Discussing the strategy VECTORIAL DAX (M5)

Yeah Tanou, yr right. Well done. 🙂

Nice work @Tanou, I like it. much prefer stable and consistent performance to max profit. With such a high win rate you can always jack up the position size with more confidence.

Here’s a quick treatment, just minor changes. i’ll have a look at the ichimoku part over the weekend.

No WF but the VRT is good.

DJ-3-min-Vectorial-V10.1.jpg DJ-3-min-Vectorial-V10.1.itf

That was just a very quick re-optimisation of some key variables, nothing sophisticated.

You can drag and drop the optimisation results directly into Excel. You can read more about VRT and how to use it here, if you haven’t already seen it:

Strategy Robustness Tester

Hello @Paul, @Nonetheless, @VinzentVega thanks for your feedback! 🙂

I will keep thinking about this code to try to improve it 🙂

@Nontetheless, I had a look at your code and it’s promising as well! I’ll try delete other conditions and try wth yours to see if something else appears 😉

However, I saw that you’ve added a %Profit stop, don’t you think that it is too optimized on the backtest? This variable suits perfectly the backtest but don’t you think it could block some positions to go higher if high and sudden volatility?

I tried swapping out the Break even and ATR for a %TS but atr worked better.

I wouldn’t worry about the profit target restricting your wins, it’s set pretty high. It’s a pretty rare occasion that an algo runs a +2% profit and when you get one I expect you’ll be very happy to bank it.

nonetheless wrote:

This is the best I could do with it. Added Stochastic Rsi and re-optimised almost everything on a 75/25 WF. Final values are a compromise between what worked best in WF and VRT, but the last 3 months is all out of sample except for the Vectorial values which I left as is. I disabled the historical volatility as it seemed better without it.

Really excellent piece of work @Tanou, thanks for that!

Thanks!

I wanna to know if winter time, the time need to change 1530 to 2200?

Paul wrote:

funny, by mistake I’ve loaded up v5p on the dax 10s

with these settings ;

once tradetype = 1 // [1]long/short [2]long [3]short
once reenter = 1 // [1]on [0]off (off ignores positionperftype/value below)
once positionperftype = 1 // [0]loss/gain [1]loss [2]gain
once positionperfvalue = 0 // % (0 or higher)

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once tradetype = 1 // [1]long/short [2]long [3]short

once reenter = 1 // [1]on [0]off (off ignores positionperftype/value below)

once positionperftype = 1 // [0]loss/gain [1]loss [2]gain

once positionperfvalue = 0 // % (0 or higher)

This right here is bananas!

I now have a 10s optimized version of Nasdaq, Dow and DAX prepared for next week. The Dow version looks too good to be true. It will be interesting to see how it really performs.

Skärmavbild-2020-10-25-kl.-01.09.36.png