Hi everyone,
Here is a new strategy on Wall Street/DJI 5 min TF that utilize Perfect Trend Line as entry/exit and Trend Impulse Filter as trend direction. All credits to the original author.
DLS code is added to avoid high spread period. Time Zone used is UTC+08:00. Looking forward for your suggestion and ideas of improvement.
DEFPARAM CumulateOrders = false
DEFPARAM PRELOADBARS = 1000
// --------- US DAY LIGHT SAVINGS MONTHS ---------------- //
mar = month = 3 // MONTH START
nov = month = 11 // MONTH END
IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN
USDLS=010000
ELSE
USDLS=0
ENDIF
timeok = NOT(time >051500- USDLS AND time <053000 - USDLS) AND NOT(time >060000 - USDLS AND time <070000 - USDLS)
timeframe(5 minute)
thigh1 = Highest[SlowLength](high)+ SlowPipDisplace*pointsize
tlow1 = Lowest[SlowLength](low)- SlowPipDisplace*pointsize
thigh2 = Highest[FastLength](high)+ FastPipDisplace*pointsize
tlow2 = Lowest[FastLength](low)- FastPipDisplace*pointsize
if barindex>2 then
if Close>line1[1] then
line1 = tlow1
else
line1 = thigh1
endif
if Close>line2[1] then
line2 = tlow2
else
line2 = thigh2
endif
endif
if (Close[0]<line1[0] and Close[0]<line2[0]) then
trend = 1
endif
if (Close[0]>line1[0] and Close[0]>line2[0]) then
trend = -1
endif
if (line1[0]>line2[0] or trend[0] = 1) then
trena = 1
endif
if (line1[0]<line2[0] or trend[0] = -1) then
trena = -1
endif
if trena<>trena[1] then
if trena=1 then
//bear
prefecttrend = 2
else
//bull
prefecttrend = 1
endif
endif
timeframe(default)
once bb = src
if barindex>length then
src = (highest[length](high)+lowest[length](low))/2
rising = src-src[length]>0
falling = src-src[length]<0
aa = rising or falling
bb = exponentialaverage[centertrend](aa*src+(1-aa)*bb[1])
//—-
if bb>bb[1] then
//bull
trendimpulse = 1
elsif bb<bb[1] then
//bear
trendimpulse = 2
endif
endif
//====== Enter market - start =====
// LONG side
C1 = trendimpulse = 1 AND prefecttrend[1] = 2 AND prefecttrend = 1
IF timeok AND Not OnMarket AND C1 THEN
BUY 1 CONTRACT AT MARKET
SET STOP pLOSS SL
ENDIF
// SHORT side
C2 = trendimpulse = 2 AND prefecttrend[1] = 1 AND prefecttrend = 2
IF timeok AND Not OnMarket AND C2 THEN
SELLSHORT 1 CONTRACT AT MARKET
SET STOP pLOSS SL
ENDIF
//====== Enter market - end =====
//====== Exit market - start =====
X1 = prefecttrend[1] = 1 AND prefecttrend = 2
IF LONGONMARKET AND X1 THEN
SELL AT MARKET
ENDIF
X2 = prefecttrend[1] = 2 AND prefecttrend = 1
IF SHORTONMARKET AND X2 THEN
EXITSHORT AT MARKET
ENDIF
//====== Exit market - end =====
Please use XXXDJI-M1-TrendImpulsev1-1.itf, I cannot delete XXXDJI-M1-TrendImpulsev1.itf. Anyway, they are functionally the same, but v1 has the variable [center] which cannot be interpreted by Insert PRT code correctly, thus I rename it to [centertrend]
Thanks a lot @yahootew3000. Did you make backtests with “only” 2 OOS please? What about the results if you exclude the last 3 months periods? (start the backtest earlier or just shorten the end date). I think that for most trend following strategy, the last period OOS is not so relevant because of the large volatility and directional bias of the market, just my humble opinion.
Time Zone used is UTC+08:00
How come you used UTC + 8 when you are UTC +2 in Netherlands?
Great looking code / System btw!
Thank You for sharing with us all!
How come you used UTC + 8 when you are UTC +2 in Netherlands?
Looks like more Singapore than Netherlands, doesn’t it?
Looks like more Singapore than Netherlands, doesn’t it?
His flag you mean?
It’s weird on his post his flag looks like Singapore? But then when I click on his name I see a Netherlands flag??
But yeah … UTC + 8 would be correct for Singapore as Singapore is 12 hours ahead of New York.
Now to convert for UK Time (UTC +1)
EDIT / PS
Now I look more closely you are correct Roberto … both flags are Singapore!
My eyes again, but also the flags appear so tiny on my screen.
Thanks a lot @yahootew3000. Did you make backtests with “only” 2 OOS please? …
Oh ya Nicolas. I did just 2 OOS, used to 1 min time frame. I redo for 5 OOS, seems not so good 🙁 I like this system due to high frequency, but perhaps need to add some other filter…
Now I look more closely you are correct Roberto … both flags are Singapore!
Haha, yes, from Singapore indeed…
Hi, congrats for the strategy, it works great with indexes. It’s probably a newbie’s question, but here it goes: how come when I apply this startegy to indexes the performance is great, but when I apply it to a stock the result is not good. I have tried in many different ways to get a good performance with different stocks, but no success. Maybe I am getting this wrong, but isn’t the end objective to apply these to stocks, as we can not buy indexes? sory for the ignorance…
Another issue I have encountered is that the command “timeframe” is not accepted by prorealtime 10.3, it returns a message that says it is only allowed for ProScreener. How did you manage to make it work?
Cheers and thanks for the great strategy
Luis
No worry, in fact, I’m new as well, I learned a lot from this forum actually 🙂
how come when I apply this startegy to indexes the performance is great, but when I apply it to a stock the result is not good.
It is built for the index future only, not for a specific stock, the variables may not be suitable, the SL range is different as well. But I think take some effort, it is possible to apply for stock, but I have less interest to trade algo on stock as you can see this strategy is for frequent trade, if applying on stocks, the commission is costly.
Maybe I am getting this wrong, but isn’t the end objective to apply these to stocks, as we can not buy indexes?
Not trading against the index itself, but the future contract of the index. The trade is done using CFD.
Another issue I have encountered is that the command “timeframe” is not accepted by prorealtime 10.3
PRT 10.3 should support it. I don’t know if there is any known issue.
@Nicolas, maybe you encounter similar question before or know the answer?
@Lucho0712
If your broker not support real live automatic trading, this error is normal since you still using a previous version of the platform.
Now to convert for UK Time (UTC +1)
Did you manage to get this to run on UK time? I tried subtracting 7 hours from all times but makes no difference, results are dismal using the fixed values in the opt box.
I agree
@Nonetheless and I don’t think it’s times either as they are only short periods where spread is sky high.
I put it on the back burner for a while … be good if we can solve the mystery as the OP and
Lucho0712 say it works great!?
Thanks yahootew for the answers. I am not going to get in CFDs rirght now as I have read that most beginers loose a lot. I will continue learning before getting into this, Thanks anyway!
Don´t listen to mee too much, I am new at this. I just tried it out on some indexes and compared it to a simple buy and hold strategy, outperforming it.
