Basic coding question

• 05/28/2017 at 10:18 AM #36829
  GraHal

  What results did you get … post a screenshot (like mine above) that shows what  timeframe and instrument you are working on?

  

  GraHal

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  05/28/2017 at 2:12 PM #36840
  BC

  HiGrahal

  I test it with DAX 1 hr.

   

  

  BC

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  05/28/2017 at 7:55 PM #36845
  GraHal

  Bin, use GRAPH as  below and you will see your StopLossLong never triggers.

  GRAPH Close = StopLossLong

  1	GRAPH Close = StopLossLong

  Substitute actual numbers from a bar and you will see why …

  StopLossLong(68) = BuyPrice (12637) - SMA (12569)

  1	StopLossLong(68) = BuyPrice (12637) - SMA (12569)

  But nonetheless the code shows profit … well done! Most be room for tweaking / more profit?

  GraHal

  

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  05/28/2017 at 9:21 PM #36847
  Francesco78

  Guys can you please post the code relative to Bin’s picture in attachment? I’m trying to replicate the results before working on it.

  Thank you

  Francesco

  

  Francesco78

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  05/28/2017 at 10:11 PM #36851
  GraHal

  Forgive me @Bin, what I said in  #36845 re Stop Loss not triggering was incorrect … I need to concentrate and not have one eye on the TV! 🙁

  Thanks Francesco78, I can’t replicate Bin’s results either with code on this Thread.

  I tried to optimise 4 variables for 5m and 15m (not good) and settled on attached for  Dax @ 30M. Results over 100,000 bars attached and .itf attached with  4 variables in the Optimiser.

   

  //defparam preloadbars = 3000 defparam cumulateorders =false //true //false //Big Three MA FMA=Average[f](close) //green coloured(0,255,0) MMA=Average[m](close)//blue coloured(0,0,255) SMA=Average[s](close)//red coloured(255,0,0) //High Low Bar Setting CP=cp //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2 //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3 //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2 //Sell Caandle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3 //Long Entry if BC and BCandle then BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = BuyPrice - SMA endif //Long Exit if LongonMarket and close crosses under SMA then sell at market endif //short entry if SC and SCandle then //SELLSHORT min(25,PositionSizeShort) CONTRACT AT MARKET SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort=SMA-SellPrice //takeProfit = takeProfitShort endif //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif // Stop Loss if LongonMarket then SET STOP LOSS StopLossLong endif if ShortonMarket then SET STOP LOSS StopLossShort endif //graph SMA //graph Tradeprice //graph StopLossLong //graph StopLossShort

  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 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75

  //defparam preloadbars = 3000 defparam cumulateorders =false //true //false //Big Three MA FMA=Average[f](close) //green coloured(0,255,0) MMA=Average[m](close)//blue coloured(0,0,255) SMA=Average[s](close)//red coloured(255,0,0) //High Low Bar Setting CP=cp //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2 //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3 //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2 //Sell Caandle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3 //Long Entry if BC and BCandle then BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = BuyPrice - SMA endif //Long Exit if LongonMarket and close crosses under SMA then sell at market endif //short entry if SC and SCandle then //SELLSHORT min(25,PositionSizeShort) CONTRACT AT MARKET SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort=SMA-SellPrice //takeProfit = takeProfitShort endif //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif // Stop Loss if LongonMarket then SET STOP LOSS StopLossLong endif if ShortonMarket then SET STOP LOSS StopLossShort endif //graph SMA //graph Tradeprice //graph StopLossLong //graph StopLossShort

   

   

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  Francesco78

  

  GraHal

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  05/28/2017 at 11:32 PM #36854
  BC

  Sorry Grahal, , I forgot post the updated version with target profit and limited the loss. My bad.

  *Big3 V1-3 Take Profit

  defparam preloadbars = 3000 defparam cumulateorders =false //Big Three MA FMA=Average[20](close) //green coloured(0,255,0) MMA=Average[40](close) //blue coloured(0,0,255) SMA=Average[80](close) //red coloured(255,0,0) //High Low Bar Setting CP=3 //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2 //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3 //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2 //Sell Candle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3 //Long Entry if BC and BCandle then //BUY min(25,PositionSizeLong) CONTRACT AT MARKET BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = MIN(100,MAX(30,(BuyPrice - SMA))) //100, 30 TakeProfitLong = StopLossLong * 4.5 //1-5 StopLoss = StopLossLong TakeProfit = TakeProfitLong endif //Long Exit if LongonMarket and close crosses under SMA then sell at market endif //short entry if SC and SCandle then //SELLSHORT min(25,PositionSizeShort) CONTRACT AT MARKET SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort = MIN(60,MAX(10,(SMA - SellPrice))) //60, 10 TakeProfitShort = StopLossShort * 2.5 //1-5 StopLoss = StopLossShort TakeProfit = TakeProfitShort endif //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif // Stop Loss SET STOP LOSS StopLoss //Target Profit SET TARGET PROFIT TakeProfit graph BuyPrice graph SellPrice graph StopLossLong graph StopLossShort

  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 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76

  defparam preloadbars = 3000 defparam cumulateorders =false   //Big Three MA FMA=Average[20](close) //green  coloured(0,255,0) MMA=Average[40](close) //blue  coloured(0,0,255) SMA=Average[80](close) //red  coloured(255,0,0)   //High Low Bar Setting CP=3     //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2   //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3   //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2   //Sell Candle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3   //Long Entry if BC and BCandle then //BUY min(25,PositionSizeLong) CONTRACT AT MARKET BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = MIN(100,MAX(30,(BuyPrice - SMA))) //100, 30 TakeProfitLong = StopLossLong * 4.5 //1-5 StopLoss = StopLossLong TakeProfit = TakeProfitLong endif   //Long Exit if LongonMarket and close crosses under SMA then sell at market endif   //short entry if SC and SCandle then //SELLSHORT min(25,PositionSizeShort) CONTRACT AT MARKET SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort = MIN(60,MAX(10,(SMA - SellPrice))) //60, 10 TakeProfitShort = StopLossShort * 2.5 //1-5 StopLoss = StopLossShort TakeProfit = TakeProfitShort endif   //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif   // Stop Loss SET STOP LOSS StopLoss   //Target Profit SET TARGET PROFIT TakeProfit   graph BuyPrice graph SellPrice graph StopLossLong graph StopLossShort

   

   

   

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  BC

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  05/29/2017 at 12:56 PM #36886
  Francesco78

  Thanks, on the 1 hour and 30minutes TF is pretty nice.

  have you run WF yet?

   

  

  Francesco78

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  05/29/2017 at 2:43 PM #36926
  BC

  Hi Francesco

  A modified version with WF result attached.

  defparam preloadbars = 3000 defparam cumulateorders =false //true //false //Big Three MA FMA=Average[20](close) //green coloured(0,255,0) MMA=Average[40](close)//blue coloured(0,0,255) SMA=Average[80](close)//red coloured(255,0,0) //High Low Bar Setting CP=3 // Money Management Capital = 2000 //Risk = 5 //in % MaxD = 50 equity = Capital + StrategyProfit //Time Management ONCE maxCandlesLongWithoutProfit = 62 // 46, 62 ONCE maxCandlesShortWithoutProfit = 72 // 46, 72 //Check system account balance if equity<QuickLevel then quit endif recordhighest = MAX(recordhighest,equity) QuickLevel = recordhighest*((100-MaxD)/100) //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2 //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3 //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2 //Sell Caandle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3 //Long Entry if BC and BCandle then BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = MIN(100,MAX(30,(BuyPrice - SMA))) //100, 30 TakeProfitLong = StopLossLong * 4.5 //1-5 StopLoss = StopLossLong TakeProfit = TakeProfitLong endif //Long Exit if LongonMarket and close crosses under SMA then sell at market endif //short entry if SC and SCandle then SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort = MIN(60,MAX(10,(SMA - SellPrice))) //60, 10 TakeProfitShort = StopLossShort * 2.5 //1-5 StopLoss = StopLossShort TakeProfit = TakeProfitShort endif //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif // stop and profit management IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF //Time Exit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit IF LONGONMARKET AND m3 THEN SELL AT MARKET ENDIF IF SHORTONMARKET AND m4 THEN EXITSHORT AT MARKET ENDIF //Stop Loss SET STOP LOSS StopLoss //Target Profit SET TARGET PROFIT TakeProfit

  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 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106

  defparam preloadbars = 3000 defparam cumulateorders =false //true  //false   //Big Three MA FMA=Average[20](close) //green  coloured(0,255,0) MMA=Average[40](close)//blue  coloured(0,0,255) SMA=Average[80](close)//red  coloured(255,0,0)   //High Low Bar Setting CP=3   // Money Management Capital = 2000 //Risk = 5 //in % MaxD = 50 equity = Capital + StrategyProfit   //Time Management ONCE maxCandlesLongWithoutProfit = 62  // 46,  62 ONCE maxCandlesShortWithoutProfit = 72  // 46,  72   //Check system account balance if equity<QuickLevel then quit endif recordhighest = MAX(recordhighest,equity) QuickLevel = recordhighest*((100-MaxD)/100)   //Buy Signal B1=low > SMA and low>MMA and low>FMA B2=high >= highest[CP](high) BC=B1 and B2   //Buy Candle BC1 = Close[1] < Close[2] BC2 = Close > Close[1] BC3 = Close > Open BCandle = BC1 and BC2 and BC3   //Sell Signal S1=high < FMA and high<MMA and high<SMA S2=low <= lowest[CP](low) SC=S1 and S2   //Sell Caandle SC1 = Close[1] > Close[2] SC2 = Close < Close[1] SC3 = Close < Open SCandle = SC1 and SC2 and SC3     //Long Entry if BC and BCandle then BUY 1 CONTRACT AT MARKET BuyPrice=Close StopLossLong = MIN(100,MAX(30,(BuyPrice - SMA))) //100, 30 TakeProfitLong = StopLossLong * 4.5 //1-5 StopLoss = StopLossLong TakeProfit = TakeProfitLong endif   //Long Exit if LongonMarket and close crosses under SMA then sell at market endif   //short entry if SC and SCandle then SELLSHORT 1 CONTRACT AT MARKET SellPrice=Close StopLossShort = MIN(60,MAX(10,(SMA - SellPrice))) //60, 10 TakeProfitShort = StopLossShort * 2.5 //1-5 StopLoss = StopLossShort TakeProfit = TakeProfitShort endif   //Short Exit if ShortonMarket and close crosses over SMA then exitshort at market endif   // stop and profit management IF LONGONMARKET THEN posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize ELSIF SHORTONMARKET THEN posProfit = (((positionprice - close) * pointvalue) * countofposition) / pipsize ENDIF   //Time Exit m3 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesLongWithoutProfit m4 = posProfit < 0 AND (BarIndex - TradeIndex) >= maxCandlesShortWithoutProfit   IF LONGONMARKET AND m3 THEN SELL AT MARKET ENDIF   IF SHORTONMARKET AND m4 THEN EXITSHORT AT MARKET ENDIF     //Stop Loss SET STOP LOSS StopLoss   //Target Profit SET TARGET PROFIT TakeProfit

   

   

   

   

  

  BC

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  05/29/2017 at 2:46 PM #36930
  Francesco78

  looks really good, thanks a lot, any idea if it can be adapted to other markets?

  what are the variables you have optimized for the WF if I may ask?

  

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  05/29/2017 at 2:57 PM #36937
  BC

  I keep the original idea which using 20, 40, 80 MA and only add the highest/lowest filter and tested with Hang Seng (12.6 spread)and DAX (2.9 spread) only, HS not good because the high spread.

  WF only check quit level, I think can take a test on Max stop loss and target profit.

  

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  05/29/2017 at 3:33 PM #36938
  Francesco78

  Thanks, I think

  CP and

  maxCandlesLongWithoutProfit

  maxCandlesShortWithoutProfit

  should be subjected to backtest.

  Will try tomorrow

  

  Francesco78

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  05/29/2017 at 4:06 PM #36944
  BC

  Hi Francesco

  Yes, you are right.

  

  BC

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  05/30/2017 at 6:39 AM #36984
  BC

  I try DJI 30m, 1 hr, 4 hr with fixed MA and CP only but no luck, may be this Big3 idea not soild enough.

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  BC

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  05/30/2017 at 9:00 AM #36999
  GraHal

  Bin why are you not optimising the MA and CP … every market is different in volatility and cycles etc and you / we can check how robust an optimised set of variables (including MA & CP) are by using the Walk Forward  tool?

  

  GraHal

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  05/30/2017 at 9:34 AM #37004
  Francesco78

  I think CP was optimized, I tried myself..

  

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