(NEW) Introduce dMACD strategy (Divergence on MACD Signals)

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Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Konstantin.Usanov » Tue Dec 14, 2010 1:48 am

Hi!

There is next version (2.3) of dMACDext strategy.

Now is possible to choice Price Stream (data source, including Volumes) for basic MACD indicator.

dMACDext properties.JPG
dMACDext properties (version 2.3)

dMACDext.lua
dMACDext strategy, version 2.3
(25.04 KiB) Downloaded 1992 times

Thanks.
Best regards,
Konstantin.
Konstantin.Usanov
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Posts: 42
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Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Konstantin.Usanov » Tue Dec 14, 2010 2:54 am

…, I’d like to share the backtesting result of dMACDext strategy, version 2.3.

Profit gains up to 18.5 M$ during four years and 600 K$ (approx) for one year.
Please take a look at next pictures for details.

dMACDext backtesting on Volumes.JPG
dMACDext backtesting (on Volumes)

dMACDext backtesting on Volumes (during approx one year).JPG
dMACDext backtesting on Volumes (during approx one year)

BACKTEST properties on Volumes.JPG
BACKTEST properties (on Volumes)

Thanks.
Best regards,
Konstantin.
Konstantin.Usanov
FXCodeBase: Confirmed User
 
Posts: 42
Joined: Mon Aug 30, 2010 3:02 am
Location: Russia, Siberia, Omsk

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Caalador » Tue Dec 14, 2010 6:06 am

What period do you set your strategy to? In your screenshot it shows minute, but in previous versions and posts you mentioned hourly to be optimal for your strategy?

Also, I still have the TESTACC_ID thing in my RDP sessions, where strategies don't seem to work normally. Where on my normal FXCM I see my account number...(see my previous post, I think it was approved later by the mod/admin)
Caalador
 
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Joined: Tue Nov 23, 2010 12:03 am

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Konstantin.Usanov » Tue Dec 14, 2010 8:04 am

Hi Caalador,

For published backtesting results I have used “Daily” period.

Please pay attention to “Set the period of the signal to the chart period” parameter of BACKTEST, in case “Yes” the “Period size” parameter of dMACDext strategy will be equal to chart period and does not matter what value sets for “Period size” parameter of dMACDext.

In general ways, for divergence based strategies (as dMACDext) the hourly and up timeframe periods are more optimal.

For backtesting you will always have TESTACC_ID instead of account number, no matter is it real account or demo. Please confirm that you do not using backtesting in your case.

Thanks.
Best regards,
Konstantin.
Konstantin.Usanov
FXCodeBase: Confirmed User
 
Posts: 42
Joined: Mon Aug 30, 2010 3:02 am
Location: Russia, Siberia, Omsk

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Caalador » Tue Dec 14, 2010 9:09 am

Hmm, interesting, in backtesting it always shows my account number...I'm using Windows 7 64x, joined to a domain. But it does the same on my personal computer.

The only place where it shows TESTACC_ID is on my virtual machine (windows xp x32), where the strategies don't work...weird.

Thanks for the info on strategies by the way, it's good to know more about optimal periods :)
Caalador
 
Posts: 20
Joined: Tue Nov 23, 2010 12:03 am

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Konstantin.Usanov » Wed Dec 15, 2010 3:28 am

Hi Caalador,

in backtesting it always shows my account number

Could you please provide your screen shot, like this picture:
http://www.fxcodebase.com/code/download/file.php?id=2631&mode=view

And for double check, what's version of FXCM Trading Station you using?

Thanks in advance.
Best regards,
Konstantin.
Konstantin.Usanov
FXCodeBase: Confirmed User
 
Posts: 42
Joined: Mon Aug 30, 2010 3:02 am
Location: Russia, Siberia, Omsk

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Caalador » Wed Dec 15, 2010 9:28 am

ok, tradinsgtation on computer WITHOUT RDP: 01.09.091010

Image

and tradingstation on computer WITH RDP: 01.09.101210

Image

strange how it shows or hides the account number isn't it? And how very different the backtesting result is...I don't understand :)
Caalador
 
Posts: 20
Joined: Tue Nov 23, 2010 12:03 am

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Konstantin.Usanov » Thu Dec 16, 2010 3:18 am

Hi Caalador,

First of all you have old version of FXCM Trading Station (01.09.091010) in case "WITHOUT RDP". This version really showed Account Number in backtesting mode. This behavior was changed in next versions and currently available 01.09.101210 version show TESTACC_ID in this case.

Also I have retested the dMACDext strategy on “your environment”. I have installed instance of WinXP x32 on virtual machine: VMWare on Linux(Ubuntu), connected to VM by Remote Desktop Connection from my desktop and installed currently available 01.09.101210 version of FXCM Trading Station to WinXP x32.

All works fine, w/o any problem and I have exactly the same result for backtesting (profit approx 800 K$) as on my desktop.

dMACDext on WinXP x32 via RDP.JPG
dMACDext on WinXP x32 via RDP

Please take a look at attached archive for full details.

dMACDext on virtual machine (windows xp x32).zip
dMACDext on virtual machine (windows xp x32)
(415.83 KiB) Downloaded 554 times

Could you please reinstall the FXCM Trading Station with last available 01.09.101210 version?
http://www.fxcm.com/forex-software-download.jsp
May be something wrong with your instance of FXTS?

Please keep in touch with me, I have interesting what’s wrong for your environment.

Thanks.
Best regards,
Konstantin.
Konstantin.Usanov
FXCodeBase: Confirmed User
 
Posts: 42
Joined: Mon Aug 30, 2010 3:02 am
Location: Russia, Siberia, Omsk

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Caalador » Tue Dec 28, 2010 8:29 am

ok, I have the newest version now on all 5 virtual machines and they are consistent now. I'm testing your strategy over different periods and with different options to assess their viability on test accounts instead of backtesting :)

So far I've noticed it sometimes dives very deep into the margin limit and opens a huge amount of positions when risk management is not used. And it rarely closes these positions....but so far so good.
Caalador
 
Posts: 20
Joined: Tue Nov 23, 2010 12:03 am

Re: (NEW) Introduce dMACD strategy (Divergence on MACD Signals)

Postby Caalador » Tue Jan 11, 2011 11:27 am

Hi Konstantin,

after the recent update my Marketscope gives the following error when it starts:

An error occurred during the calculation of the indicator 'BACKTEST'. The error details: [string "backtest.lua"]:138: [string "C:\Program Files\Candleworks\FXTS2\strategi..."]:176: attempt to index upvalue 'MACD' (a nil value).

Is that a problem or should I ignore it?

And I can also report profitable results from some of the 7 virtual machines I'm running with your strategy on demo accounts. the new Volume strategy only works a little if you use the daily period, hourly does not work and just keeps running into losses.

The old 'Typical' selection also works well on daily, and sometimes on hourly, but it's way more reliable on daily...this from 22 days of testing so far.

I will keep testing your strategies for 3 months and I will post the final results here.
Caalador
 
Posts: 20
Joined: Tue Nov 23, 2010 12:03 am

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