MACD study results, for anyone interested

[takis]

the last months i was experimenting and testing different parameters on macd stydies on DAX.
that is, different time frames, combined tactics, different stops, profits etc.

here i will state the results i have from the best strategy, after i tried (and continue to test 19 different strategies for the last 28 trading days)

The testing is done mostly by hand an real time so i have control of what is exactly happening that moment on the market.

so here are the results:


28 trading days
21 winning
7 losing
-----------
P/L: +209 POINTS
--------
Max. winning day: +24,5
Max. losing day: -12,6



Now, what i would like to add in the formula is the following parameters as to test it in the backtester .

1. trading starts at 9.00 cet and stops at 19.55 cet
which means that i want to add a parameter in the formula to exit the trade ANYWAY if in position at 19.55 and not to start until the following day whith the first signal.

2. add an automatic profit target of 3 points from the entry .

here is the formula and i will reallly appreciate your help.

anyone who can set it up for me can get the succesfull details of the specific by-system that give the best results by email.

as you understand i cannot give all the details in broad view but for sure i will give them to the people who are interested in helping me set up this parameters on the study

[Doji3333]

Try This...

Did not load it to test it... Try it though...

B

[takis]

thanks a lot.
the first problem that i see by testing it is that it gives more than one trade everytime.
which means that when the macd crosses and we hit the profit target then it opens another trade on the next bar again.
we only want to get the first trade, not all of them.
our next trade after we get out profit target should be on the next macd crossing to the opposite direction.
can you correct it, so i can go on and post you any other problems that i see?

thanks in advance

[Doji3333]

Try This..

Revision #2..

B

[takis]

thanks.
we are getting very close!
two things need fine tunning.
1.
the covering at the last trade of the day is a bit sloppy.
what we want is to CLOSE the trade, if open, at exactly 20.55 chart time (or 19.55 CET)
that is the trade on the 5' chart has to close at the closing price of the 20:50 candle.
2.
when the trading starts there is a bit of a problem (i might have not written it well so you understand it)
if for example the macd has crossed downwards on the continuous chart the previous day, we do not wait for the first opposite crossing to enter the trade, but we wait for the first bar to close.
if the bar closes and the macd keeps on the same direction then we enter our first trade.

for example, lets say that our trading stops today at 20:55 just and the macd is crossed downwards.
the next day starts lower and the macd is still downwards.
when the first bar closes and the macd still is in that direction then we enter the trade (short) and that will be the first trade of the day.

[takis]

the first problem of the EOD covering i think i solved it by putting
var EndTime= 2049
that closes the trade at exactly the opening of the 20:55 candle.

the second problem is that i need your help now

[Doji3333]

Try #3...

Here you go.. (again not tested)...

B

[Doji3333]

Oops, ignore #3...

Here is #4 - I created a Copy/paste error..

B

[takis]

it seems that all the problems are solved now.
i have to go, so i do not have the time to go over it in details.
i will do that tonite.
so if something comes up and needs some tuning is it ok to bother you again?

[Doji3333]

of course...

Takis,

Sure, you can bug me if you need to .

B

[takis]

thanks a lot,
the formula works fine with some fine tuning that i did regarding the start-end of day time.
its perfect and what i was looking for.
now there is a small thing regarding the backtesting.
i tried it yesterday and also today without changing anything and it gives me different result (about 20 points difference)
do you have an idea why that happens?
is that a problem of the backtester?
i try to figure it out but i cant

[ACM]

takis
That may depend on the Time Template. As new bars (or days) are added the older ones get removed. So if you want to also include the data that was used in yesterday's back test you need to specify that in the Time Template.
Alex

[takis]

If you mean that in the time template for example when you have 35 days the testing moves one day forward so if your first day was lets say 18/12 today is 19/12.
what i did is changed my template to 36 days so it will include 18/12 but still the resuls are different from yesterday
excluding the present day
is that what you mean?

[takis]

I copy-paste the two different results with the same formula and i found out that there is a problem on the charts.
same charts sometimes have different bars and prices for the same instance !!!!
thats why the backtester messes the things up!
also, in the bulk of the trades it gives some that DO NOT actually exist! on the chart.
that happens one time and not the other!

thats really annoying!
is there anything that can be done about it?