DMISTO strategy - NinjaTrader | futures io social day trading
futures io futures trading

DMISTO strategy
Updated: Views / Replies:1,565 / 1
Created: by jmagaia Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you dont need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools Search this Thread

DMISTO strategy

  #1 (permalink)
Elite Member
Porto Portugal
Futures Experience: Intermediate
Platform: IB
Favorite Futures: Stocks
Posts: 15 since Mar 2012
Thanks: 8 given, 3 received

DMISTO strategy

I only do simple strategy in wizzard... and this I can not implement.

Some can do this?

Here the code:

The code that are in webpage above are in attach

The big problem it is implemente the filters.

I think it is a good system.

Combine Indicators to Identify High-Probability Reversals
MARCH 11, 2013 5:00 AM1 COMMENTVIEWS: 829
I read about this indicator in an article titled “The DMI Stochastic,” which appeared in the January 2013 issue of Technical Analysis of Stocks and Commodities. The article was written by Barbara Star. In the article, Star combined two well-known technical indicators to create an innovative new tool that can be used to identify high-probability reversal candidates.

The following article explains the procedure required to calculate the DMI stochastic (DMISTO) and demonstrates the potential of this new indicator with a sample pullback strategy that achieved a win rate of over 80% (since 2000 – in sample). AMIBroker code for the DMIS is included at the end of the article.

The DMI Stochastic (DMISTO)
In the late 1970s, J. Welles Wilder introduced the Directional Movement Index (DMI), which is made up of two components: the plus directional movement indicator (+DI) and the minus directional movement indicator (-DI). Star subtracts the -DI from the +DI to create an oscillator that reflects both the strength and direction of the recent price trend. Positive values indicate rising prices and negative values signify falling prices.

Star then used the resulting DI oscillator as an input into the standard Stochastic indicator, which normally uses the closing prices of the underlying security. The Stochastic indicator calculates three different values: fast %K, slow %K, and %D. Fast %K is based on the relationship of the current value of the input variable (the DI oscillator in this case) relative to the lowest and highest values of the input variable over a user-specified look-back period. The slow %K is simply a moving average of the fast %K. %D is a moving average of slow %K.

A Sample DMISTO Reversal Strategy
I used AMIBroker to build a simple test strategy to better understand how DMISTO works and how it could be used to add value. DMISTO is an oscillator, so I created a weekly reversal strategy to buy when conditions were oversold and sell when the market was overbought.

To ensure the DMISTO strategy always traded in the same direction as the long-term trend, I used a moving average filter to eliminate long trades when the closing price was below the long-term moving average and prevent short trades when the closing price was above the moving average.

I optimized the strategy based on weekly values of the S&P 500 Index, the Russell 2000 index, and the NASDAQ 100 index from January 2000 to January 2013. Only one trade was permitted at a time and each trade represented 100% of portfolio equity. No stops were used. The purpose of this exercise was a proof-of-concept only. As a result, I did not withhold an out-of-sample data set. While the example below was based on weekly periods, the DMISTO could be used for daily periods as well.

Optimized Parameters:

User Specified DMI and Stochastic Look-back Periods: 10 weeks
Stochastic Moving Average Periods for Slow %K and %D: 3 weeks
Long Entry: (Weekly Slow %K Crosses Above %D) AND (%D < 9)
Short Entry: (Weekly Slow %K Crosses Below %D) AND (%D > 85)
Moving Average Filter Period: 27 weeks
Long Exit: After 7 weeks
Short Exit: After 5 weeks
The top panel in Figure 1 below is a weekly candlestick chart of the NASDAQ 100 index (NDX) for approximately the last 12 months. The blue line signifies the 27-week moving average that was used to filter long and short trades.

The middle chart pane illustrates the DMI Stochastic values for slow %K (blue) and %D (purple). The bullish and bearish signal thresholds from the optimized strategy are represented by the green and red horizontal lines, respectively.

The bright green arrows represent prospective buy signals that met all of the strategy criteria. Note: not all of these trades would have been executed. Remember, only one position was permitted at a time and the strategy was tested on three different indices. In addition, trades remained open for multiple weeks. Nevertheless, the prospective signals should help you understand the types of trades executed by the DMISTO reversal strategy.

The DMISTO reversal strategy does not trade frequently, but it does attempt to identify very high probability trades – always entering after pullbacks, but still trading in the same direction as the prevailing trend.

Figure 1: DMISTO - Weekly S&P 500 Index
Figure 1: DMISTO – Weekly S&P 500 Index
The third panel depicts the DI oscillator (the difference between DI+ and DI-), which was used as an input to the Stochastic (10,3,3). It is interesting that the two long trades above were both executed when the DI oscillator was negative (DI- larger than DI+), but the DI oscillator was increasing.

DMISTO Strategy Results
The optimized DMISTO strategy earned a compound annual return of 10.01%, but was only invested 24.08% of the time. The resulting risk-adjusted annual return was 41.58%. The maximum peak to trough drawdown was 11.92%, which resulted in an attractive CAR/Maximum Drawdown ratio of 0.84.

A remarkable 81.48% of the trades were profitable and the average profit on winning trades was 6.84% versus an average loss of -3.60% on the losing trades. The corresponding profit factor was 6.62; total gains were 6.62 times total losses. The Sharpe ratio was 1.79. The comprehensive strategy statistics are provided in Figure 2 below.

Figure 2: DMISTO Sample Strategy Results
Figure 2: DMISTO Sample Strategy Results
The equity curve for the sample DMISTO strategy is provided in Figures 3 below.

Figure 3: DMISTO Strategy - Equity Curve
Figure 3: DMISTO Strategy – Equity Curve
The equity drawdown curve is provided in Figure 4 below. The maximum drawdown was 11.92%, but drawdowns have remained below 10% since 2004.

Figure 4: DMISTO Strategy - Equity Drawdown
Figure 4: DMISTO Strategy – Equity Drawdown

Below is the AMIBroker code for the DMISTO. It is a screenshot from my AMIBroker platform, so you would need to retype the code into your AMIBroker platform if you would like to experiment with the DMISTO. The DMISTO code compiles and runs without error on my platform, so if you encounter any errors, they are probably the result of typos.

Note, the code below is for the DMISTO, not for the DMISTO strategy – although the sample parameters in the code below are the optimized parameters for the strategy.

Please register on to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Figure 5: DMISTO AmiBroker Code (Revised)
Figure 5: DMISTO AmiBroker Code (Revised)
As always, the DMISTO code and sample strategy are presented for educational purposes only and are not intended as investment advice. I do not consider the DMISTO sample strategy above to be viable in its current form due to the lack of stops, which precludes any means of position sizing or risk management.

Buying pullbacks in the same direction as the long-term trend is a popular approach for systematic traders. These types of strategies typically identify high probability trades and tend to perform well. The DMISTO indicator shows promise for use in these types of systematic trading strategies. While optimized, the strategy results were impressive, especially for only using a single indicator and a simple moving average filter.

Ideally strategies should incorporate several different types of indicators for trade confirmation. In addition, a longer time period (including out of sample data) should also be used when developing strategies. While the above strategy needs additional work, the DMISTO indicator shows promise.

– By Brian Johnson from Trader Edge

Reply With Quote
  #2 (permalink)
Madrid Spain
Futures Experience: Advanced
Platform: Ninjatrader Developers
Broker/Data: NinjaTrader Brokerage
Favorite Futures: NQ and CL
tradevelopers's Avatar
Posts: 29 since Jan 2013
Thanks: 1 given, 6 received

WELL defintly we are interested to inplement it to NT7 very soon do u knoe if amibroker code have some source in C language>?

Reply With Quote


futures io > > > > DMISTO strategy

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

July Journal Challenge - $500 in Amazon Gift Cards!


AXESS Trader: Powerful Cloud Based Trading Platform w/GFF Brokers

Jul 17

TBA: FuturesTrader71 w/Morad Askar

Elite only

Similar Threads
Thread Thread Starter Forum Replies Last Post
Call ATM Strategy on an automated strategy to control position jsengxx NinjaTrader Programming 7 May 31st, 2016 04:51 PM
Utility To Transpose Optimized Strategy Values From Excel Output to Actual Strategy mercuryfx NinjaTrader 5 April 7th, 2012 03:59 PM
Ninjatrader7 ATM Strategy combine with Strategy Wizard Ninja Script schuster21 NinjaTrader Programming 4 July 4th, 2011 04:39 PM
Ninja Strategy multi-timeframe issue/Strategy to indicator nw123 NinjaTrader Programming 2 December 20th, 2009 06:24 PM

All times are GMT -4. The time now is 07:31 PM. (this page content is cached, log in for real-time version)

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-07-17 in 0.11 seconds with 15 queries on phoenix