RSI and IBS based EA

Viewing 15 posts - 1 through 15 (of 15 total)
  • Author
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  • 11/23/2017 at 10:32 AM #53697 quote
    Marc
    Participant
    Average

    Hi together,

    I’d like to share my code with you and want to know if there is any mistake within this code?

    Here are the rules for this system:

    Enter Long when:

    • When RSI with Period 2 is below or equal 10 on previous periods close
    • When RSI with Period 2 is above or equal 10 at close of current periods close
    • When IBS is below or equal 50 on previous periods close
    • When IBS is above or equal 50 at close of current period
    • Open Long at next bar open

    Exit Long when:

    • RSI rises above 80 at close of previous period, close position at next bar open

    Enter Short when:

    • When RSI with Period 2 is above or equal 90 on previous periods close
    • When RSI with Period 2 is below or equal 90 at close of current periods close
    • When IBS is above or equal 50 on previous periods close
    • When IBS is below or equal 50 at close of current period
    • Open Short at next bar open

    Exit Short when:

    • RSI falls below 20 at close of previous period, close position at next bar open

     

    Here is the code:

    //INDICATOR
    IBS = (Close-Low) / (HIGH-LOW) * 100
    RSI2 = RSI[2](close)

    //SIGNAL
    IBSLONGTRIGGER = 50
    IBSSHORTTRIGGER = 50

    RSILONGTRIGGER = 10
    RSILONGEXIT = 80
    RSISHORTTRIGGER = 90
    RSISHORTEXIT = 20

    //ENTRY CONDITION
    l1 = not LongOnMarket
    l1 = l1 and IBS[1] >= IBSLONGTRIGGER[1] and IBS[2] <= IBSLONGTRIGGER[2] and RSI2[1] >= RSILONGTRIGGER[1] and RSI2[2] <= RSILONGTRIGGER[2]

    b1 = not ShortOnMarket
    b1 = b1 and IBS[1] <= IBSSHORTTRIGGER[1] and IBS[2]>= IBSSHORTTRIGGER[2] and RSI2[1] <= RSISHORTTRIGGER[1] and RSI2[2] >= RSISHORTTRIGGER[2]

    //EXIT CONDITION
    l2 = LongOnMarket
    l2 = RSI2[1] >= RSILONGEXIT[1]

    b2 = ShortOnMarket
    b2 = RSI2[1] <= RSISHORTEXIT[1]

    //LONG ENTRY
    IF NOT LongOnMarket AND l1 THEN
    BUY 1 CONTRACTS AT MARKET NextBarOPen
    ENDIF

    //LONG EXIT
    If LongOnMarket AND l2 THEN
    SELL AT MARKET NextBarOpen
    ENDIF

    //SHORT ENRTRY
    IF NOT ShortOnMarket AND b1 THEN
    SELLSHORT 1 CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //SHORT EXIT
    IF ShortOnMarket AND b2 THEN
    EXITSHORT AT MARKET NextBarOpen
    ENDIF

    11/23/2017 at 11:03 AM #53699 quote
    Marc
    Participant
    Average

    Code amended…

     

    //INDICATOR
    IBS = (Close-Low) / (HIGH-LOW) * 100
    RSI2 = RSI[2](close)

    //SIGNAL
    IBSLONGTRIGGER = 50
    IBSSHORTTRIGGER = 50

    RSILONGTRIGGER = 10
    RSILONGEXIT = 80
    RSISHORTTRIGGER = 90
    RSISHORTEXIT = 20

    //ENTRY CONDITION
    l1 = not LongOnMarket
    l1 = l1 and IBS[1] >= IBSLONGTRIGGER[1]
    l1 = l1 and IBS[2] <= IBSLONGTRIGGER[2]
    l1 = l1 and RSI2[1] >= RSILONGTRIGGER[1]
    l1 = l1 and RSI2[2] <= RSILONGTRIGGER[2]

    b1 = not ShortOnMarket
    b1 = b1 and IBS[1] <= IBSSHORTTRIGGER[1]
    b1 = b1 and IBS[2]>= IBSSHORTTRIGGER[2]
    b1 = b1 and RSI2[1] <= RSISHORTTRIGGER[1]
    b1 = b1 and RSI2[2] >= RSISHORTTRIGGER[2]

    //EXIT CONDITION
    l2 = LongOnMarket
    l2 = l2 and RSI2[1] >= RSILONGEXIT[1]

    b2 = ShortOnMarket
    b2 = b2 and RSI2[1] <= RSISHORTEXIT[1]

    //LONG ENTRY
    IF l1 THEN
    BUY 1 CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //LONG EXIT
    If l2 THEN
    SELL AT MARKET NextBarOpen
    ENDIF

    //SHORT ENRTRY
    IF b1 THEN
    SELLSHORT 1 CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //SHORT EXIT
    IF b2 THEN
    EXITSHORT AT MARKET NextBarOpen
    ENDIF

    11/23/2017 at 11:41 AM #53715 quote
    Despair
    Blocked
    Master

    Deutsch im deutschen Forum, englisch im englischen Forum. 🙂

    11/23/2017 at 11:56 AM #53718 quote
    Marc
    Participant
    Average

    okay…danke für die Info…

    11/23/2017 at 6:35 PM #53761 quote
    mr blue
    Participant
    Senior

    für welches finanzinstrument möchtest du diese strategie anwenden – ausserdem noch interessant in welchem zeitfenster soll es laufen?

    11/23/2017 at 8:56 PM #53772 quote
    Derek
    Participant
    Veteran
    Hey Mast, folgendes ist mir aufgefallen: 
    //ENTRY CONDITION
l1 = not LongOnMarket
l2 = l1 and IBS[1] >= IBSLONGTRIGGER[1]
l3 = l2 and IBS[2] <= IBSLONGTRIGGER[2]
l4 = l3 and RSI2[1] >= RSILONGTRIGGER[1]
l5 = l4 and RSI2[2] <= RSILONGTRIGGER[2]

[...]
    Meinst Du soetwas?
    11/23/2017 at 9:36 PM #53775 quote
    Marc
    Participant
    Average

    Hallo zusammen, also natürlich möchte ich möglichst beliebige Instrumente handeln. Den TF sehe ich bei 1h, 4h und 1D, wobei es interessant wäre dies auch unter 2h zu testen. 

    Sicher würde es, je nach Instrument dann auch Sinn machen Zeiten fest zu legen wann gehandelt werden soll.

    Aktuell nutze ich eine Demo mit EOD Daten und wollte mal die 14 Tage Version nutzen um eben kleinere TF zu testen.

    bzgl des codeschnipsels muss ich mich mal rein denken…habe gestern erst angefangen mich mit prorealcode zu befassen.

     

    vg marc

    11/24/2017 at 8:50 AM #53795 quote
    Marc
    Participant
    Average

    Ich habe übrigens den Code ein wenig geändert…

    Hier ist nun ein MA-Filter drin:

    //INDICATOR
    IBS = (Close-Low) / (HIGH-LOW) * 100
    RSI2 = RSI[2](close)
    MA = average[maperiod](close)

    //CONTRACTSIZE
    X = 10

    //MOVING AVERAGE PERIOD
    maperiod = 144

    //SIGNAL
    IBSLONGTRIGGER = 50
    IBSSHORTTRIGGER = 50

    RSILONGTRIGGER = 10
    RSILONGEXIT = 80
    RSISHORTTRIGGER = 90
    RSISHORTEXIT = 20

    //ENTRY CONDITION
    l1 = NOT LongOnMarket
    l1 = l1 and IBS > IBSLONGTRIGGER
    l1 = IBS[1] < IBSLONGTRIGGER[1]
    l1 = l1 and RSI2 > RSILONGTRIGGER
    l1 = RSI2[1] < RSILONGTRIGGER[1]
    l1 = l1 and low[1] > MA

    b1 = NOT ShortOnMarket
    b1 = b1 and IBS < IBSSHORTTRIGGER
    b1 = IBS[1] > IBSSHORTTRIGGER[1]
    b1 = b1 and RSI2 < RSISHORTTRIGGER
    b1 = RSI2[1] > RSISHORTTRIGGER[1]
    b1 = b1 and high [1] < MA

    //EXIT CONDITION
    l2 = LongOnMarket
    l2 = RSI2 > RSILONGEXIT

    b2 = ShortOnMarket
    b2 = RSI2 < RSISHORTEXIT

    //LONG ENTRY
    IF l1 THEN
    BUY X CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //LONG EXIT
    If l2 THEN
    SELL X CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //SHORT ENTRY
    IF b1 THEN
    SELLSHORT X CONTRACTS AT MARKET NextBarOpen
    ENDIF

    //SHORT EXIT
    IF b2 THEN
    EXITSHORT AT MARKET NextBarOpen
    ENDIF

    11/24/2017 at 12:21 PM #53846 quote
    Marc
    Participant
    Average

     

    DEFPARAM CumulateOrders = True
//INDICATOR
IBS = (Close-Low) / (HIGH-LOW) * 100
RSI2 = RSI[2](close)
MA = average[maperiod](close)

//CONTRACTSIZE
X = 1

//MOVING AVERAGE PERIOD
maperiod = 200

//SIGNAL
IBSLONGTRIGGER = 50
IBSSHORTTRIGGER = 50

RSILONGTRIGGER = 10
RSILONGEXIT = 80
RSISHORTTRIGGER = 90
RSISHORTEXIT = 20

//ENTRY CONDITION
l1 = NOT LongOnMarket
l1 = l1 and IBS > IBSLONGTRIGGER
l1 = IBS[1] < IBSLONGTRIGGER[1]
l1 = l1 and RSI2 > RSILONGTRIGGER
l1 = RSI2[1] < RSILONGTRIGGER[1]
l1 = l1 and low[1] > MA

b1 = NOT ShortOnMarket
b1 = b1 and IBS < IBSSHORTTRIGGER
b1 = IBS[1] > IBSSHORTTRIGGER[1]
b1 = b1 and RSI2 < RSISHORTTRIGGER
b1 = RSI2[1] > RSISHORTTRIGGER[1]
b1 = b1 and high [1] < MA

//EXIT CONDITION
l2 = LongOnMarket
l2 = RSI2 > RSILONGEXIT

b2 = ShortOnMarket
b2 = RSI2 < RSISHORTEXIT

//LONG ENTRY
IF l1 THEN
BUY X CONTRACTS AT MARKET NextBarOpen
ENDIF

//LONG EXIT
If l2 THEN
SELL X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT ENTRY
IF b1 THEN
SELLSHORT X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT EXIT
IF b2 THEN
EXITSHORT AT MARKET NextBarOpen
ENDIF

     

    Derek thanked this post
    11/24/2017 at 7:28 PM #53876 quote
    axmichi
    Participant
    Senior

    Hi Maste 

     

    habs mal im dow im m1 durchgezogen

    PF 1,16

    TQ 70 %

    6000 Trades aber crv 1:2,  4€ GW : 9,5, € verlust

     

    im H1 PF 0,6

    crv von 1:4 

     

    Gruß

    11/28/2017 at 10:34 AM #54236 quote
    Marc
    Participant
    Average

    Hallo axmichi,

    Berauschend ist das nicht…wahrscheinlich ist 1 Minute klein als TF um da wirklich aussagekräftige Ergebnisse zu bekommen. Im Dax lief es beim Taily TF ganz gut mit einem ordentlichen PF von 3,96.

    ich habe mal die trialversiob mit Echtzeitdaten bzw. den untertägigen Daten freischalten lassen und teste es mal heute selber aus.

    Das Grundgerüst dieses Systems beruht auf der Idee von Larry Williams RSI2a-Strategie.

     

    vg Marc 

    11/28/2017 at 11:09 AM #54244 quote
    axmichi
    Participant
    Senior

    Du weißt das du traillingstops usw, nicht mehr verwenden brauchst, da sie nicht mehr greifen, akzeptiert werden. Thema garantierte Stops

    11/28/2017 at 1:53 PM #54259 quote
    Marc
    Participant
    Average
    axmichi wrote:
    Du weißt das du traillingstops usw, nicht mehr verwenden brauchst, da sie nicht mehr greifen, akzeptiert werden. Thema garantierte Stops


    Auf Stopps habe ich mich seltenst verlassen dürfen. Ich benutze da lieber valide Signale…wie im o.g. System

    07/26/2018 at 3:56 PM #76827 quote
    Marc
    Participant
    Average
    Gedächtnisstütze: Einige Parameter angepasst: RSI Close mit HA-Berechnung 
    DEFPARAM CumulateOrders = false
//INDICATOR
IBS = (close-Low) / (HIGH-LOW) * 100
RSI2 = RSI[2]((open+close+low+high)/4)
MA = average[maperiod](close)

//CONTRACTSIZE
X = 1

//MOVING AVERAGE PERIOD
maperiod = 200

//SIGNAL
IBSLONGTRIGGER = 50
IBSSHORTTRIGGER = 50

RSILONGTRIGGER = 10
RSILONGEXIT = 80
RSISHORTTRIGGER = 95
RSISHORTEXIT = 50

//ENTRY CONDITION
l1 = NOT LongOnMarket
l1 = l1 and IBS > IBSLONGTRIGGER
l1 = IBS[1] < IBSLONGTRIGGER[1]
l1 = l1 and RSI2 > RSILONGTRIGGER
l1 = RSI2[1] < RSILONGTRIGGER[1]
l1 = l1 and low[1] > MA

b1 = NOT ShortOnMarket
b1 = b1 and IBS < IBSSHORTTRIGGER
b1 = IBS[1] > IBSSHORTTRIGGER[1]
b1 = b1 and RSI2 < RSISHORTTRIGGER
b1 = RSI2[1] > RSISHORTTRIGGER[1]
b1 = b1 and high [1] < MA

//EXIT CONDITION
l2 = LongOnMarket
l2 = RSI2 > RSILONGEXIT

b2 = ShortOnMarket
b2 = RSI2 < RSISHORTEXIT

//LONG ENTRY
IF l1 THEN
BUY X CONTRACTS AT MARKET NextBarOpen
ENDIF

//LONG EXIT
If l2 THEN
SELL X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT ENTRY
IF b1 THEN
SELLSHORT X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT EXIT
IF b2 THEN
EXITSHORT AT MARKET NextBarOpen
ENDIF
    08/08/2018 at 3:42 PM #77781 quote
    Marc
    Participant
    Average
    here antoher code with some variables for testing. 
    DEFPARAM CumulateOrders = false
//INDICATOR
IBS = (close-Low) / (HIGH-LOW) * 100
RSI2 = RSI[RSIPeriod]((open+close+low+high)/4)
MA = average[MAPeriod](close)

//CONTRACTSIZE
X = 1

//SIGNAL
IBSLONGTRIGGER = 50
IBSSHORTTRIGGER = 50

RSILONGTRIGGER = RSILT
RSILONGEXIT = RSILE
RSISHORTTRIGGER = RSIST
RSISHORTEXIT = RSISE

//ENTRY CONDITION
l1 = NOT LongOnMarket
l1 = l1 and IBS > IBSLONGTRIGGER
l1 = IBS[1] < IBSLONGTRIGGER[1]
l1 = l1 and RSI2 > RSILONGTRIGGER
l1 = RSI2[1] < RSILONGTRIGGER[1]
l1 = l1 and low[1] > MA

b1 = NOT ShortOnMarket
b1 = b1 and IBS < IBSSHORTTRIGGER
b1 = IBS[1] > IBSSHORTTRIGGER[1]
b1 = b1 and RSI2 < RSISHORTTRIGGER
b1 = RSI2[1] > RSISHORTTRIGGER[1]
b1 = b1 and high [1] < MA

//EXIT CONDITION
l2 = LongOnMarket
l2 = RSI2 > RSILONGEXIT

b2 = ShortOnMarket
b2 = RSI2 < RSISHORTEXIT

//LONG ENTRY
IF l1 THEN
BUY X CONTRACTS AT MARKET NextBarOpen
ENDIF

//LONG EXIT
If l2 THEN
SELL X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT ENTRY
IF b1 THEN
SELLSHORT X CONTRACTS AT MARKET NextBarOpen
ENDIF

//SHORT EXIT
IF b2 THEN
EXITSHORT AT MARKET NextBarOpen
ENDIF
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RSI and IBS based EA


ProOrder: Automatischer Handel & Backtesting

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Marc @mast83 Participant
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This topic contains 14 replies,
has 5 voices, and was last updated by Marc
7 years, 6 months ago.

Topic Details
Forum: ProOrder: Automatischer Handel & Backtesting
Language: German
Started: 11/23/2017
Status: Active
Attachments: No files
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