AirBag Defense System

• 02/07/2018 at 2:29 AM #61821
  Ivan Donatiello

  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:

  Aribag System by Ivan Donatiello

  //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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

  //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 🙂

   

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  02/07/2018 at 12:23 PM #61852
  robertogozzi

  You can write lines 10-11 as follows

  SELLSHORT 1 contract at low[1] stop stoploss = close+high[1]

  1 2	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!

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/11/2018 at 7:21 PM #62302
  Ivan Donatiello

  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?

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  02/11/2018 at 8:00 PM #62303
  Vonasi

  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.

  1 user thanked author for this post.

  Nicolas

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  02/13/2018 at 11:40 AM #62555
  robertogozzi

  Ivan Donatiello wrote:

  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.

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/13/2018 at 11:47 AM #62559
  robertogozzi

  Since you used

  set stop loss stoploss

  1	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]

  1	stoploss = high[1]

  or

  stoploss = high[1] + (3 * pipsize)

  1	stoploss = high[1] + (3 * pipsize)

  whatever you want.

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/13/2018 at 12:03 PM #62568
  Vonasi

  robertogozzi wrote:

  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! 🙂

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  02/13/2018 at 12:35 PM #62581
  Nicolas

  “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

  1 2	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.

  1 user thanked author for this post.

  robertogozzi

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4738 times
  02/13/2018 at 12:38 PM #62582
  robertogozzi

  Thank you Nicolas, I also always use pLOSS, sorry for the incorrect suggestion!

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/13/2018 at 12:46 PM #62583
  robertogozzi

  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

  1 2	SELL      AT .... STOP   //exit LONG trades EXITSHORT AT .... STOP   //exit SHORT trades

  is that correct Nicolas?

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/13/2018 at 12:59 PM #62585
  Ivan Donatiello

  Thank you for the tips 🙂

  I rewrote the code, now it works.

  AirBag System for prorealcode community

  //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 (<span id="result_box" class="" lang="en" tabindex="-1">use either the first or the second or study a possible combination)</span> set target profit atrmultipler*AverageTrueRange[20](close) //Stop Loss Condition set stop loss high + 1

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

  //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 (<span id="result_box" class="" lang="en" tabindex="-1">use either the first or the second or study a possible combination)</span> 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 😉

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  02/13/2018 at 1:09 PM #62587
  robertogozzi

  Be warned that the above code works with S&P500, Dax and similar instruments, but it would not work with EurUsd, since

  high + 1

  1

  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

  1	set stop loss high + 1 * pipsize

  which will work with any instrument. It’s the system doing the conversion.

   

  1 user thanked author for this post.

  GraHal

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16450

  Been thanked: 3634 times
  02/15/2018 at 12:02 PM #62814
  Ivan Donatiello

  Thank You 🙂

  

  Ivan Donatiello

  Participant

  Topics: 10

  Replies: 25

  Been thanked: 2 times
  02/16/2018 at 8:22 AM #62885
  Nicolas

  @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 😉

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4738 times
• Author
  Posts