Algo tests well, but doesn’t run when live

This topic has 5 replies, 3 voices, and was last updated 3 years ago by Nicolas.

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11/19/2020 at 11:13 AM #150944

Mitchy14

Hi All,

First time post for me. I wouldn’t turn to this forum unless I had tried everything myself first. I have created an algo that reflects my current strategy. It’s not a ‘World Beating’ strategy by any means.

As you will see by the code – I’m probably less than a rookie and have pieced this together with a base level code from the ‘builder’ and slowly added and tweaked it to fit my individual needs from others (JuanJ, Nicholas). But I guess that’s the point of the network! 😀

It tests well, and hits my current personal targets when backtesting, but when I have unleashed it, it hasn’t yet made a trade. Of course, this could be due to the parameters not being met, but when I then backtest, it shows trades being made that were not reflected in real time when the algo was on.

I wondered if I could have an eye cast to double check I hadn’t done anything silly. It seems to have not yet made a trade, since I added the breakeven addition (created by the infamous Nicholas). It’s likely due to me not including it properly.

Hugely appreciate any guidance.

Best Tom

// Definition of code parameters
DEFPARAM CumulateOrders = FALSE // Cumulating positions deactivated

// Prevents the system from creating new orders to enter the market or increase position size before the specified time
noEntryBeforeTime = 000000
timeEnterBefore = time >= noEntryBeforeTime

// Prevents the system from placing new orders to enter the market or increase position size after the specified time
noEntryAfterTime = 240000
timeEnterAfter = time < noEntryAfterTime

// Prevents the system from placing new orders on specified days of the week
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

If dayofweek >= 5 and hour > 22 Then
If longonmarket Then
Sell at market
ElsIf shortonmarket Then
Exitshort at market
EndIf
EndIf

AA = period

ATR = AverageTrueRange[2](close)

//Breakeven functionality

startBreakeven = 30//pips to gain before breakeven functionality

PointsToKeep = 5 //pips to keep in profit above or below entry price when breakeven is activated


// Conditions to enter long positions
indicator1 = Average[100](close)
c1 = (close > indicator1)
indicator2 = RSI[2](close)
c2 = (indicator2 > 70)
indicator3 = Average[AA](close)+1.618*std[AA](close)
c3 = (close[1] > indicator3)
indicator4 = Average[AA](close)+1.618*std[AA](close)
c4 = (close > indicator4)
c5 = (open > open[2])

IF (c1 AND c2 AND c3 AND c4 AND c5) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
BUY 5 CONTRACT AT MARKET
SET STOP pTRAILING 50
ENDIF

// Conditions to enter long positions  #2
indicator5 = Average[100](close)
c6 = (close < indicator5)
indicator6 = RSI[2](close)
c7 = (indicator6 > 50)
indicator7 = Average[AA](close)-1.618*std[AA](close)
c8 = (close[1] < indicator7)
indicator8 = Average[AA](close)-1.618*std[AA](close)
c9 = (close > indicator8)

IF c6 AND c7 AND c8 AND c9 THEN
BUY 5 CONTRACT AT MARKET
SET STOP pTRAILING 50
ENDIF

IF NOT ONMARKET THEN
breakevenLevel=0
Endif

IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)+PointsToKeep*pipsize
ENDIF

IF breakevenLevel>0 THEN
SELL AT breakevenLevel STOP
ENDIF

// Conditions to exit long positions
indicator9 = Average[AA](close)+1.618*std[AA](close)
c10 = (close[2] > indicator9)
indicator10 = Average[AA](close)+1.618*std[AA](close)
c11 = (close[1] > indicator10)
indicator11 = Average[AA](close)+1.618*std[AA](close)
c12 = (close < indicator11)
indicator12 = Average[AA](close)+1.618*std[AA](close)
c13 = (high[1] > indicator12)
indicator13 = Average[AA](close)+1.618*std[AA](close)
c14 = (high < indicator13)

IF c10 AND c11 AND c12 AND c13 AND c14 THEN
SELL AT MARKET
ENDIF

// Conditions to enter short positions
indicator10 = Average[100](close)
c11 = (close > indicator10)
indicator11 = RSI[2](close)
c12 = (indicator11 < 50)
indicator12 = Average[AA](close)+1.618*std[AA](close)
c13 = (close[1] > indicator12)
indicator13 = Average[AA](close)+1.618*std[AA](close)
c14 = (close < indicator13)

IF (c11 AND c12 AND c13 AND c14) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
SELLSHORT 5 CONTRACT AT MARKET
SET STOP pTRAILING 50
ENDIF

//Conditions to enter short positions #2
indicator14 = Average[100](close)
c15 = (close < indicator14)
indicator15 = RSI[2](close)
c16 = (indicator15 < 40)
indicator16 = Average[AA](close)-1.618*std[AA](close)
c17 = (close[1] < indicator16)
indicator17 = Average[AA](close)-1.618*std[AA](close)
c18 = (close < indicator17)
c19 = (open < open[2])

IF c15 AND c16 AND c17 AND c18 AND c19 THEN
SELLSHORT 5 CONTRACT AT MARKET
SET STOP pTRAILING 50
ENDIF


IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)-PointsToKeep*pipsize
ENDIF

//place the new stop orders on market at breakevenLevel
IF breakevenLevel>0 THEN
EXITSHORT AT breakevenLevel STOP
ENDIF

// Conditions to exit short positions
indicator14 = Average[AA](close)-1.618*std[AA](close)
c15 = (close[2] < indicator14)
indicator15 = Average[AA](close)-1.618*std[AA](close)
c16 = (close[1] < indicator15)
indicator16 = Average[AA](close)-1.618*std[AA](close)
c17 = (low[2] < indicator16)
indicator17 = Average[AA](close)-1.618*std[AA](close)
c18 = (low[1] > indicator17)

IF c15 AND c16 AND c17 AND c18 THEN
EXITSHORT AT MARKET
ENDIF

If (indicator2 > 95) Then
Sell at market
ElsIf ((close > close[1] + ATR) or SHORTONMARKET) and indicator2 < 5 Then
Exitshort at market
EndIf

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// Definition of code parameters

DEFPARAM CumulateOrders = FALSE // Cumulating positions deactivated

// Prevents the system from creating new orders to enter the market or increase position size before the specified time

noEntryBeforeTime = 000000

timeEnterBefore = time >= noEntryBeforeTime

// Prevents the system from placing new orders to enter the market or increase position size after the specified time

noEntryAfterTime = 240000

timeEnterAfter = time < noEntryAfterTime

// Prevents the system from placing new orders on specified days of the week

daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

If dayofweek >= 5 and hour > 22 Then

If longonmarket Then

Sell at market

ElsIf shortonmarket Then

Exitshort at market

EndIf

AA = period

ATR = AverageTrueRange[2](close)

//Breakeven functionality

startBreakeven = 30//pips to gain before breakeven functionality

PointsToKeep = 5 //pips to keep in profit above or below entry price when breakeven is activated

// Conditions to enter long positions

indicator1 = Average[100](close)

c1 = (close > indicator1)

indicator2 = RSI[2](close)

c2 = (indicator2 > 70)

indicator3 = Average[AA](close)+1.618*std[AA](close)

c3 = (close[1] > indicator3)

indicator4 = Average[AA](close)+1.618*std[AA](close)

c4 = (close > indicator4)

c5 = (open > open[2])

IF (c1 AND c2 AND c3 AND c4 AND c5) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN

BUY 5 CONTRACT AT MARKET

SET STOP pTRAILING 50

ENDIF

// Conditions to enter long positions #2

indicator5 = Average[100](close)

c6 = (close < indicator5)

indicator6 = RSI[2](close)

c7 = (indicator6 > 50)

indicator7 = Average[AA](close)-1.618*std[AA](close)

c8 = (close[1] < indicator7)

indicator8 = Average[AA](close)-1.618*std[AA](close)

c9 = (close > indicator8)

IF c6 AND c7 AND c8 AND c9 THEN

BUY 5 CONTRACT AT MARKET

SET STOP pTRAILING 50

ENDIF

IF NOT ONMARKET THEN

breakevenLevel=0

Endif

IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN

//calculate the breakevenLevel

breakevenLevel = tradeprice(1)+PointsToKeep*pipsize

ENDIF

IF breakevenLevel>0 THEN

SELL AT breakevenLevel STOP

ENDIF

// Conditions to exit long positions

indicator9 = Average[AA](close)+1.618*std[AA](close)

c10 = (close[2] > indicator9)

indicator10 = Average[AA](close)+1.618*std[AA](close)

c11 = (close[1] > indicator10)

indicator11 = Average[AA](close)+1.618*std[AA](close)

c12 = (close < indicator11)

indicator12 = Average[AA](close)+1.618*std[AA](close)

c13 = (high[1] > indicator12)

indicator13 = Average[AA](close)+1.618*std[AA](close)

c14 = (high < indicator13)

IF c10 AND c11 AND c12 AND c13 AND c14 THEN

SELL AT MARKET

ENDIF

// Conditions to enter short positions

indicator10 = Average[100](close)

c11 = (close > indicator10)

indicator11 = RSI[2](close)

c12 = (indicator11 < 50)

indicator12 = Average[AA](close)+1.618*std[AA](close)

c13 = (close[1] > indicator12)

indicator13 = Average[AA](close)+1.618*std[AA](close)

c14 = (close < indicator13)

IF (c11 AND c12 AND c13 AND c14) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN

SELLSHORT 5 CONTRACT AT MARKET

SET STOP pTRAILING 50

ENDIF

//Conditions to enter short positions #2

indicator14 = Average[100](close)

c15 = (close < indicator14)

indicator15 = RSI[2](close)

c16 = (indicator15 < 40)

indicator16 = Average[AA](close)-1.618*std[AA](close)

c17 = (close[1] < indicator16)

indicator17 = Average[AA](close)-1.618*std[AA](close)

c18 = (close < indicator17)

c19 = (open < open[2])

IF c15 AND c16 AND c17 AND c18 AND c19 THEN

SELLSHORT 5 CONTRACT AT MARKET

SET STOP pTRAILING 50

ENDIF

IF SHORTONMARKET AND tradeprice(1)-close>startBreakeven*pipsize THEN

//calculate the breakevenLevel

breakevenLevel = tradeprice(1)-PointsToKeep*pipsize

ENDIF

//place the new stop orders on market at breakevenLevel

IF breakevenLevel>0 THEN

EXITSHORT AT breakevenLevel STOP

ENDIF

// Conditions to exit short positions

indicator14 = Average[AA](close)-1.618*std[AA](close)

c15 = (close[2] < indicator14)

indicator15 = Average[AA](close)-1.618*std[AA](close)

c16 = (close[1] < indicator15)

indicator16 = Average[AA](close)-1.618*std[AA](close)

c17 = (low[2] < indicator16)

indicator17 = Average[AA](close)-1.618*std[AA](close)

c18 = (low[1] > indicator17)

IF c15 AND c16 AND c17 AND c18 THEN

EXITSHORT AT MARKET

ENDIF

If (indicator2 > 95) Then

Sell at market

ElsIf ((close > close[1] + ATR) or SHORTONMARKET) and indicator2 < 5 Then

Exitshort at market

EndIf

Mitchy14

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Replies: 17

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11/19/2020 at 11:20 AM #150946

Nicolas

What is AA period used please?

How many maximum contracts do you allowed in ProOrder when launching the strategy?

1 user thanked author for this post.

Mitchy14

Nicolas

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11/19/2020 at 11:58 AM #150949

Mitchy14

Hi Nicholas,

Thanks for coming back so quickly – real pleasure to get your support.

AA is the variable label I use for the bollinger band period – I run an optimisation from 1 to 100 to understand the best n period for that pair.

I do a maximum of 2 contracts currently – I plucked it from the air tbh.

I hope I explained that clearly.

Tom

Mitchy14

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11/19/2020 at 12:22 PM #150951

GraHal

Your code is taking 5 Contracts so you need to set maximum when you start the Algo in ProOrder to at least 5 (I would set to 10 to allow for a switch in direction)

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Mitchy14

GraHal

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11/19/2020 at 12:53 PM #150952

Mitchy14

Thanks GraHal – Seems so obvious in hindsight! 😀 I’ll give it a go….

1 user thanked author for this post.

GraHal

Mitchy14

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Been thanked: 2 times

11/19/2020 at 1:57 PM #150963

Nicolas

That’s why I asked in the first place 😉

2 users thanked author for this post.

GraHal,

Mitchy14

Nicolas

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