Discussing the strategy VECTORIAL DAX (M5)

Forums ProRealTime English forum ProOrder support Discussing the strategy VECTORIAL DAX (M5)

  • This topic has 992 replies, 103 voices, and was last updated 3 hours ago by avatarPaul.
Currently, there are 10 users and 12 guests visiting this topic.
View all attachments
Viewing 15 posts - 76 through 90 (of 993 total)
  • #95931 Report

    Here is my version, with a different angle (WF).

    Improvments and suggestions are welcome!

     

     

     

    Attachments:
    1. Vectorial-DAX-M5-v3_Paul.itf
    2 users thanked author for this post.
    #96006 Report

    Hi Winnie. Thanks for sharing your researchs

    From my side I worked on an improved version based on Paul’s suggestions

    I kept the values ​​of original angles but I did a backtest using Walk Forward to optimize the variable “lag” and I’m OK like you for lag = 1.5.

    Otherwise I added a 3rd condition for LONG and SHORT based on the orientation of a medium-term moving average :

    CondBuy3 = average[100](close) > average[100](close)[1]

    CondSell3 = average[20](close) < average[20](close)[1]

    It gives less number of positions / less drawdown and  a better profit factor.

    Below are the results and the .ITF file.

    It is quite possible that the algorithm is over fitted and over optimized. Reason why I put the code in account demo to observe its behavior over 6 months to 1 year…

    I will it share it after….

     

     

     

     

    Attachments:
    1. Vectorial-DAX-v2-WFE.itf
    3 users thanked author for this post.
    #96042 Report

    Is there redundant code in this strategy or can anybody offer a reason for the following please?

    When I optimise the angles, it seems that almost any value gives the same figure for Gain … see attached.

    Attached is related to the code version immediately above this post.

    Attachments:
    1 user thanked author for this post.
    #96044 Report

    Hi Balmara74,

    thanks for your improvment. I run it too. Another idea to improve tue strategy would be to include and test this part of code, very interesting…

    https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

    I tried to do it yesterday but i’m not a professionnal coder ;), so some difficulties and errors to do it. Could you try?

    Did you test the strategy on 200K?

     

     

     

    1 user thanked author for this post.
    #96069 Report

    @Grahal

    Maybe because you use a negative angle value for variable A28.

    It could be interesting to use a value between 0 and +90 (knowing that the more one deviates from 45 and less positions we have).

     

    EDIT POST – ERROR FOUND !!

    I found a error on the code above !! Yes it’s redudant because LINES 27 and 28 are the same than LINES 34 and 40

    So this is the good version of the code below (i have delete lines 27 and 28) :

     

     

     

     

    #96075 Report

    I am going to run this code live.

    A little more fun then 🙂

     

    In order for the losses not to be too large you can sell ex.. 0.5 contracts directly after a position is taken.

    It will be lower DD as well.

    How do you code this?

    #96082 Report

    bullbear – Partial closure is not possible in live trading in ProOrder.

    #96086 Report

    Vonasi

    Sad to hear that.

    I currently have 5 algo live on dax.

    Unfortunately, they have gone bad at the same time and it is expensive.

    I am going to run them on demo now instead.

    #96089 Report

    I currently have 5 algo live on dax. Unfortunately, they have gone bad at the same time and it is expensive. I am going to run them on demo now instead.

    I would suggest always running any strategies in a lengthy live forward test in demo to confirm that they are not curve fitted. Yes it is a bit boring and not as exciting as going live but your patience will save you from losing an awful lot of money in the long run. I have strategies that have had on test for a year or more now. They are very profitable but the draw down was bigger than in the in sample test and would have sucked my real account dry if I had just gone live with them. Patience pays!

    1 user thanked author for this post.
    #96091 Report

    vonsai

    True!!

    I tested your code on nasdaq.

    changed sl and tp and time.

     

    Attachments:
    #96094 Report

    I tested your code on nasdaq.

    Not my code!

    #96100 Report

    Sorry Vonsai. Wrong of me there.

     

    It´s Balmora´s code 🙂

    #96101 Report

    Balmora74, Vonasi and the others,

    Could someone do this? Thanks 🙂

    Another idea to improve tue strategy would be to include and test this part of code, very interesting…

    https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

    I tried to do it yesterday but i’m not a professionnal coder 😉

    #96103 Report

    I’ve done a lot of coding with simulated trading ideas in the past but my conclusion after a lot of effort was that it wasn’t really worth the effort. Others may have a different point of view.

    At the moment I am a bit busy with other projects and I don’t really enjoy converting other people’s codes (especially if a lot of the variable names are Italian!) so I’ll leave this one for someone else if that is OK.

    1 user thanked author for this post.
    #96107 Report

    Not my code!

    Not even your name! 🙂

    Couldn’t resist sorry … as you said Vonasi trading can be lonely and I do enjoy a laugh even if it me making myself laugh!

    1 user thanked author for this post.
Viewing 15 posts - 76 through 90 (of 993 total)

Create your free account now and post your request to benefit from the help of the community
Register or Login