Winnie5strades – first strategy – ideas welcome.

• 04/10/2019 at 10:08 AM #95917
  winnie37

  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 🙂

  Moderators Edit: Topic title modified. Please try to use more meaningful titles in future topics.

  

  winnie37

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  04/10/2019 at 10:10 AM #95923
  winnie37

   

  /// 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

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  /// 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

   

  

  winnie37

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  04/10/2019 at 9:57 PM #96011
  Balmora74

  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.

   

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  winnie37

  

  Balmora74

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  04/11/2019 at 9:59 AM #96041
  winnie37

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

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

  

  winnie37

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  04/24/2019 at 11:58 AM #97041
  winnie37

  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.

  

  winnie37

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  04/25/2019 at 2:13 PM #97120
  winnie37

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

   

  

  winnie37

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