Discussing the strategy VECTORIAL DAX (M5)
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123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117///ROBOT VECTORIAL DAX (modified 1 minute)// M1// SPREAD 1.5// by BALMORA 74 - FEBRUARY 2019DEFPARAM CumulateOrders = falseDEFPARAM Preloadbars = 50000//VARIABLESCtimeA = time >= 060000 and time <= 180000CtimeB = time >= 060000 and time <= 180000ONCE BarLong = 950 //EXIT ZOMBIE TRADE LONGONCE BarShort = 650 //EXIT ZOMBIE TRADE SHORT// TAILLE DES POSITIONSONCE PositionSizeLong = 1ONCE PositionSizeShort = 1timeframe(1 hour,updateonclose)myRP = Repulse[5](close)bulltrend = myRP > 0beartrend = myRP < 0//STRATEGIE//VECTEUR = CALCUL DE L'ANGLEtimeframe(1 minute, default)ONCE PeriodeA = 10ONCE nbChandelierA= 15MMA = Exponentialaverage[PeriodeA](close)ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierAANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTECondBuy1 = ANGLE >= 45CondSell1 = ANGLE <= - 37//VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILEONCE PeriodeB = 20ONCE nbChandelierB= 35lag = 5MMB = Exponentialaverage[PeriodeB](close)pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierBtrigger = Exponentialaverage[PeriodeB+lag](pente)CondBuy2 = (pente > trigger) AND (pente < 0)CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1)//ENTREES EN POSITIONCONDBUY = CondBuy1 and CondBuy2 and CTimeA and bulltrendCONDSELL = CondSell1 and CondSell2 and CtimeB and beartrend//POSITION LONGUEIF CONDBUY THENbuy PositionSizeLong contract at marketSET TARGET %PROFIT 1.5SET STOP LOSS AverageTrueRange[14](close[0])*25ENDIF//POSITION COURTEIF CONDSELL THENSellshort PositionSizeShort contract at marketSET TARGET %PROFIT 1.5SET STOP LOSS AverageTrueRange[14](close[0])*25ENDIF//VARIABLES STOP SUIVEURONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ONONCE trailingstoplong = 60// Trailing Stop Atr Relative DistanceONCE trailingstopshort = 60 // Trailing Stop Atr Relative DistanceONCE atrtrailingperiod = 14 // Atr parameter ValueONCE minstop = 0 // Minimum Trailing Stop Distance// TRAILINGSTOP//----------------------------------------------atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000trailingstartl = round(atrtrail*trailingstoplong)trailingstartS = round(atrtrail*trailingstopshort)if trailingStopType = 1 THENTGL =trailingstartlTGS=trailingstartsif not onmarket thenMAXPRICE = 0MINPRICE = closePREZZOUSCITA = 0ENDIFif longonmarket thenMAXPRICE = MAX(MAXPRICE,close)if MAXPRICE-tradeprice(1)>=TGL*pointsize thenif MAXPRICE-tradeprice(1)>=MINSTOP thenPREZZOUSCITA = MAXPRICE-TGL*pointsizeELSEPREZZOUSCITA = MAXPRICE - MINSTOP*pointsizeENDIFENDIFENDIFif shortonmarket thenMINPRICE = MIN(MINPRICE,close)if tradeprice(1)-MINPRICE>=TGS*pointsize thenif tradeprice(1)-MINPRICE>=MINSTOP thenPREZZOUSCITA = MINPRICE+TGS*pointsizeELSEPREZZOUSCITA = MINPRICE + MINSTOP*pointsizeENDIFENDIFENDIFif onmarket and PREZZOUSCITA>0 thenEXITSHORT AT PREZZOUSCITA STOPSELL AT PREZZOUSCITA STOPENDIFENDIF
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But I often use the exact same Algo and optimise v1 over 10k bras and v2 over 100k bars and then run the 2 versions. You should try it – depending on the strategy, timeframe and market / price action during the OOS test period – often the 10k bars opti version is more nimble and is in and out of trades quicker and more profit results.
Dear GraHal,
For the 3min vectorial strategy, witch variables do you optimise ? And on which frequency (week month …) and bars ?
Can you make a post to explain your optimisation strategy to make an algo usefull over a year and more ?
Thanks
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There are loads of Topics where Optimization is discussed. If you use the Search box you can find them as it is good to read various user opinions and experience.
Below are from the Blog on the top toolbar
https://www.prorealcode.com/blog/learning/strategy-optimisation-walk-analysis/
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For optimisation try another approach perhaps.
No trailingstop, a breakeven and if triggered a slightly negative result, no weekend, only long/only short.
a relatively small stoploss. range 0.4-1%
profittarget with increments of the stoploss (0.67-1-1.33-1.67-2), breakeven 0.67% from profittarget.
no trailingstop to avoid small profits which don’t weigh good against the max losses. A trailingstop may also hide the fact that the entry was not that good, as is the same if trading long and short at the same time or other optimised exit criteria.
Lots of benefits like saving on a parameters, ofcourse ts will be missed sometimes. Just another way of testing and one way to have more reliable optimisation parameters for a good entry.
i.e. dow 5 min, 30k. test
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Dear Paul,
First, thanks for this code.
I understand what you say about trailingstop (no trailingstop to avoid small profits which don’t weigh good against the max losses).
But when you start with a small capital, this is psychological, a little win is better than a big lose for tomorrow, maybe not for the end of the week or month.
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