Hello everyone, Ivan Donatiello Here.
My intention is to create a trading system that works to defend other strty, as breakout and meanrevertin systems in the portfolio.
For example, I should trade the S & P 500 with an breakout system and mean reverting, and probably this week the high downward volatility is very dangerous.
Then I implement a strategy that works as follows:
Conditions to enter the trade short:
1. Open> Close
2. Close of today < Close of yesterday
3. Today’s range higher than the average range of the last n days
If the conditions are verified:
1. Open a trade short at today’s low
Stop loss conditions.
1. + n point on today’s high
Eixt:
1. K * mean of the range at n days, where K is a decimal incremental factor> 1
Here is the code that I did but that does not work:
//AirBag System Trading Lab Capital - Ivan Donatiello
defparam cumulateorders=false
//Short Condition
C1 = Open > Close
C2 = Close < Close[1]
C3 = Range > (summation[10](range)/10)
if not longonmarket AND C1 AND C2 AND C3 then
SELLSHORT 1 contract at lowest[1](low)[1] stop
stoploss = close+highest[1](high)[1]
endif
//Exit Condition
SET TARGET PROFIT n2*AverageTrueRange[10]
//Stop Loss Condition
set stop loss stoploss
If we can thank you 🙂
You can write lines 10-11 as follows
SELLSHORT 1 contract at low[1] stop
stoploss = close+high[1]
because both with LOWEST and HIGHEST you only check one bar, the previous one, making them unnecessary.
Conditions look good and logically combined (assuming you are on a daily TF). C2 requires the previous bar to be BEARISH or even BULLISH but with a current opening bearish gap no matter if filled, is that what you want?
Maybe the average range of the last n bars is greater than the current one!
These are daily bars.
I do not care about the gap, but the explosion of downward volatility.
Even with your lines of code, the system opens only 5 positions then no longer closes the stop loss leaving the last position at a loss.
It would be a shame not to realize this system as it could be an excellent balance of equity systems.
PS: The place also in the Italian forum?
I think that your stoploss calculation is incorrect. As it currently is the stoploss would be huge as close + high[1] = 2623 + 2628 = massive number of pips!
Surely it should be high[1] – close so 2628 – 2623 = 5 pips.
Also you might want to change IF NOT LONGONMARKET to IF NOT ONMARKET or put the stoploss calculation in a separate IF decision as otherwise the stoploss will be repeatedly recalculated once you are short on the market if the same conditions are met again.
PS: The place also in the Italian forum?
Please do not duplicate topics in order to have a wider range of help, because this might cause the opposite effect, leaving some suggestions on a forum and others on a different one, making it difficult and annoying for members to search and help. Thank you.
Since you used
set stop loss stoploss
you correctly used price instead of pips (pLOSS deals with pips), but you are ADDING two prices, which will never be reached (within Eur/Usd, say 1.2110 + 1.2165 = 2.4275 which is…. you know what!), you may want to write
stoploss = high[1]
or
stoploss = high[1] + (3 * pipsize)
whatever you want.
you correctly used price instead of pips (pLOSS deals with pips)
Well spotted @robertogozzi. I didn’t spot that as I never use Loss always pLoss – so I assumed again! At least I was right about the stoploss calculation! 🙂
“set stop loss” use distance in price and not a price level, so the correct syntax should be:
stoploss = abs(high[1]-close)
set stop loss stoploss
Assuming it is a short order with the stoploss set at the High of the previous candlestick.
Thank you Nicolas, I also always use pLOSS, sorry for the incorrect suggestion!
To set a Stop Loss at a given price you only have to use pending STOP orders (renewed at each bar), like
SELL AT .... STOP //exit LONG trades
EXITSHORT AT .... STOP //exit SHORT trades
is that correct Nicolas?
Thank you for the tips 🙂
I rewrote the code, now it works.
//AirBag System Trading Lab Capital - Ivan Donatiello
defparam cumulateorders=false
//Short Condition
C1 = Close CROSSES UNDER (Low[1] - atrmultipler*AverageTrueRange[20](close))
if not onmarket AND C1 then
SELLSHORT 1 contract at low stop
endif
//Exit Condition
//First tipe of exit
if onmarket and barindex-tradeindex(1)>=ndayforexit then
EXITSHORT at market
endif
//Second tipe of exit (use either the first or the second or study a possible combination)
set target profit atrmultipler*AverageTrueRange[20](close)
//Stop Loss Condition
set stop loss high + 1
Now the system enters the market at the end of the current bar, it would be much better if the system entered the market during the bar when the volatility level was reached.
For example:
1. Enter the market when the price falls and volatility has exceeded 1.5 Atr [20].
We hope we can do the metrics would improve a lot.
See you soon 😉
Be warned that the above code works with S&P500, Dax and similar instruments, but it would not work with EurUsd, since
high + 1
would give 2.1220 (1.1220 + 1), instead of 1.1221 (1.1220 + 0.0001), so you’d better always use
set stop loss high + 1 * pipsize
which will work with any instrument. It’s the system doing the conversion.
@robertogozzi
Yes you are right about your statement for STOP orders. They expire at each bar so it’s necessary to put them continuously until your conditions are not true anymore.
@richlab
Not possible to do that until we get the long promise multiple timeframes support 😉
