4H Short with Repulse-Stop

• 11/26/2017 at 1:37 PM #54000
  JohnScher

   

  4H Short with Repulse-Stop

  // Dax 1 Euro Mini // TimeFrame 4H // Hauptcode : 4H Short with Repulse-Stop // created by JohnScher // tested 08.04.2013 - 26.11.17 with PRT 10.3 // 2 Points Spread // won 161 loose 212 // max DrawDown 853 Euro max RunUp 5.035 // winnings total 4,473 Euro defparam flatafter = 210000 defparam cumulateorders = true Once position = 1 cx1 = cci[11] (close) <+90 cx2 = cci[21] (close) >-90 cx3 = PriceOscillator[5,25](close)<0.5 cx4 = TR (close) >15 cx5 = repulse [3] <0.1 TradingTimeShort = time = 090000 or time = 130000 or time = 170000 IF TradingTimeShort Then IF cx1 and cx2 and cx3 and cx4 and cx5 Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position CONTRACTS AT MARKET Endif Endif Endif If repulse [3] >0.2 then Exitshort at market Endif // not tested // on other major indizes // with Saisonalpatternmultipler from Pathfinder-Systems // with some Re-invest-Stategies // greets JohnScher

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  // Dax 1 Euro Mini // TimeFrame 4H   // Hauptcode : 4H Short with Repulse-Stop // created by JohnScher   // tested 08.04.2013 - 26.11.17 with PRT 10.3 // 2 Points Spread // won 161 loose 212 // max DrawDown 853 Euro max RunUp 5.035 // winnings total 4,473 Euro     defparam flatafter = 210000 defparam cumulateorders = true   Once position = 1   cx1 = cci[11] (close) <+90 cx2 = cci[21] (close) >-90 cx3 = PriceOscillator[5,25](close)<0.5 cx4 = TR (close) >15 cx5 = repulse [3] <0.1     TradingTimeShort =  time = 090000 or time = 130000 or time = 170000   IF  TradingTimeShort Then IF   cx1 and cx2 and cx3 and cx4 and cx5  Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position CONTRACTS AT MARKET Endif Endif Endif   If repulse [3] >0.2 then Exitshort at market Endif   // not tested // on other major indizes // with Saisonalpatternmultipler from Pathfinder-Systems // with some Re-invest-Stategies   // greets JohnScher

  hi there.
  Is it correct and clean coded?
  I would like to ask if someone can check the results of the backtest and let you know if they have the same results?
  kind regards
  JohnScher

  

  JohnScher

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  11/26/2017 at 3:10 PM #54017
  Despair

  This is what i get with spread=2. 

  BTW: This post belongs in the proorder section.

  

  Despair

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  11/26/2017 at 4:21 PM #54020
  JohnScher

  Hi, thanks a lot!

  You have gone much further back with the beginning of the backing test.
  Can PRT return the data back valid so far? That would be very nice.

  I would like to check this again and ask you if you can give me the exact start date of your back test?

  

  JohnScher

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  11/26/2017 at 4:25 PM #54021
  Despair

  This was a 10000 bar backtest starting 23rd january 2011 (as you see on the first picture).

  

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  11/26/2017 at 4:38 PM #54022
  JohnScher

  Thank you very much again.

  I don’t have that result.
  I’ll try to find the bug and then report back to you.
  So thank you again!

  

  JohnScher

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  11/28/2017 at 8:49 AM #54216
  JohnScher

  Hello again.

  I couldn’t find any mistakes.
  But here are the screenshots.

  

  JohnScher

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  01/26/2018 at 5:39 PM #60627
  JohnScher

  Strategy in the demo version

   

   

  4H Short Repulse Stop

  //------------------------------------------------------------------------- // Hauptcode : 4H Short Repulse //------------------------------------------------------------------------- // Dax 1 Euro Mini // TimeFrame 4H // Hauptcode : 4H Short with Repulse-Stop // created by JohnScher // backtest 08.04.2013 - 26.11.17 with PRT 10.3 // 2 Points Spread // won 161 loose 212 // max DrawDown 853 Euro max RunUp 5.035 // winnings total 4,473 Euro defparam flatafter = 210000 defparam cumulateorders = true // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3 //0 risk(3) ONCE January2 = 0 //3 ok ONCE February1 = 3 //3 ok ONCE February2 = 3 //0 risk(3) ONCE March1 = 3 //0 risk(3) ONCE March2 = 2 //3 ok ONCE April1 = 1 //3 ok ONCE April2 = 3 //3 ok ONCE May1 = 1 //0 risk(1) ONCE May2 = 2 //0 risk(2) ONCE June1 = 1 //1 ok ONCE June2 = 2 //3 ok ONCE July1 = 3 //1 chance ONCE July2 = 2 //3 ok ONCE August1 = 2 //1 chance 1 ONCE August2 = 3 //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3 //0 risk(3) ONCE October2 = 2 //3 ok ONCE November1 = 1 //1 ok ONCE November2 = 3 //3 ok ONCE December1 = 3 // 1 chance ONCE December2 = 2 //3 ok // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF //------------------------------------------------------------------------------------- Once position = 1 cs1 = cci[11] (close) <+90 cs2 = cci[21] (close) >-90 cs3 = PriceOscillator[5,25](close)<0.5 cs4 = TR (close) >24 cs5 = repulse [3] (close) <0.1 TradingTimeShort = time = 090000 or time = 130000 or time = 170000 IF TradingTimeShort Then IF cs1 and cs2 and cs3 and cs4 and cs5 Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position*saisonalPatternMultiplier CONTRACTS AT MARKET Endif Endif Endif If repulse [3] (close) >0.1 then Exitshort at market Endif // not tested // on other major indizes // with some Re-invest-Stategies // greets JohnScher

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  //------------------------------------------------------------------------- // Hauptcode : 4H Short Repulse //------------------------------------------------------------------------- // Dax 1 Euro Mini // TimeFrame 4H // Hauptcode : 4H Short with Repulse-Stop // created by JohnScher   // backtest 08.04.2013 - 26.11.17 with PRT 10.3 // 2 Points Spread // won 161 loose 212 // max DrawDown 853 Euro max RunUp 5.035 // winnings total 4,473 Euro     defparam flatafter = 210000 defparam cumulateorders = true   // define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade) ONCE January1 = 3   //0 risk(3) ONCE January2 = 0   //3 ok ONCE February1 = 3  //3 ok ONCE February2 = 3  //0 risk(3) ONCE March1 = 3     //0 risk(3) ONCE March2 = 2     //3 ok ONCE April1 = 1     //3 ok ONCE April2 = 3     //3 ok ONCE May1 = 1       //0 risk(1) ONCE May2 = 2       //0 risk(2) ONCE June1 = 1      //1 ok ONCE June2 = 2      //3 ok ONCE July1 = 3      //1 chance ONCE July2 = 2      //3 ok ONCE August1 = 2    //1 chance 1 ONCE August2 = 3    //3 ok ONCE September1 = 3 //0 risk(3) ONCE September2 = 0 //0 ok ONCE October1 = 3   //0 risk(3) ONCE October2 = 2   //3 ok ONCE November1 = 1  //1 ok ONCE November2 = 3  //3 ok ONCE December1 = 3  // 1 chance ONCE December2 = 2  //3 ok     // set saisonal multiplier currentDayOfTheMonth = OpenDay midOfMonth = 15 IF CurrentMonth = 1 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = January1 ELSE saisonalPatternMultiplier = January2 ENDIF ELSIF CurrentMonth = 2 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = February1 ELSE saisonalPatternMultiplier = February2 ENDIF ELSIF CurrentMonth = 3 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = March1 ELSE saisonalPatternMultiplier = March2 ENDIF ELSIF CurrentMonth = 4 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = April1 ELSE saisonalPatternMultiplier = April2 ENDIF ELSIF CurrentMonth = 5 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = May1 ELSE saisonalPatternMultiplier = May2 ENDIF ELSIF CurrentMonth = 6 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = June1 ELSE saisonalPatternMultiplier = June2 ENDIF ELSIF CurrentMonth = 7 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = July1 ELSE saisonalPatternMultiplier = July2 ENDIF ELSIF CurrentMonth = 8 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = August1 ELSE saisonalPatternMultiplier = August2 ENDIF ELSIF CurrentMonth = 9 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = September1 ELSE saisonalPatternMultiplier = September2 ENDIF ELSIF CurrentMonth = 10 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = October1 ELSE saisonalPatternMultiplier = October2 ENDIF ELSIF CurrentMonth = 11 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = November1 ELSE saisonalPatternMultiplier = November2 ENDIF ELSIF CurrentMonth = 12 THEN IF currentDayOfTheMonth <= midOfMonth THEN saisonalPatternMultiplier = December1 ELSE saisonalPatternMultiplier = December2 ENDIF ENDIF     //-------------------------------------------------------------------------------------       Once position = 1   cs1 = cci[11] (close) <+90 cs2 = cci[21] (close) >-90 cs3 = PriceOscillator[5,25](close)<0.5 cs4 = TR (close) >24 cs5 = repulse [3] (close) <0.1     TradingTimeShort =  time = 090000 or time = 130000 or time = 170000   IF  TradingTimeShort Then IF   cs1 and cs2 and cs3 and cs4 and cs5  Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position*saisonalPatternMultiplier CONTRACTS AT MARKET Endif Endif Endif   If repulse [3] (close) >0.1 then Exitshort at market Endif       // not tested // on other major indizes // with some Re-invest-Stategies   // greets JohnScher

   

  

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  01/27/2018 at 12:46 PM #60675
  robertogozzi

  I moved the topic to ProOrder support.

  

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  02/04/2018 at 1:02 PM #61415
  JohnScher

  Thanks.

  I converted the 4H Short with Repulse Stop into a 4H Long with Repulse Stop.

  In this way..

  4H Long with Repulse Stop

  Defparam cumulateorders = false TradingDay = Opendayofweek = 1 or Opendayofweek = 2 or Opendayofweek = 3 or Opendayofweek = 4 or Opendayofweek = 5 TradingTime = time >=090000 and time <=210000 position = 1 // DetrendedPriceOszillaator past data p = 3 avg = average[p](close) r = round(p/2) +1 c = close - avg[r] // maincode If TradingDay and TradingTime then IF c > 0 and Repulse [5] >= 0.3 then buy position contracts at market Endif If Repulse [5] <0.3 then sell position contracts at market Endif Endif Set Stop %Loss 1 //Set Target %Profit 1

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  Defparam cumulateorders = false   TradingDay = Opendayofweek = 1 or Opendayofweek = 2 or Opendayofweek = 3 or Opendayofweek = 4 or Opendayofweek = 5   TradingTime = time >=090000 and time <=210000   position = 1   // DetrendedPriceOszillaator past data p = 3 avg = average[p](close) r = round(p/2) +1 c = close - avg[r]   // maincode If TradingDay and TradingTime then IF c > 0 and Repulse [5] >= 0.3 then buy position contracts at market Endif   If Repulse [5] <0.3 then sell position contracts at market Endif   Endif   Set Stop %Loss 1 //Set Target %Profit 1

   

  That should go far enough good. If necessary, can someone check the backtest result?

   

   

  However, I have a question about Repulse.

  This is provided by PRT as an indicator. I would like to check how the repulses relate to the rejecting average.

  For example, for
  Is it profitable? when you go long
  if the reject average >0 and the repulse crosses the reject average upwards
  if the reject average <0 and the repulse crosses the reject average upwards

  Unfortunately my programming skills are not so good, so I wanted to ask if someone could put the code for the repulse in here? I could then continue my deliberations.

  Enclosed the last picture. The red line is the rejecting average.

  Translated with http://www.DeepL.com/Translator

   

  Translated with http://www.DeepL.com/Translator

   

  

  JohnScher

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