Automated trading with Pivot Points and Dojis
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// --- settings DEFPARAM CumulateOrders = False DojiSize = 20 //x% percent of body size compared to the complete range of the candlestick mode = 1 //Pivot calculation method // --- If Day>Day[1] then If mode = 0 then Pivot = (DHigh(1) + DLow(1) + Close[1]) / 3 Elsif mode = 1 then Pivot = (Open + DHigh(1) + DLow(1) + Close[1]) / 4 Elsif mode = 2 then Pivot = (DHigh(1) + DLow(1) + Close[1]*2) / 4 Else Pivot = (Open*2 + DHigh(1) + DLow(1)) / 4 Endif R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) Endif doji=(abs(open - close) <= (high - low) * DojiSize/100) bullish = doji and (high crosses over pivot or high crosses over r1 or high crosses over s1 or high crosses over rr2 or high crosses over s2 or high crosses over r3 or high crosses over s3) bearish = doji and (low crosses under pivot or low crosses under r1 or low crosses under s1 or low crosses under rr2 or low crosses under s2 or low crosses under r3 or low crosses under s3) If bullish Then Buy 1 Contract at Market Endif If bearish Then SellShort 1 Contract at Market Endif SET TARGET PPROFIT 150 SET STOP PLOSS 300I’m sure it can be improved, ideas anybody?
Feel free to change / add code etc?
All credit goes to Nicolas as it’s his Scanner quickly converted to an Auto-System.
cgraubner thanked this postYes but first you would have to code the Supp or Res Line into the System. You could use Alerts and then pick off one of the horizontal default PRT Supp / Res line conditions (see attached) or set your own price level line. Make sure you get that drop down box set correct on the red arrow … read up on the optional settings.cgraubner thanked this postSo far the performance is not bad as you can see in the attached picture. But the exit strategy when hitting the next pivot line does still not work. It should have stopped out as soon as the candle in the red first circle of the first picture was touched, but the exit was made in the second red circle because of the end of the trading day. For example for the case when a doji forms within a range of 4 points next to the R1 line and is supposed to exit at the pivot line, the code looks like this:
And the second Problem is, that I’m not even sure if the trade is only triggered when the doji is within the range of +- 4 points, because when you take a look at picture number 3 I don’t understand why it sold 1 contract short. There is no pivot line close to it. Is it because the code is not right? Thank you so much for your help!!:)DEFPARAM CumulateOrders = false DEFPARAM FlatBefore = 090000 DEFPARAM FlatAfter = 171500 Pivot = (DHigh(1) + DLow(1) + DClose(1)) / 3 R1 = 2*Pivot - DLow(1) S1 = 2*Pivot - DHigh(1) rR2 = Pivot + (DHigh(1) - DLow(1)) S2 = Pivot - (DHigh(1) - DLow(1)) R3 = R1 + (DHigh(1) - DLow(1)) S3 = S1 - (DHigh(1) - DLow(1)) dojisize = 4.2 doji = Range >= ABS(Open[1] - Close[1]) * dojisize bearishr1 = (doji and (close[1] <= r1+4 and close[1] >= r1-4) and close<low[1]) stoplownextcandle = low<low[1] stoplowdoji = low>low[1] stophighdoji = high<high[1] stophighnextcandle = high>high[1] size = 30 stopbull = 2 stopbear = 2 If bearishr1 Then SellShort size Contract at Market Endif if shortonmarket and stophighnextcandle then set stop ploss (high+stopbear) endif if shortonmarket and stophighdoji then set stop ploss (high[1]+stopbear) endif IF shortonmarket and (close >high[1]) then exitshort size contract at market ENDIF IF shortonmarket then SET TARGET PROFIT pivot ENDIFIF shortonmarket then SET TARGET PROFIT pivot
So taking one step at a time, are you saying that the Piv T Line equates to Pivot in your code? See attached … and that is why you expected to ExitShort as price had reached Piv T / your code pivot??cgraubner thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/07/2018 |
| Status: | Active |
| Attachments: | 25 files |
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