Discussing the strategy VECTORIAL DAX (M5)
09/09/2020 at 9:51 AM #143698
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.09/09/2020 at 9:52 AM #14369909/09/2020 at 10:26 AM #143703
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! 🙂123if normal thenpositionsize = 0.5 //0.2endif09/09/2020 at 1:19 PM #143738
normally there is a be/ts atr or %, pt for profits. I found Market Resilence EUR | Graph Indicator and created exit criteria for long & short.
It let’s profits run more. In the pic there’s besides that only a stoploss. Default settings as it was published. It’s done quick & got to check it some more. But it does look interesting! Still a high dd though.
On the other hand, if you turn off be/ts/pt then results jump even higher but then time in market is almost 100%.
here’s a comparison.09/09/2020 at 1:27 PM #14374209/09/2020 at 1:37 PM #143743
Thx Paul, it looks great. In direct comparison to your last backtest, you have significantly fewer trades and a little bit worse rate. But a better profit, andthe losing rades have not increased. Thats good.
09/09/2020 at 2:00 PM #143749
@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.123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167168169170171172173174175176177178179180181182183//MRonce mr=1if mr thenstarttime = 0 // 08h00 Pré Market EU (Cac, Dax, Footsie, ect...)endtime = 044500 // 09h00 Ouverture session européenneif intradaybarindex = 0 thenhh = 0ll = 0endifif time >= starttime and time <= endtime thenif high > hh thenhh = highendifif low < ll or ll = 0 thenll = lowendifendiffib38 = hhfib0 = llfibobull200 = (fib38-fib0)*5.236+fib0fibobull162 = (fib38-fib0)*4.236+fib0fibobull124 = (fib38-fib0)*3.236+fib0fibobull100 = (fib38-fib0)*1.618+fib38fibobull76 = (fib38-fib0)+fib38fibobull62 = (fib38-fib0)*1.618+fib0fibobear62 = (fib0-fib38)*.618+fib0fibobear76 = (fib0-fib38)+fib0fibobear100 = (fib0-fib38)*1.618+fib0fibobear124 = (fib0-fib38)*2.236+fib0fibobear162 = (fib0-fib38)*3.236+fib0fibobear200 = (fib0-fib38)*4.236+fib0fibobull200=fibobull200fibobull162=fibobull162fibobull124=fibobull124fibobull100=fibobull100fibobull76=fibobull76fibobull62=fibobull62fibobear62=fibobear62fibobear76=fibobear76fibobear100=fibobear100fibobear124=fibobear124fibobear162=fibobear162fibobear200=fibobear200//graphonprice fibobull62//graphonprice hhif not onmarket or ((longonmarket and shortonmarket) or (longonmarket and shortonmarket)) thenflag1=0flag2=0flag3=0flag4=0flag5=0flag6=0flag7=0flag8=0flag9=0flag10=0flag11=0flag12=0endifif time>=044500 thenif longonmarket thenif close crosses over fibobull62 thenflag1=1endifif flag1=1 thenif close crosses under (ll+fibobull62)/2 thensell at marketendifendifif close crosses over fibobull76 thenflag2=1endifif flag2=1 thenif close crosses under (hh+fibobull76)/2 thensell at marketendifendifif close crosses over fibobull100 thenflag3=1endifif flag3=1 thenif close crosses under (fibobull62+fibobull100)/2 thensell at marketendifendifif close crosses over fibobull124 thenflag4=1endifif flag4=1 thenif close crosses under (fibobull76+fibobull124)/2 thensell at marketendifendifif close crosses over fibobull162 thenflag5=1endifif flag5=1 thenif close crosses under (fibobull100+fibobull162)/2 thensell at marketendifendifif close crosses over fibobull200 thenflag6=1endifif flag6=1 thenif close crosses under (fibobull124+fibobull200)/2 thensell at marketendifendifendifif shortonmarket thenif close crosses under fibobear62 thenflag7=1endifif flag7=1 thenif close crosses over (hh+fibobear62)/2 thenexitshort at marketendifendifif close crosses under fibobear76 thenflag8=1endifif flag8=1 thenif close crosses over (ll+fibobear76)/2 thenexitshort at marketendifendifif close crosses under fibobear100 thenflag9=1endifif flag9=1 thenif close crosses over (fibobear62+fibobear100)/2 thenexitshort at marketendifendifif close crosses under fibobear124 thenflag10=1endifif flag10=1 thenif close crosses over (fibobear76+fibobear124)/2 thenexitshort at marketendifendifif close crosses under fibobear162 thenflag11=1endifif flag11=1 thenif close crosses over (fibobear100+fibobear162)/2 thenexitshort at marketendifendifif close crosses under fibobear200 thenflag12=1endifif flag12=1 thenif close crosses over (fibobear124+fibobear200)/2 thenexitshort at marketendifendifendifendifendif
1 user thanked author for this post.09/09/2020 at 2:17 PM #14375009/09/2020 at 2:30 PM #143755
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.
09/09/2020 at 4:02 PM #143765
I spotted a small minor mistake in the % trailing stop. It should be as in the pic. (switched high/low for long & short).
Although i’am not a fan of breakeven, it has some use. If trailingstop is used 1%. Perhaps use a breakeven of 0.5% to get out if the market turns, at -1%, -0.5% or i.e. 0%.
1 user thanked author for this post.09/10/2020 at 9:37 AM #143829
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.
09/11/2020 at 1:06 AM #14390009/11/2020 at 5:45 AM #14390209/11/2020 at 7:43 AM #14390409/11/2020 at 8:10 AM #143911
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.