Add new position
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Tested on EURUSD 1h Not sure if this is what you looking for not bad results
// Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated DEFPARAM FLATBEFORE = 170000 DEFPARAM FLATAFTER = 220000 // indicators PSAR = SAR[0.02,0.02,0.2] MA = Average[41](close) Rs = RSI[15](close) c13 = Time < 192000 // Conditions to enter Long positions c1 = (close > PSAR) c2 = (close crosses over MA) c3 = Rs <= 60 IF not onmarket AND c13 AND c1 AND c2 AND c3 THEN Buy 2 SHARES AT MARKET sl = 50 tp = 50 ELSIF longonmarket and close - tradeprice < -20*pointsize then buy 5 SHARES AT MARKET sl = 30 tp = 20 ENDIF // Conditions to enter Short positions c6 = (close < PSAR) c7 = (close < MA) c8 = Rs >= 50 IF not onmarket AND c13 AND c6 AND c7 AND c8 THEN Sellshort 2 SHARES AT MARKET sl = 50 tp = 50 ELSIF shortonmarket and close - tradeprice > 20*pointsize then Sellshort 5 SHARES AT MARKET sl = 30 tp = 20 ENDIF SET STOP pLOSS sl SET TARGET pPROFIT tpHiya,
Not a terrible idea here. You should probably separate indicator variables for long and short entries though.
Obviously a good amount of work needs to be done here to make it a viable strategy in PRT (dynamic stops and targets, more filtering, proper position size management, time management etc) but for now I’ve done a little tweak for you here. The optimization may make up for PRT’s lack of multi-position management tools such as multiple stops and limits – which is what I believe you were after, @Abz.
// Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated DEFPARAM FLATBEFORE = 160000 DEFPARAM FLATAFTER = 210000 // Variables once optimization = 2 if optimization = 1 then // original rsiPeriodLongs = 15 rsiPeriodShorts = 15 maPeriodLongs = 41 maPeriodShorts = 41 maType = 0 rsiLongThresh = 60 rsiShrtThresh = 50 elsif optimization = 2 then //EUR_USD H1 rsiPeriodLongs = 18 rsiPeriodShorts = 18 rsiLongThresh = 63 rsiShrtThresh = 49 maType = 5 maPeriodLongs = 41 maPeriodShorts = 30 endif tradingTime = time < 182000 // indicators PSAR = sar[0.02,0.02,0.2] MALongs = average[maPeriodLongs, maType](close) MAShorts = average[maPeriodShorts, maType](close) rLongs = rsi[rsiPeriodLongs](close) rShorts = rsi[rsiPeriodShorts](close) // Conditions to enter Long positions c1 = (close > PSAR) c2 = (close crosses over MALongs) c3 = rLongs <= rsiLongThresh IF (not onmarket) AND tradingTime AND c1 AND c2 AND c3 THEN Buy 2 SHARES AT MARKET sl = 50 tp = 50 ELSIF longonmarket and close - tradeprice < -20*pointsize then buy 5 SHARES AT MARKET sl = 30 tp = 20 ENDIF // Conditions to enter Short positions c6 = (close < PSAR) c7 = (close < MAShorts) c8 = rShorts >= rsiShrtThresh IF not onmarket AND tradingTime AND c6 AND c7 AND c8 THEN Sellshort 2 SHARES AT MARKET sl = 50 tp = 50 ELSIF shortonmarket and close - tradeprice > 20*pointsize then Sellshort 5 SHARES AT MARKET sl = 30 tp = 20 ENDIF SET STOP pLOSS sl SET TARGET pPROFIT tpNote this is just very quick and rough – not for production – but do continue tweaking. This version was wrapped around EUR_USD H1 and has at least a year of spinning its wheels (take the equity curve with a pinch of salt). I have also changed timezone for my locale so do change the times to your own locale.
Best,
M
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/10/2017 |
| Status: | Active |
| Attachments: | 2 files |
