
fibobull76=fibobull76
fibobull62=fibobull62

fibobear62=fibobear62
fibobear76=fibobear76
fibobear100=fibobear100
fibobear124=fibobear124
fibobear162=fibobear162
fibobear200=fibobear200

//graphonprice fibobull62
//graphonprice hh

if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
flag1=0
flag2=0
flag3=0
flag4=0
flag5=0
flag6=0
flag7=0
flag8=0
flag9=0
flag10=0
flag11=0
flag12=0
endif

if time>=044500 then
if longonmarket then
if close crosses over fibobull62 then
flag1=1
endif
if flag1=1 then
if close crosses under (ll+fibobull62)/2 then
sell at market
endif
endif

if close crosses over fibobull76 then
flag2=1
endif
if flag2=1 then
if close crosses under (hh+fibobull76)/2 then
sell at market
endif
endif

if close crosses over fibobull100 then
flag3=1
endif
if flag3=1 then
if close crosses under (fibobull62+fibobull100)/2 then
sell at market
endif
endif

if close crosses over fibobull124 then
flag4=1
endif
if flag4=1 then
if close crosses under (fibobull76+fibobull124)/2 then
sell at market
endif
endif

if close crosses over fibobull162 then
flag5=1
endif
if flag5=1 then
if close crosses under (fibobull100+fibobull162)/2 then
sell at market
endif
endif

if close crosses over fibobull200 then
flag6=1
endif
if flag6=1 then
if close crosses under (fibobull124+fibobull200)/2 then
sell at market
endif
endif

endif
if shortonmarket then
if close crosses under fibobear62 then
flag7=1
endif
if flag7=1 then
if close crosses over (hh+fibobear62)/2 then
exitshort at market
endif
endif

if close crosses under fibobear76 then
flag8=1
endif
if flag8=1 then
if close crosses over (ll+fibobear76)/2 then
exitshort at market
endif
endif

if close crosses under fibobear100 then
flag9=1
endif
if flag9=1 then
if close crosses over (fibobear62+fibobear100)/2 then
exitshort at market
endif
endif

if close crosses under fibobear124 then
flag10=1
endif
if flag10=1 then
if close crosses over (fibobear76+fibobear124)/2 then
exitshort at market
endif
endif

if close crosses under fibobear162 then
flag11=1
endif
if flag11=1 then
if close crosses over (fibobear100+fibobear162)/2 then
exitshort at market
endif
endif

if close crosses under fibobear200 then
flag12=1
endif
if flag12=1 then
if close crosses over (fibobear124+fibobear200)/2 then
exitshort at market
endif
endif
endif
endif
endif

volpiemanuele, i’ve included your money management, so it can be compared mm from nonetheless. Not on 200k bars, but on a much smaller timeframe in a backtest or live. Thanks for sharing.

Also included above test code. Interesting to see it compared to ts 1% on / off.

above is just a preference. But what’s used makes a bit of a difference.

Anyway here’s the indicator where the extra code is based on. It the strategy it uses different times then de indicator.

Great performance, you are the best😉 Is it possible to have .itf for testing?  Thanks a lot.

Sharing is easy but it takes time to find something good. It nice to see another market popup. Thanks volpiemanuele

In my case I focussed from the start between 8-22h.