Discussing the strategy VECTORIAL DAX (M5)

eckaw wrote:

which parameters would you then optimise?

There are many parameters, but with walk forward I focussed on the rsi stochastic, only 2 parameters, 10-50k bars, unlinked with 3 repeats. Whatever you try, likely the last week will be neutral to very bad.

@ichimoku18 yes your right that was the intend, changing it would make it worse, so I leave it at current & previous bar and removed the last part. It could be better written too.

Hi,

only the first 2. Having said that i’am just a bit experimenting.

lengthrsi   = 2 // rsi period
lengthstoch = 6 // stochastic period
smoothk     = 4 // smooth signal of stochastic a
smoothd     = 8 // smooth signal of smoothed stochastic

dax 10s today. I know it’s not realistic with the stops etc and a lot would needs to be changed, but still.

Screenshot-2020-10-23-at-14.48.00-scaled.jpg

I use Stoch/RSI a lot, it’s one of my favourite indicators, but I find that you really have to optimise all the variables as each one reacts to other changes. With most indicators you usually have a reasonable expectation that if a value of 14 is good, then 12 or 16 will be a bit better or a bit worse. With Stoch/RSI values of 12, 14, 8, 2 could look good one minute then suddenly something like 8,6,8,4 is miles better – impossible to predict the optimal result. Default values are 14,14,10,3 as a theoretical starting point.

I usually run it with variations of 4 to 16 by 2 for the first 3, and 2 to 5 by 1 for smoothd  (must be >1). Unfortunately that makes +1000 permutations so it’s time consuming, but almost always worth it – can massively improve almost any algo if you get it right.

@tanou: The last entry was this morning at 5am and still in progress … my live account

Restart the platform because it works, I just made a BT

Do not hesitate to give me your feedback. I’ve worked on this, I haven’t fully optimize it for now, just had a look at the mistakes it was doing and try to eliminate them with a simple Ichimoku.

@Nonetheless & @Paul, hope you see something interesting, I think it is

// VECTORIAL MM - DJ 3m - Tanou v10

DEFPARAM CumulateOrders = false
DEFPARAM Preloadbars = 50000

//--------------------------------------------------------------------------------------------------------------------------------------------------

//Money Management
positionsize=1

//--------------------------------------------------------------------------------------------------------------------------------------------------

//HORAIRES DE TRADING
Ctime = time >= 153000 and time < 210000



//--------------------------------------------------------------------------------------------------------------------------------------------------

//STRATEGIE
//VECTEUR = CALCUL DE L'ANGLE

i1 = HistoricVolatility[10](close)
c1 = (i1 >= 0.06)

ONCE PeriodeA = 4
ONCE nbChandelierA= 30
MMA = Exponentialaverage[PeriodeA](close)
ADJASUROPPO = (MMA-MMA[nbchandelierA]) / nbChandelierA
ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE
CB1 = ANGLE >= 34
CS1 = ANGLE <= - 48


//VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE
ONCE PeriodeB = 30
ONCE nbChandelierB= 35
lag = 0
MMB = Exponentialaverage[PeriodeB](close)
pente = (MMB-MMB[nbchandelierB]) / nbchandelierB
trigger = Exponentialaverage[PeriodeB+lag](pente)
CB2 = (pente > trigger) AND (pente < 0)
CS2 = (pente CROSSES UNDER trigger) AND (pente > - 0.5)

mx = average[67,0](close)
CB3 = mx > mx[1]
mx2 = average[21,0](close)
CS3 = mx2 < mx2[1]


// ichimoku
Tenkan = (highest[9](high)+lowest[9](low))/2
Kijun = (highest[26](high)+lowest[26](low))/2
SSpanA = (tenkan[26]+kijun[26])/2
SSpanB = (highest[52](high[26])+lowest[52](low[26]))/2
////chikou=close

//If SSpanA>SSpanB then
//IntervalS=SSpanA-SSpanB
//Elsif SSpanB>SSpanA then
//IntervalS=SSpanB-SSpanA
//endif

If SSpanA>SSpanB then
if open<SSpanA and open>SSpanB or close<SSpanA and close>SSpanB then
CondIchi = 0
Else
CondIchi = 1
endif
endif

If SSpanB>SSpanA then
if open>SSpanA and open<SSpanB or close>SSpanA and close<SSpanB then
CondIchi = 0
Else
CondIchi = 1
endif
endif

//--------------------------------------------------------------------------------------------------------------------------------------------------

//ENTREES EN POSITION
CONDBUY = CB1 and CB2 and CB3 and CTime and c1 and CondIchi
CONDSELL = CS1 and CS2 and CS3 and Ctime and c1 and CondIchi

VarDistIchiBuy = 6
VarDistIchiSell = 21


If CONDBUY then
DistIchiSSA = Open - SSpanA
DistIchiSSB = Open - SSpanB
CondDistIchi = DistIchiSSA >= VarDistIchiBuy AND DistIchiSSB >= VarDistIchiBuy
Endif

If CONDSELL then
DistIchiSSA = SSpanA - Open
DistIchiSSB = SSpanB - Open
CondDistIchi = DistIchiSSA >= VarDistIchiSell AND DistIchiSSB >= VarDistIchiSell
Endif

CONDBUY = CONDBUY and CondDistIchi
CONDSELL = CONDSELL and CondDistIchi


//--------------------------------------------------------------------------------------------------------------------------------------------------

//Entrée en position

//POSITION LONGUE
IF CONDBUY THEN
buy positionsize contract at market
SET STOP %LOSS 2.6
ENDIF

//POSITION COURTE
IF CONDSELL THEN
Sellshort positionsize contract at market
SET STOP %LOSS 0.6
ENDIF

//--------------------------------------------------------------------------------------------------------------------------------------------------

//SET TARGET %PROFIT 2

//Break even
breakevenPercent = 0.13
PointsToKeep = 1
startBreakeven = tradeprice(1)*(breakevenpercent/100)

once breakeven = 1//1 on - 0 off

//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 THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)+PointsToKeep
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 THEN

//calculate the breakevenLevel
breakevenLevel = tradeprice(1)-PointsToKeep
ENDIF
//place the new stop orders on market at breakevenLevel
IF breakevenLevel>0 THEN
EXITSHORT AT breakevenLevel STOP
ENDIF
endif

//--------------------------------------------------------------------------------------------------------------------------------------------------

//SL above 0 if more than X hours and positive



//if longonmarket and barindex-tradeindex>60 then
//if close-tradeprice(1)>=2 then
//sell at tradeprice(1) STOP
//endif
//endif
//
//if shortonmarket and barindex-tradeindex>40 then
//if tradeprice(1)-close>=2 then
//EXITSHORT at tradeprice(1) STOP
//endif
//endif
//--------------------------------------------------------------------------------------------------------------------------------------------------

// trailing atr stop
once trailingstoptype     = 1    // trailing stop - 0 off, 1 on

once tsincrements = 0.19         // set to 0 to ignore tsincrements
once tsminatrdist = 5

once tsatrperiod    = 14         // ts atr parameter
once tsminstop      = 12         // ts minimum stop distance

once tssensitivity        = 1    // [0]close;[1]high/low

if trailingstoptype then
if barindex=tradeindex then
trailingstoplong     = 6   // ts atr distance
trailingstopshort    = 3   // 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
trailingstopshort=trailingstopshort-tsincrements
endif
else
trailingstopshort=tsminatrdist
endif
endif
endif
endif
tsatr=averagetruerange[tsatrperiod]((close/10))/1000
//tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex)
tgl=round(tsatr*trailingstoplong)
tgs=round(tsatr*trailingstopshort)
if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
tsmaxprice=0
tsminprice=close
tsnewsl=0
endif
if tssensitivity then
tssensitivitylong=high
tssensitivityshort=low
else
tssensitivitylong=close
tssensitivityshort=close
endif
if longonmarket then
tsmaxprice=max(tsmaxprice,tssensitivitylong)
if 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
endif

if onmarket then
if dayofweek=0 and (hour=0 and minute>=57) and abs(dopen(0)-dclose(1))>50 and positionperf(0)>0 then
if shortonmarket and close>dopen(0) then
exitshort at market
endif
if longonmarket and close<dopen(0) then
sell at market
endif
endif
endif

going live for me

nice work Tanou and to see another approach!