Strategia Bollinger Band 2h

Ciao a tutti, ho messo su una strategia molto semplice, va a comprare quando la candela chiude sotto la banda inferioer di bollinger, e va a vendere quando chiude sopra.

La strategia si dimostra pero’ profittevole solo con le operazioni long, e per questo ho inserito nel codice la possibilità di disabilitarla.

Ho preso poi la gestione delle operazioni dal sistema Pathfinder per la chiusura dopo tot candele non in profit.

Chiedo a chi vuole ed ha tempo qualche consiglio o idea per eliminare il problema dei loss sulle operazioni short, o suggerimenti per gestire meglio le operazioni in loss ed in profit.

Grazie!

ps. negli screen la strategia è settata sul nasdaq, penso possa essere configurata agilmente anche su altri mercati.

Che ne pensate?

// Definizione dei parametri del codice
DEFPARAM CumulateOrders = false // Posizioni cumulate disattivate
ONCE startTime                     = 90000  // start time of trading window
ONCE endTime                       = 210000 // end time of trading window
///PARAMETRI
ONCE OKLONG                        = 1    // 1 LONG ON 0 LONG OFF
ONCE OKSHORT                       = 0    // 1 SHORT ON 0 SHORT OFF
ONCE stopLossLong                  = 5.2  // in %
ONCE stopLossShort                 = 0.8  // in %
ONCE takeProfitLong                = 2.2  // in %
ONCE takeProfitShort               = 0.4  // in %
ONCE maxCandlesLongWithProfit      = 10    //takelong profit latest after x
ONCE maxCandlesShortWithProfit     = 2    // take short profit latest after
ONCE maxCandlesLongWithoutProfit   = 38   // limit long loss latest after x
ONCE maxCandlesShortWithoutProfit  = 9    // limit short loss latest after
ONCE trailingStartLong             = 2  // in % * changed from 1.25
ONCE trailingStartShort            = 2    // in %
ONCE trailingStepLong              = 0.1   // in %
ONCE trailingStepShort             = 0.1   // in % * changed from 0.6

//Indicatori
boldo = BollingerDown[20](close)
bolu = bollingerup[20](close)
stoc = Stochastic[8,3](close)
//mm20 = average[20]
test1 = stoc < 44
test2 = stoc > 44
// Condizioni per entrare su posizioni long
c1 = (close[1] < boldo[1])
//esci = (close crosses under mm20)

// Condizioni per entrare su posizioni short
c2 = (close[1] > bolu[1])


//////////trade
IF Time >= startTime AND Time <= endTime THEN
IF OKLONG > 0 THEN
IF c1 and test1 THEN
BUY 1 CONTRACT AT MARKET
stopLoss = stopLossLONG
takeProfit = takeProfitLONG
ENDIF
ENDIF

IF OKSHORT > 0 THEN
IF c2 and test2 THEN
SELLSHORT 1 CONTRACT AT MARKET
stopLoss = stopLossShort
takeProfit = takeProfitShort
ENDIF
endif
ENDIF

//if longonmarket then
//if esci then
//sell at market
//endif
//endif



// stop and profit management
posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize
numberCandles = (BarIndex - TradeIndex)

m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit
m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit
m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit
m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit

// take profit after max candles
IF LONGONMARKET AND (m1 OR m3) THEN
SELL AT MARKET
ENDIF
IF SHORTONMARKET AND (m2 OR m4) THEN
EXITSHORT AT MARKET
ENDIF

// trailing stop function (convert % to pips)
trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100
trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100
trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100
trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100

// reset the stoploss value
IF NOT ONMARKET THEN
newSL = 0
ENDIF

// manage long positions
IF LONGONMARKET THEN
// first move (breakeven)
IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN
newSL = tradeprice(1) + trailingStepLongInPoints * pipsize
//stopLoss = stopLossLong * 0.1
//takeProfit = takeProfitLong * 2
ENDIF
// next moves
IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN
newSL = newSL + trailingStepLongInPoints * pipsize
ENDIF
ENDIF

// manage short positions
IF SHORTONMARKET THEN
// first move (breakeven)
IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN
newSL = tradeprice(1) - trailingStepShortInPoints * pipsize
ENDIF
// next moves
IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN
newSL = newSL - trailingStepShortInPoints * pipsize
ENDIF
ENDIF

// stop order to exit the positions
IF newSL > 0 THEN
IF LONGONMARKET THEN
SELL AT newSL STOP
ENDIF
IF SHORTONMARKET THEN
EXITSHORT AT newSL STOP
ENDIF
ENDIF

// Stop e target
SET STOP %LOSS stopLoss
SET TARGET %PROFIT takeProfit

PERFORMANCE.jpg PERF-2.jpg Bollinger-Band.itf