Wanted: small code snippet for reinvestment

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01/12/2018 at 8:33 PM #59285 quote
verdi55
Participant

Veteran
I stripped this of everything that does not appear to be necessary (no seasonal stuff, no order cumulation, position size always = 1), and the results still look almost to good to be true. Backtest done in tick-by-tick mode.
```
defparam flatafter = 210000
defparam flatbefore = 090000

cx1 = cci[11]<80
cx2 = cci[21]>-90
cx3 = Momentum[6](close)>0
cx6 = TR(close) >25
cx8 = EaseOfMovement[14]<95
cx9 = SmoothedStochastic[14,3](close)<95
cx10 = PriceOscillator[5,25](close)<0.5
cx11 = LinearRegressionSlope[10](close)>-14
cx12 = AccumDistr(close)>-0.1
cx13 = Chandle [20](close)>-51
cx15 = DPO[21](close)>-50
cx16 = DPO[21](close)<50

IF cx1 and cx8 and cx9 and cx10 and cx12 and cx15 and close < ExponentialAverage[8](close) and (not shortonmarket) Then
sellshort 1 CONTRACTS AT MARKET
ENDIF
  
IF cx2 and cx3 and cx6 and cx11 and cx13 and cx16 and close  >  ExponentialAverage[8](close) and (not longonmarket) Then
buy 1 CONTRACT AT MARKET
ENDIF

Set Stop %Loss 1.7
Set Target %profit 1.7
```
So, probably it is just a matter of overfitting, because so many different parameters and conditions are used. Stop loss and target profit are both 1.7 % (percent !), so I don’t see a problem here. Short average duration of positions may be a problem, but I am not sure,

[attachment file=59286]

DAX-4-Stunden.png
01/12/2018 at 8:45 PM #59291 quote

Vonasi
Moderator

Master

verdi55 wrote:

Stop loss and target profit are both 1.7 % (percent !)

Aaaah! Well spotted. I need new glasses as I didn’t see the %! Still how often does the market move 1.7% in 7 seconds? Aaaaah! Just spotted my second error – it is a German screen and an s in German is an h in English!

01/12/2018 at 8:47 PM #59292 quote

verdi55
Participant

Veteran

Vonasi wrote:

verdi55 wrote:

Stop loss and target profit are both 1.7 % (percent !)

Aaaah! Well spotted. I need new glasses as I didn’t see the %! Still how often does the market move 1.7% in 7 seconds?

This is on a 4 hour chart, and stops or targets are rarely reached.

01/12/2018 at 9:14 PM #59294 quote

Vonasi
Moderator

Master

I’ve just tested it (after putting my glasses on) and it does seem incredible – but so many different indicators for longs and so many totally different indicators for shorts rings alarm bells for curve fitting and also the quarterly graph is a lovely bell curve which also rings alarm bells. I’ll shove it on demo as a ‘fun to watch’ I think.

[attachment file=59295]

Screenshot_8.png

01/12/2018 at 9:19 PM #59297 quote

verdi55
Participant

Veteran

Vonasi wrote:

but so many different indicators for longs and so many totally different indicators for shorts rings alarm bells

I guess that’s the point.

01/12/2018 at 9:20 PM #59298 quote

Vonasi
Moderator

Master

Vonasi wrote:

I’ll shove it on demo as a ‘fun to watch’ I think.

No I won’t as the DPO indicator is not allowed in automatic trading.

01/12/2018 at 9:26 PM #59299 quote

verdi55
Participant

Veteran

Vonasi wrote:

No I won’t as the DPO indicator is not allowed in automatic trading.

Ahh, so this is another point. DPO is like zig zag, it repaints the past, and cannot be used for trading therefore. So forget about the strategy.

Detrend Price Oscillator

01/12/2018 at 9:29 PM #59300 quote

verdi55
Participant

Veteran

Here you have the comparison with and without DPO. Upper curve is without DPO, everything else the same.

[attachment file=59301]

DAX-4-Stunden1.png

01/12/2018 at 9:34 PM #59303 quote

Nicolas
Keymaster

Master

English speaking here please!

DPO use future datas, that’s why the equity curve looks so good. We all want to know what the future will be like.

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