Can I buy at the high?

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01/12/2018 at 10:41 AM #59150 quote

paulon
Participant

Average

Hi. I want to trade the major indices with the following condition. Assume c1 is the condition for a long trade. If c1, then enter a long trade if a following bar crosses over the high of the signal bar. The entry level should be the high of the signal bar (not the next market open). The order should be valid for x bars after the signal bar. The profit limit is the close of the signal bar plus the ATR and the stop loss is the close of the signal bar minus the ATR.

01/12/2018 at 10:52 AM #59153 quote

Inertia
Participant

Master

Hi Paulon, as a start, check out this link :

Customized Oscillator that take initial value the yesterday's highest/top price

More experienced coder might jump in this tread soon 😉

Thx

paulon thanked this post

01/12/2018 at 10:52 AM #59154 quote
Vonasi
Moderator

Master
Yes. Just use:
```
BUY ? Contracts AT High STOP
SELL AT (close + AverageTrueRange[?]) LIMIT
SELL AT (close - AverageTrueRange[?]) STOP
```
Obviously replace the ? with your values. You will have to set these instructions at the close of every bar that you want the instruction to last for as they only last for one bar and are then cancelled.

paulon thanked this post
01/12/2018 at 6:40 PM #59246 quote

robertogozzi
Moderator

Master

paulon wrote:

Hi. I want to trade the major indices with the following condition. Assume c1 is the condition for a long trade. If c1, then enter a long trade if a following bar crosses over the high of the signal bar. The entry level should be the high of the signal bar (not the next market open). The order should be valid for x bars after the signal bar. The profit limit is the close of the signal bar plus the ATR and the stop loss is the close of the signal bar minus the ATR.

By no means you (and anyone else) may access future data. So you’ll have to modify your sentence to the past: “Assume c1[1] is the condition for a long trade, then enter a long trade if THIS bar crosses over the high of the signal (previous) bar. i.e. HIGH[1]”.

mr blue thanked this post

01/12/2018 at 7:28 PM #59259 quote

mr blue
Participant

Senior

Thank you for sharing this idea.

I see good results on the DAX 4h (with some adjustments of course).

01/13/2018 at 11:25 AM #59327 quote

GraHal
Participant

Master

Please could you share @mr blue?

I did have a play with the concept, but couldn’t get much out of it.

01/13/2018 at 12:49 PM #59336 quote
mr blue
Participant

Senior
I picked up the original idea, looked for a profitable timeframe on the DAX and added one additional condition, that the market must be “risk on” – otherwise it will not buy.
```
defparam cumulateorders = false

Ht = DHigh(1)
Bs = DLow(1)
C = DClose(1)

Pivot = (Ht + Bs + C) / 3
//Res4 = Pivot + ((Ht - Bs)*3)
//Res3 = Pivot + ((Ht - Bs)*2)
//Res2 = Pivot + Ht - Bs
Res1 = (2 * Pivot) - Bs
//Sup1 = (2 * Pivot) - Ht
//Sup2 = Pivot - (Ht - Bs)
//Sup3 = Pivot - ((Ht - Bs)*2)
//Sup4 = Pivot - ((Ht - Bs)*3)
 
if close > Res1  then

BUY 1 Contracts AT High STOP
SELL AT (close + AverageTrueRange[9]) LIMIT
SELL AT (close - AverageTrueRange[9]) STOP

endif
```
Using this source version you get the following results backtested (profit chart RED) … of course I investigated a bit more in this approach and the current result of the – not yet shared code – is the GREEN profit chart. Trading with fix 1 lot on the 1 EURO DAX CFD. Using a re-invest rule the profit rocks up > 25K in the same period of time.

I would be thrilled to see your version of the code beating the results of the RED and GREEN version. Let’s do a little competition here 🙂

PS: The green one will be shared later …

GraHal and paulon thanked this post

DAX-4h-1.png
01/13/2018 at 2:53 PM #59351 quote

Inertia
Participant

Master

I have 27379 EUR… 10.000 bars (starting from October 1st 2013)

Signal taken from the post #59336

Code will be shared later 😉 I would be happy to see so other tentatives once I’ll be back from the soccer field … 😉

mr blue thanked this post

competition.png settings-competition.png

01/13/2018 at 3:44 PM #59362 quote
Eric
Participant

Master
```
IF IntradayBarIndex = 1 THEN
Hi = HIGHEST[1](HIGH)

ENDIF

RETURN Hi
```
01/13/2018 at 7:25 PM #59373 quote

mr blue
Participant

Senior

Inertia wrote:

I have 27379 EUR… 10.000 bars (starting from October 1st 2013) Signal taken from the post #59336 Code will be shared later I would be happy to see so other tentatives once I’ll be back from the soccer field …

Thanks for posting your results. How does the result look like with only 1 LOT ?

01/13/2018 at 7:57 PM #59377 quote

Inertia
Participant

Master

Yes Mr Blue, let’s keep 1 lot only. I am working on 2016…

competition-1-lot.png

01/13/2018 at 8:05 PM #59380 quote

Inertia
Participant

Master

Ok. Below my last tentative…

Competition-1-lot-II.png

01/14/2018 at 6:50 AM #59400 quote

mr blue
Participant

Senior

Well done Inertia! Any chance to mitimize the drag down early 2016?

01/14/2018 at 7:43 AM #59401 quote

Inertia
Participant

Master

Thx Mr Blue. All I know comes from this forum ;).

Attached is the same strategy on 200.000 bars..

Competition-200K.png

01/14/2018 at 11:34 AM #59415 quote

verdi55
Participant

Veteran

mr blue wrote:

Thanks for posting your results. How does the result look like with only 1 LOT ?

Not much better than buy and hold, I fear…

It works because there is a bull market. You could as well buy every day, or once a week, or once a month.

Buying at intermediate lows instead would increase performance somewhat, I think.
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