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Traders Dynamic Index Strategy

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Traders Dynamic Index Strategy

Postby Nikolay.Gekht » Fri May 06, 2011 1:33 pm

Part I. Strategy

Here is a sample strategy developed on the base of the default Traders Dynamic Index indicator rules. Please see the indicator description for these rules.

Notes:

1) The strategy work on all types of the account: FIFO, non-FIFO and hedging.

2) The strategy supports as working on the closed bar as well as working on the active bar.

3) The strategy is supposed to work on particular account/instrument alone. No manual trading or other strategy must work on the same account/instrument. However, you can trade on other accounts or other instruments of the same accounts.

4) The strategy keeps one position in either long or short direction.

Important:

1) this strategy is a demo strategy and is NOT supposed to real trade.

2) when backtesting/optimizing/running strategy, please do not forget to set "Allow Trading" parameter to "Yes". Otherwise the strategy will only show the alerts.

Download:
TradersDynamicIndexStrategy.lua
(11.33 KiB) Downloaded 773 times


Please download and install the following indicators which are required to have the strategy properly working:

1) new version of the TradersDynamicIndex indicator:
viewtopic.php?f=17&t=2069

2) Traders dynamic index interpreter indicator:
viewtopic.php?f=17&t=4133

Please read the next topic in this post with analysis of the default parameters and brief optimization!

Code: Select all
function Init()
    strategy:name("Trades the Traders Dynamic Index Indicator data");
    strategy:description("Implements scalping, active and moderate trading strategies for the Traders Index Indicator");

    strategy.parameters:addGroup("Traders Dynamic Index Calculation");

    strategy.parameters:addInteger("RSI_N", "RSI Periods", "Recommended values are in 8-25 range", 13, 2, 1000);
    strategy.parameters:addInteger("VB_N", "Volatility Band", "Number of periods to find volatility band. Recommended value is 20-40", 34, 2, 1000);
    strategy.parameters:addDouble("VB_W", "Volatility Band Width", "", 1.6185, 0, 100);

    strategy.parameters:addInteger("RSI_P_N", "RSI Price Line Periods", "", 2, 1, 1000);
    strategy.parameters:addString("RSI_P_M", "RSI Price Line Smoothing Method", "", "MVA");
    strategy.parameters:addStringAlternative("RSI_P_M", "MVA(SMA)", "", "MVA");
    strategy.parameters:addStringAlternative("RSI_P_M", "EMA", "", "EMA");
    strategy.parameters:addStringAlternative("RSI_P_M", "LWMA", "", "LWMA");
    strategy.parameters:addStringAlternative("RSI_P_M", "LSMA(Regression)", "", "REGRESSION");
    strategy.parameters:addStringAlternative("RSI_P_M", "SMMA", "", "SMMA");
    strategy.parameters:addStringAlternative("RSI_P_M", "WMA(Wilders)", "", "WMA");
    strategy.parameters:addStringAlternative("RSI_P_M", "KAMA(Kaufman)", "", "KAMA");

    strategy.parameters:addInteger("TS_N", "Trade Signal Line Periods", "", 7, 1, 1000);
    strategy.parameters:addString("TS_M", "Trade Signal Line Smoothing Method", "", "MVA");
    strategy.parameters:addStringAlternative("TS_M", "MVA(SMA)", "", "MVA");
    strategy.parameters:addStringAlternative("TS_M", "EMA", "", "EMA");
    strategy.parameters:addStringAlternative("TS_M", "LWMA", "", "LWMA");
    strategy.parameters:addStringAlternative("TS_M", "LSMA(Regression)", "", "REGRESSION");
    strategy.parameters:addStringAlternative("TS_M", "SMMA", "", "SMMA");
    strategy.parameters:addStringAlternative("TS_M", "WMA(Wilders)", "", "WMA");
    strategy.parameters:addStringAlternative("TS_M", "KAMA(Kaufman)", "", "KAMA");

    strategy.parameters:addGroup("Levels");
    strategy.parameters:addInteger("L1", "Low Level", "", 32, 0, 100);
    strategy.parameters:addInteger("L2", "Middle Level", "", 50, 0, 100);
    strategy.parameters:addInteger("L3", "High Level", "", 68, 0, 100);

    strategy.parameters:addGroup("Price");
    strategy.parameters:addString("TF", "Target Timeframe", "", "H1");
    strategy.parameters:setFlag("TF", core.FLAG_PERIODS);
    strategy.parameters:addString("T", "Target Price", "", "close");
    strategy.parameters:addStringAlternative("T", "Open", "", "open");
    strategy.parameters:addStringAlternative("T", "High", "", "high");
    strategy.parameters:addStringAlternative("T", "Low", "", "low");
    strategy.parameters:addStringAlternative("T", "Close", "", "close");
    strategy.parameters:addStringAlternative("T", "Median", "", "median");
    strategy.parameters:addStringAlternative("T", "Typical", "", "typical");
    strategy.parameters:addStringAlternative("T", "Weighed", "", "weighted");


    strategy.parameters:addGroup("Trading");
    strategy.parameters:addInteger("S", "Strategy", "", 2);
    strategy.parameters:addIntegerAlternative("S", "Scaliping", "", 0);
    strategy.parameters:addIntegerAlternative("S", "Active", "", 1);
    strategy.parameters:addIntegerAlternative("S", "Moderate", "", 2);

    strategy.parameters:addInteger("BM", "Bar Mode", "", 0);
    strategy.parameters:addIntegerAlternative("BM", "On Closed Bar", "", 0);
    strategy.parameters:addIntegerAlternative("BM", "On Active Bar", "", 1);

    strategy.parameters:addBoolean("AllowTrade", "Allow Strategy to Trade", "", false);
    strategy.parameters:addString("Account", "Choose Account to trade on", "", "");
    strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT);
    strategy.parameters:addInteger("Amount", "Trading amount (in lots)", "", 1, 1, 100);

    strategy.parameters:addGroup("Alert");
    strategy.parameters:addBoolean("ShowAlert", "Show Alerts", "", false);
    strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false);
    strategy.parameters:addFile("SoundFile", "  Sound File", "", "");
    strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND);
    strategy.parameters:addBoolean("RecurrentSound", "  Recurrent Sound", "", false);
end

local ShowAlert, PlaySound, SoundFile, RecurrentSound;
local AllowTrade, OfferID, AccountID, LotSize, Instrument;
local Price, ATDI, E, X;
local loaded = false;
local BarMode, LastSerial, first;
local name;

function Prepare(onlyName)
    assert(core.indicators:findIndicator("TRADERSDYNAMICINDEX") ~= nil, "Please download and install TradersDynamicIndex.lua indicator");
    assert(core.indicators:findIndicator("ANALYZETRADERSDYNAMICINDEX") ~= nil, "Please download and install AnalyzeTradersDynamicIndex.lua indicator");
    assert(instance.parameters.TF ~= "t1", "The strategy cannot be applied on ticks");
    assert(not(instance.parameters.PlaySound) or (instance.parameters.PlaySound and instance.parameters.SoundFile ~= "" and instance.parameters.SoundFile ~= nil), "The sound file must be chosen");

    local sn;

    if instance.parameters.S == 0 then
        sn = "Scalping";
    elseif instance.parameters.S == 1 then
        sn = "Active";
    else
        sn = "Moderate";
    end



    name = profile:id() .. "(" .. instance.bid:instrument() .. "[" .. instance.parameters.TF .. "]" .. "." .. instance.parameters.T  .. "," ..
                                  sn .. "," ..
                                  instance.parameters.RSI_N .. "," ..
                                  instance.parameters.VB_N .. "," .. instance.parameters.VB_W .. "," ..
                                  instance.parameters.RSI_P_N .. "," .. instance.parameters.RSI_P_M .. "," ..
                                  instance.parameters.TS_N .. "," .. instance.parameters.TS_M .. ")";
    instance:name(name);

    if onlyName then
        return ;
    end

    ShowAlert = instance.parameters.ShowAlert;
    PlaySound = instance.parameters.PlaySound;

    if PlaySound then
        SoundFile = instance.parameters.SoundFile;
        RecurrentSound = instance.parameters.RecurrentSound;
    end

    AllowTrade = instance.parameters.AllowTrade;
    Instrument = instance.bid:instrument();

    if AllowTrade then
        AccountID = instance.parameters.Account;
        Amount = instance.parameters.Amount * core.host:execute("getTradingProperty", "baseUnitSize", Instrument, Account);
        OfferID = core.host:findTable("offers"):find("Instrument", Instrument).OfferID;
    end


    Price = core.host:execute("getHistory", 1, Instrument, instance.parameters.TF, 0, 0, true);

    local pTDI = core.indicators:findIndicator("ANALYZETRADERSDYNAMICINDEX");
    local p = pTDI:parameters();

    p:setInteger("RSI_N", instance.parameters.RSI_N);
    p:setInteger("VB_N", instance.parameters.VB_N);
    p:setDouble("VB_W", instance.parameters.VB_W);
    p:setInteger("RSI_P_N", instance.parameters.RSI_P_N);
    p:setString("RSI_P_M", instance.parameters.RSI_P_M);
    p:setInteger("TS_N", instance.parameters.TS_N);
    p:setString("TS_M", instance.parameters.TS_M);
    p:setInteger("L1", instance.parameters.L1);
    p:setInteger("L2", instance.parameters.L2);
    p:setInteger("L3", instance.parameters.L3);
    p:setInteger("S", instance.parameters.S);
    p:setString("T", instance.parameters.T);
    ATDI = pTDI:createInstance(Price, p);
    E = ATDI.E;
    X = ATDI.X;
    first = math.max(E:first(), X:first()) + 1;

    BarMode = instance.parameters.BM;
end

function Update()
    local period;

    if not loaded then
        return ;
    end

    period = Price:size() - 1;

    if BarMode == 1 and period < first then
        -- work on current bar, not enough data
        return ;
    end

    if BarMode == 0 then
        -- work on closed bar
        if LastSerial == nil then
            -- first tick received, ignore the current bar
            LastSerial = Price:serial(period);
            return;
        elseif LastSerial == Price:serial(period) then
            -- this bar has been already processed
            return;
        else
            -- the first tick of a new bar
            LastSerial = Price:serial(period);
            period = period - 1;
        end
    end

    ATDI:update(core.UpdateLast);

    -- check exit condition
    if X[period] > 0.1 then
        -- exit long
        ExitLong();
    elseif X[period] < -0.1 then
        ExitShort();
        -- exit shorts
    end

    -- check entry codition
    if E[period] > 0.1 and E[period - 1] <= 0 then
        EnterLong();
    elseif E[period] < -0.1 and E[period - 1] >= 0 then
        EnterShort();
    end
end

function ExitLong()
    Alert("Exit Long", false);
    if AllowTrade then
        Exit("B");
    end
end

function ExitShort()
    Alert("Exit Short", false);
    if AllowTrade then
        Exit("S");
    end
end

function EnterLong()
    Alert("Enter Long", false);
    if AllowTrade then
        Exit("S");
        Enter("B");
    end
end

function EnterShort()
    Alert("Enter Short", false);
    if AllowTrade then
        Exit("B");
        Enter("S");
    end
end

function Alert(msg, errorAlert)
    if ShowAlert or errorAlert then
        terminal:alertMessage(Instrument, instance.bid[NOW], name .. ":" .. msg, instance.bid:date(NOW));
    end

    if PlaySound and not errorAlert then
        terminal:alertSound(SoundFile, RecurrentSound);
    end
end

function Exit(side)
    if not hasPosition(side) then
        return ;
    end

    local msg, valuemap;

    valuemap = core.valuemap();
    valuemap.OrderType = "CM";
    valuemap.OfferID = OfferID;
    valuemap.AcctID = AccountID;
    if side == "B" then
        valuemap.BuySell = "S";
    else
        valuemap.BuySell = "B";
    end
    valuemap.NetQtyFlag = "y";
    success, msg = terminal:execute(101, valuemap);
    if not success then
        Alert("Close Order Failed:" .. msg, true);
    end
end

function Enter(side)
    if hasPosition(side) then
        return ;
    end

    local msg, valuemap;

    valuemap = core.valuemap();
    valuemap.OrderType = "OM";
    valuemap.OfferID = OfferID;
    valuemap.AcctID = AccountID;
    valuemap.Quantity = Amount;
    valuemap.BuySell = side;
    success, msg = terminal:execute(100, valuemap);
    if not success then
        Alert("Open Order Failed:" .. msg, true);
    end
end

function hasPosition(side)
    local enum = core.host:findTable("trades"):enumerator();
    local row;

    while true do
        row = enum:next();
        if row == nil then
            break;
        end
        if row.AccountID == AccountID and
           row.OfferID == OfferID and
           row.BS == side then
           return true;
        end
    end

    return false;
end

function AsyncOperationFinished(cookie, success, msg)
    if cookie == 1 then
        loaded = true;
    elseif cookie == 100 then
        if not success then
            Alert("Open Order Failed:" .. msg, true);
        end
    elseif cookie == 101 then
        if not success then
            Alert("Close Order Failed:" .. msg, true);
        end
    end
end
Nikolay.Gekht
FXCodeBase: Base Builder
 
Posts: 1222
Joined: Wed Dec 16, 2009 6:39 pm
Location: Cary, NC

Part II. Parameters, Backtesting and Optimization

Postby Nikolay.Gekht » Fri May 06, 2011 2:06 pm

Part II. Parameters, Backtesting and Optimization.

Used on small timeframes (m1-H1) the indicator result is not impressive at all:

TDI_test_1.png

(1-hour, default parameters, EUR/USD 2010 1-minute price archive)

However, all the examples of the strategies based on that indicator are usually demonstrated on 1-day timeframe:

TDI_test_2.png

(1-day, default parameters, EUR/USD 2010 1-minute price archive)

Of course, this does not mean that the indicator and strategy cannot be used for shorter time frame at all. The first attempt of the optimization shows that the problem is rather in the too short moving average applied to the RSI to get the price line:

TDI_test_3.png

(optimization graph for EUR/USD 2010, 1-hour time frame. Map by RSI price line (Y) Signal Line (X) parameters).

RSI periods: 17
Vol.Band: 22
RSI Price Line: 5
Trade Signal: 8

We can get the equity curve which is more or less not so bad on EUR/USD 2010:
TDI_test_4.png


And even more or less works for the first four months of 2011:
TDI_test_5.png
Nikolay.Gekht
FXCodeBase: Base Builder
 
Posts: 1222
Joined: Wed Dec 16, 2009 6:39 pm
Location: Cary, NC

Re: Traders Dynamic Index Strategy

Postby Nikolay.Gekht » Fri May 06, 2011 2:09 pm

Want to backtest on the whole year data too? Heh!

1) Read articles here:
http://fxcodebase.com/wiki/index.php/Ca ... ndicoreSDK
to find out how to backtest and optimize parameters using Strategy Debugger and how to get the 2001-2011 1-minute price archive.

2) Participate in the strategies backtesting and parameters optimizing.
Nikolay.Gekht
FXCodeBase: Base Builder
 
Posts: 1222
Joined: Wed Dec 16, 2009 6:39 pm
Location: Cary, NC

Re: Traders Dynamic Index Strategy

Postby Kingpin » Mon Jun 11, 2012 10:31 am

I get this error Message: "122: invalid account"

What is the reason for this and how could I solve this Problem?

Thx
Kingpin
 
Posts: 47
Joined: Tue Nov 22, 2011 3:14 am

Re: Traders Dynamic Index Strategy

Postby jaricarr » Thu Nov 03, 2016 11:31 pm

Hello Nikolay,

Can you please add the exit criteria used in TTC TDI STRATEGY

http://fxcodebase.com/code/viewtopic.php?f=31&t=24914&p=42840&hilit=TRADERS+DYNAMIC#p42840

BUY ENTRY LEVEL
BUY EXIT LEVEL
SELL ENTRY LEVEL
SELL EXIT LEVEL
Many thanks,
JariCarr
jaricarr
 
Posts: 80
Joined: Fri Feb 19, 2016 12:39 pm

Re: Traders Dynamic Index Strategy

Postby Carbine » Sun Nov 13, 2016 8:07 pm

Kingpin wrote:I get this error Message: "122: invalid account"

What is the reason for this and how could I solve this Problem?

Thx



Hi, I'm also getting this error, any help would be appreciated!

Many Thanks
Carbine
 
Posts: 1
Joined: Sun Oct 30, 2016 11:28 pm

Re: Traders Dynamic Index Strategy

Postby Apprentice » Mon Nov 14, 2016 4:16 am

Your request is added to the development list, Under Id Number 3672
If someone is interested to do this task, please contact me.
User avatar
Apprentice
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Posts: 16137
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Location: Zagreb, Croatia

Re: Traders Dynamic Index Strategy

Postby Apprentice » Mon Nov 14, 2016 4:26 am

Try it now.
User avatar
Apprentice
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Posts: 16137
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Re: Traders Dynamic Index Strategy

Postby Apprentice » Sun Dec 18, 2016 8:21 am

Strategy was revised and updated.
User avatar
Apprentice
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Posts: 16137
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Re: Traders Dynamic Index Strategy

Postby jaricarr » Tue Dec 20, 2016 11:53 pm

Hi Apprentice,

I re-downloaded the strategy. It still does not have the exit levels requested.

BUY ENTRY LEVEL
BUY EXIT LEVEL
SELL ENTRY LEVEL
SELL EXIT LEVEL
Many thanks,
JariCarr
jaricarr
 
Posts: 80
Joined: Fri Feb 19, 2016 12:39 pm

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