EURUSD 15 min algo

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  • #115470 quote
    Stefanb
    Participant
    Senior

    Found a EURUSD algo which I modified a bit.

    It only takes short positions.

    EURUSD 15 min Spread=1

    Opitmized to 2018

    // EURUSD 15 min
    DEFPARAM CUMULATEORDERS = false
    DEFPARAM FLATBEFORE = 100000
    DEFPARAM FLATAFTER = 200000
    
    positionsize=1
    
    if time=140000 then
    level=highest[2](low)[1]
    endif
    //
    c1= close < dopen(0)
    c2= high< dhigh(1)
    c3= level > dlow(1) and level > dlow(2)
    c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65
    
    ba= average[20](close)
    dst = STD[20](close)
    Bu = ba + (2 * dst)
    
    
    
    c5= ba<ba[1] or high > bu
    
    
    if c1 and c2 and c3 and c4 and c5 and time<130000 THEN
    sellshort positionsize contract at market
    
    endif
    
    
    if shortonmarket and time=141500 and positionperf(0)*100<0.3 then
    exitshort at market
    
    endif
    
    
    //trailing stop
    trailingstop = 30
    StartTrailingStopValue = 2
     
    //resetting variables when no trades are on market
    if not onmarket then
    MAXPRICE = 0
    MINPRICE = close
    priceexit = 0
    endif
     
    //case SHORT order
    if shortonmarket then
    MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade
    if tradeprice(1)-close > StartTrailingStopValue*pointsize then
    if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
    priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
    endif
    endif
    endif
     
    //case LONG order
    if longonmarket then
    MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
    if close-tradeprice(1) > StartTrailingStopValue*pointsize then
    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
    endif
     
    //exit on trailing stop price levels
    if onmarket and priceexit>0 then
    EXITSHORT AT priceexit STOP
    SELL AT priceexit STOP
    endif
    Paul thanked this post
    eurusd-15-min-spread1.jpg eurusd-15-min-spread1.jpg
    #115479 quote
    deletedaccount100622
    Participant
    New

    Hi Stefan

    thanks for posting the code

    I only have 100k bars but on my system it looks like the 15 minute outperforms on the first half of the year (no idea why)

    I had a look at the 30 Minute chart that has a nice consistent trend, tested at 0.6 points as this is what I trade with on IG.com

    Have you checked out the 30 minute timeframe? How does it look with 200k bars?

    Thanks

    Ruark

    Report.png Report.png Graph.png Graph.png
    #115484 quote
    Stefanb
    Participant
    Senior

    @Ruark

    30 min 200k

    30-min.jpg 30-min.jpg
    #115486 quote
    GraHal
    Participant
    Master

    Robo did you reset times for UK UTC+0 as Stefan is on UTC+1?

    #115490 quote
    deletedaccount100622
    Participant
    New

    Hi Graham

    no I didn’t actually thanks for reminding me, with regards to a similar topic of day light savings time. Do you guys tend to use a different system or embed the change of timings for say a US based system?

    #115491 quote
    GraHal
    Participant
    Master

    Do you guys tend to use a different system or embed the change of timings for say a US based system?

    I do neither! 🙂

    I let the Systems run and they are out of sync by 1 hour for a few weeks until USA and EU align back again to the time difference (UTC -5, UTC +1 etc) when UK was on UTC +1 Summer Time.

    Mmm but what if I develop a System in the winter when UK is on UTC+0  … need to think this one out! 🙂

    #115492 quote
    GraHal
    Participant
    Master

    It would be very very useful if each Member had their Timezone / Time Standard (in UTC + or – variance) against their Profile info which shows on each message they post.

    I am forever googling Flags then googling what UTC + or – is correct for that Flag etc.

    It could be that a lot of folks don’t bother or don’t remember and so they get different performance than the OP shows for their Systems etc??

    Would above be a lot of work for you @Nicolas?

    I know … I’ll check if there is a Flag to UTC Chart available that I can print out as a handy reference!?

    PS Can’t find one … does anybody use anything similar?

    What do you do … google the flag then google for the respective UTC variant?? 🙁

    #115495 quote
    GraHal
    Participant
    Master
    Just had another thought … how do we even know what Time Standard a Poster has his / her Platform set at!? They may not even be operating at their native UTC + or – ? We all need to state / comment at the top of any System posted (Screeners also?) what UTC variance the code is intended for? I should have posted these last 3 posts as a separate Thread. Mods Please could you move my last 3 posts to a separate Thread titled …

    Declaring UTC Variance in System Codes

    or a better title if you can think of one?
    #116013 quote
    Nicolas
    Keymaster
    Master
    You are right GraHal, that would be better if everyone have this habit.. A better idea would be to display the UTC used directly on the backtest window result, I will add this feature request to my monthly list for PRT 🙂
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EURUSD 15 min algo


ProOrder: Automated Strategies & Backtesting

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Stefanb @stefanb Participant
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This topic contains 8 replies,
has 4 voices, and was last updated by Nicolas
6 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/26/2019
Status: Active
Attachments: 4 files
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