GDKLockout

The FTSE is lying!! intraday trading strategy

Category: Strategies By: GDKLockout Created: May 7, 2017, 4:53 PM
May 7, 2017, 4:53 PM
Strategies
3 Comments
The FTSE is lying!! intraday trading strategy

Hi all. I’m new to this website.

I have been live trading the FSTE100 and some forex pairs for about 6 years now and have been trying to automate my strategies to free up my time. I have found this site very useful to get me up and running. So i wanted to give back a little.

So here is my crude attempt at coding one of my very successful inter-day strategy on the ftse. Most of the code is “borrowed”off you guys in one way or another, and the results are a good bit less than i actually got over this time period when i was trading it real time.

Any help on how to improve the code or the strategy would be much appreciated.

DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 210000

atr = AverageTrueRange[12]

// LONG
IF (abs(open-close) > (atr*2) and close < open) THEN
 BUY 10 CONTRACTS AT MARKET
 SET STOP pLOSS abs(close-open)
 SET TARGET pPROFIT abs(close-open)*2.5
ENDIF

//SHORT
IF (abs(open-close) > (atr*2) and close > open) THEN
 SELLSHORT 10 CONTRACTS AT MARKET
 SET STOP pLOSS abs(close-open)
 SET TARGET pPROFIT abs(close-open)*2.5
ENDIF

 

Download
Filename: FTSE-is-lying.itf
Downloads: 220
GDKLockout
GDKLockout New
I usually let my code do the talking, which explains why my bio is as empty as a newly created file. Bio to be initialized...
Author’s Profile

Comments

Maz
Maz
9 years ago
#

Have added a basic framework for further optimization and left some screen shots and source file in the forum topic

Maz
Maz
9 years ago
#

https://www.prorealcode.com/topic/ftse-is-lying-strategy-discussion/

Maz
Maz
9 years ago
#

Nice idea thanks for sharing. I think you forgot to simulate spread thought, in the back test? Similar to something I've previously worked on - I think it has potential. 

I've opened a forum topic here for discussion

 

ProRealCode ProRealCode
Loading...