A simple n-days breakout system

• 01/25/2018 at 1:21 PM #60500
  Ivan Donatiello

  Hello everyone Ivan Donatiello Here,

  My proposal is to program a trading system similar to the orginal turtles trading rule.

  The conditions are simple, they are as follows:

  1. Buy buy stop at highest n days
  2. Stop loss at lowest n days
  3 exit at n days

  The exact opposite for the trade short!

  You can help me?

  If there was already an equal or similar argument to implement the code, please forgive me and link it to me 🙂

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  01/25/2018 at 2:11 PM #60510
  Nicolas

  Topic moved to ProOrder support forum, since related to automatic trading. Please use the ProRealTime forum support only for platform related queries.

  This strategy is very similar to the “turtle trading strategy” IMO.

  It could be coded like this: (not tested)

  defparam cumulateorders=false n = 20 if not longonmarket then buy 1 contract at highest[n](high)[1] stop stoploss = close-lowest[n](low)[1] endif set stop loss stoploss if onmarket and barindex-tradeindex(1)>=n then sell at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14

  defparam cumulateorders=false   n = 20   if not longonmarket then buy 1 contract at highest[n](high)[1] stop stoploss = close-lowest[n](low)[1] endif   set stop loss stoploss   if onmarket and barindex-tradeindex(1)>=n then sell at market endif

  Since you used the N variable 3 times in your description, I used it also 3 times: for the highest high, lowest low and bars quantity to close order.

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20867

  Been thanked: 4783 times
  01/25/2018 at 5:17 PM #60524
  Ivan Donatiello

  I’, sorry for having made a wrong section.

  Yes Nicolas, it’s about that system, I’m trying to adapt everything to my operation, I do a search and insert my rules.

  If I find something good, I share

  Thank you 🙂 🙂 🙂

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  06/24/2019 at 3:10 PM #101322
  Ivan Donatiello

  Greetings to all, I tried to encode the short version of this system. But I couldn’t, this is the code I got but it doesn’t work:

  defparam cumulateorders=false n = 10 n1 = 20 if not longonmarket then SELLSHORT 1 contract at lowest[n](low)[1] stop stoploss = close-highest[n](high)[1] endif set stop loss stoploss if onmarket and barindex-tradeindex(1)>=n1 then sell at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  defparam cumulateorders=false   n = 10 n1 = 20   if not longonmarket then SELLSHORT 1 contract at lowest[n](low)[1] stop stoploss = close-highest[n](high)[1] endif   set stop loss stoploss   if onmarket and barindex-tradeindex(1)>=n1 then sell at market endif

   

  Can anyone help me figure out where the problem is?

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  06/24/2019 at 5:02 PM #101329
  Vonasi

  Ivan Donatiello – Please use the Insert PRT Code’ button whenever you post code in your replies to make it easier for others to read. I have tidied up your post for you 🙂

  Replace SELL with EXITSHORT in your code.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1812 times
  06/24/2019 at 5:05 PM #101330
  Vonasi

  Also change line 8 to:

  stoploss = highest[n](high)[1] - close

  1	stoploss = highest[n](high)[1] - close

  otherwise the stoploss value is negative.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1812 times
• Author
  Posts