Winnie5strades – first strategy – ideas welcome.

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04/10/2019 at 10:08 AM #95917 quote

winnie37
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Hello,

here is my first system, very simple, based on an Rsi, that I share with you. It seems to work well on Dax and FTSE, from 8am to 11am, with a spread of 1pt, over 5 seconds. I’m running it in a demo for the moment.

Suggestions and improvements are welcome 🙂
– Could someone could do a test over a longer period?
– The trades are closed at 11am. What line of code to add to close at the end of the last trade launched rather than the fixed schedule?
– Other indices to test?

Thank you for your contributions 🙂

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Winnie5strade.itf Capture-d’écran-2019-04-10-à-11.13.47.png Capture-d’écran-2019-04-10-à-11.14.33.png Capture-d’écran-2019-04-10-à-11.15.28.png

04/10/2019 at 10:10 AM #95923 quote
winnie37
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Veteran
```
/// WINNIE 5S TRADE v2///
/// Dax & FTSE
/// Spread 1 pt


// Définition des paramètres du code
DEFPARAM CumulateOrders = false // Cumul des positions désactivé
// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
DEFPARAM FLATBEFORE = 080000
// Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
DEFPARAM FLATAFTER = 110000

// Conditions pour ouvrir une position acheteuse
indicator1 = RSI[14](close)
c1 = (indicator1 <= 30)

IF c1 THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position acheteuse
indicator2 = RSI[14](close)
c2 = (indicator2 >= 70)

IF c2 THEN
SELL AT MARKET
ENDIF

// Conditions pour ouvrir une position en vente à découvert
indicator3 = RSI[14](close)
c3 = (indicator3 >= 70)

IF c3 THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position en vente à découvert
indicator4 = RSI[14](close)
c4 = (indicator4 <= 30)



IF c4 THEN
EXITSHORT AT MARKET
ENDIF

// Stops et objectifs
SET STOP pLOSS 10
```
04/10/2019 at 9:57 PM #96011 quote

Balmora74
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Veteran

Very interesting Winnie !

How does it work on demo ? Do you have slippage or strange things or difference with the backtest ?

Because a 5 s timeframe is very quick and i’m not sure i can work in real mode… Idem for a stop loss very close at 10 points…. I’m not sure that as so small stop loss works with IG

I will work on it and make a return.

winnie37 thanked this post

04/11/2019 at 9:59 AM #96041 quote

winnie37
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Veteran

Yes indeed, too much difference between the bactest and the demo result this morning.

However, if you have some ideas to improve, welcome !

04/24/2019 at 11:58 AM #97041 quote

winnie37
Participant

Veteran

I continue to test this strategy. However, the stoploss at 10 shows some differences between the demo and its backtest stats.

To refine and optimize it, could we add a stoploss that takes into account the volatility, based on the ATR for example? Or something else?

Over this period (5 seconds), a good part of the results seem to be played on the optimized management of the stop.

04/25/2019 at 2:13 PM #97120 quote

winnie37
Participant

Veteran

better with a Stop loss 12…Others suggestions to improve?

Capture-d’écran-2019-04-25-à-15.09.45.png Capture-d’écran-2019-04-25-à-15.10.18.png
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