The algorithm is searching for situations, where the range of the last 8 bars is wider than 60 pips. Opens a long position if the close is above and a short positions if the close is below the range.
Unfortunately I only have backtest data since 11/2015 for the 5 minute chart. Maybe somebody can backtest with more data? Thanks!
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// Timeframe M5 // EURUSD (IG - Markets) // Spread 2 pips DEFPARAM CumulateOrders = False DEFPARAM FLATBEFORE = 080000 DEFPARAM FLATAFTER = 210000 IF (abs(close-open[8]) > 0.006) THEN IF (close > open[8]) THEN BUY 1 CONTRACTS AT MARKET SET STOP pLOSS 50 SET TARGET pPROFIT 225 ENDIF IF (close < open[8]) THEN SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS 50 SET TARGET pPROFIT 225 ENDIF ENDIF |
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Thumbs up for considering your stop loss and take profit that generates RR more that 1
Cheers Kasper
Here is another spin on your code that aslo works nicely;
// Timeframe M5
// EURUSD (IG - Markets)
// Spread 2 pips
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 220000
possize = 1
rng = 0
HighestClose = close[8]
LowestClose = close[8]
pips = 0.0019
For i = 1 to 8 Do
IF (abs(close-open[i]) > pips) THEN
rng = rng + 1
EndIf
If close[i] > HighestClose then
HighestClose = high[i]
ElsIf close[i] < LowestClose then
LowestClose = close[i]
EndIf
Next
If rng >= 4 and (abs(close-open) > pips) then
IF close > HighestClose THEN
BUY possize CONTRACTS AT MARKET
ElsIF close < LowestClose THEN
SELLSHORT possize CONTRACTS AT MARKET
ENDIF
EndIf
SET STOP pLOSS 50
SET TARGET pPROFIT 225
Thanks!!!
Here are another small tweak (just check Flatafter time as I am in a different timezone);
// Timeframe M5
// EURUSD (IG - Markets)
// Spread 2 pips
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 220000
possize = 5
f = 12
pips = 0.0019
rng = 0
HighestClose = close[f]
LowestClose = close[f]
For i = 1 to f Do
IF (abs(close-open[i]) > pips) THEN
rng = rng + 1
EndIf
If close[i] > HighestClose then
HighestClose = high[i]
ElsIf close[i] < LowestClose then
LowestClose = close[i]
EndIf
Next
If rng >= 4 and (abs(close-open) > pips) then
IF close > HighestClose THEN
BUY possize CONTRACTS AT OPEN + averagetruerange[f](close) stop
SELLSHORT possize CONTRACTS AT OPEN - averagetruerange[f](close)*3 stop
ElsIF close < LowestClose THEN
SELLSHORT possize CONTRACTS AT OPEN - averagetruerange[f](close) stop
BUY possize CONTRACTS AT OPEN + averagetruerange[f](close)*3 stop
ENDIF
EndIf
SET STOP pLOSS 50
SET TARGET pPROFIT 320
Also change the ATR multiplier to 2 instead of 3. Slightly better drawdown.
I started he thread below as I get the results shown on image below. Please help on the Forum thread.
https://www.prorealcode.com/topic/trendfollower-eurusd-5m/
Hi Everybody,
when I look at the strategy I felt the need to implement a Moneymanagement-System. Because I cant Prog this by myself, I took Kasper’s reinvestment version Code from “ALE’s Fractals breakout intraday Strategy EUR/USD 1H” and ty to implement it. Mayby it looks a little bit rudimentary, but it seems to be working! I couldn’t believe my eyes! I also take some different Numbers. Does someone get similar results (Spread: 1,5 Pips)?
Here is the code:
// Timeframe M5// Timeframe M5
// EURUSD (IG - Markets)
// Spread 2 pips
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 210000
Reinvest=1
if reinvest then
Capital = 10000
Risk = 1//0.1//in % pr position
StopLoss = 26
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*(Risk/100))
MAXpositionsize=5000
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize))))
else
Positionsize=1
StopLoss = 26
Endif
IF (abs(close-open[2]) > 0.006) THEN
IF (close > open[2]) THEN
BUY positionsize CONTRACT AT MARKET
set stop loss stoploss*pointsize
SET TARGET pPROFIT 191
ENDIF
IF (close < open[2]) THEN
SELLSHORT positionsize CONTRACT AT MARKET
set stop loss stoploss*pointsize
SET TARGET pPROFIT 191
ENDIF
ENDIF
I would like to upload a picture but for some reason it did not work.
Results in 3 Jears on 15min Timeframe (EUR/USD) from Juli 2015 till now: From 10.000 to 22.344 $ (without MM)From 10.000 to 236.428 $ (with MM)
<// Timeframe M15
// EURUSD (IG - Markets)
// Spread 2 pips
DEFPARAM CumulateOrders = False
DEFPARAM FLATBEFORE = 080000
DEFPARAM FLATAFTER = 210000
TS = 25 // 35 default
SL = 50
PT = 80
m = 8 // 8 default
once startpositionsize=1
once positionsize=startpositionsize
once flatoverweekends=1
once startequity=0
once Reinvest=1
if reinvest then
//------------ Fixed fraction money management ----------
once multiplier=1
once delta=100 // newlevel then
multiplier=multiplier+1
oldlevel=newlevel
newlevel=strategyprofit+startequity+multiplier*fraction
positionsize=multiplier*startpositionsize
elsif strategyprofit+startequity=2 then
newlevel=strategyprofit+startequity
oldlevel=strategyprofit+startequity-multiplier*fraction
multiplier=multiplier-1
positionsize=multiplier*startpositionsize
endif
Endif
if flatoverweekends then
//————— daylight-saving corrections ——————
if currentmonth=3 and day>=15 then
dlc=10000
elsif currentmonth=11 and day=(223000-dlc))
else
fridaynight=0
endif
if fridaynight then
if longonmarket then
sell at market
elsif shortonmarket then
exitshort at market
endif
endif
REM Conditions to enter long hereafter
IF (abs(close-open[m]) > 0.006) THEN
IF (close > open[m]) THEN
BUY positionsize CONTRACTS AT MARKET
SET STOP pLOSS SL
SET TARGET pPROFIT PT
ENDIF
ENDIF
//trailing stop
trailingstop = TS
if not onmarket then
MAXPRICE = 0
priceexit = 0
endif
//LONG order
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE – trailing stop price level
endif
endif
//exit on trailing stop price levels
if onmarket and priceexit>0 then
EXITSHORT AT priceexit STOP
SELL AT priceexit STOP
endif
SET STOP ploss SL//
>
Hi Bjoern, I was playing around with your code this morning (EUR/USD 5′).
Thank you to the community for the piece of code (Despair for the MM module…).