Bollinger Bounce – Tweezer Strategy – Dax 1h

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02/07/2017 at 1:38 PM #24211 quote

StantonR
Participant

Senior

Hi There

Yes ignore the above code as it not working correctly.

I am trying to figure out ptrailing as I have used it in a number of simulations on demo and the stoploss doesnt kick in it only acts a a trailing stop once you have reached 10 pips in profit.

So I am not sure what it is doing still testing that.

I have only been using PRT for 2 weeks now so still fumbling around.

The strategy seems to be working nicely when it comes to entry points just cant work out a good exit strategy or stoploss ( Maybe that means the strategy sucks 🙂 )

Thanks

02/07/2017 at 2:00 PM #24216 quote

GraHal
Participant

Master

@Stanton what about zero spread … results are unrealistic with no spread?

Also I get big loss when I include tick-tick, results are unrealistic with no tick-tick?

No not sucks … exits are more difficult to get right than entries in my opinion … keep at it! Maybe pick / copy good / working / successful exit conditions from another Strategy altother and paste into your code!? 🙂

02/07/2017 at 2:51 PM #24221 quote

CN
Participant

Senior

It does not suck, you are doing a great job StantonR! It gave me 50$ in profit today, thank you!!!

As @grahal is saying, keep at it and yes, exits are the hardest!!

02/07/2017 at 4:30 PM #24232 quote
Nicolas
Keymaster

Master
```
SET STOP pLOSS 10 pTRAILING 10
```
This kind of statement can’t be used in IG live trading FYI. But it does work for backtests for sure.

CN thanked this post
02/07/2017 at 7:00 PM #24258 quote
CN
Participant

Senior
Ok, Great to have that sorted, but Nicolas, below, what is wrong with the SL/TSL ?

It does not work in live mode..
```
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
DEFPARAM preloadbars = 150

n = 1

tweezerTop = ABS(High -(High[1]))<= High * 0.0075
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075

bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
Boll = 20

Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)


BolliLong = (low < Boldown) and tweezerBottom and bullindicator
Bolishort = (high > Bolup) and tweezerTop and bearindicator

IF NOT LongOnMarket AND BolliLong THEN
BUY n CONTRACTS AT MARKET


ENDIF

// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort THEN
SELLSHORT n CONTRACTS AT MARKET

ENDIF

//trailing stop function
trailingstart = 10 //trailing will start @trailinstart points profit
trailingstep = 5 //trailing step to move the "stoploss"

//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF

//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF

//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF

//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
```
02/08/2017 at 11:09 AM #24293 quote

Nicolas
Keymaster

Master

CN wrote:

It does not work in live mode..

What does not work exactly? Entries? or trailing stop?

I do not see any stoploss in the strategy, only the trailing stop that will start once you reach 10 points profit.

02/08/2017 at 11:14 AM #24297 quote

CN
Participant

Senior

The trailing does not work. It sets itself 10pts down and stops there. Does not follow the movement.

02/08/2017 at 11:26 AM #24301 quote

Nicolas
Keymaster

Master

It works, please try to debug with GRAPH ! 🙂 this is the only instruction to debug variables, so please use it!

Please find attached example of the “newSL” variable GRAPHed on chart in a backtest, you see that it moves correctly, at each new candlestick.

GRAPH-stoploss.png

02/09/2017 at 11:16 AM #24474 quote

CN
Participant

Senior

Here is the stats atm in demo with full-size AUD/USD, realy realy big possibilitys if we get the stop sorted.

Namnlös11.png

02/11/2017 at 3:29 PM #24791 quote
GraHal
Participant

Master
To keep the momentum up, I’ve done a bit on this AUD/USD 100,000 units @ 1H average spread 1.4 (from link below).

http://www.myfxbook.com/forex-broker-spreads/IG-AUDUSD-real-spread/1768,11
```
// Main code : GS BollBounceTweez AUDUSD 1H
//-------------------------------------------------------------------------
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
DEFPARAM preloadbars = 150
//DEFPARAM FlatAfter = 110000
//DEFPARAM FlatBefore = 190000
n = 1

tweezerTop = ABS(High -(High[1]))<= High * 0.0075
tweezerBottom = ABS(Low -(Low[1]))<= Low * 0.0075

bullindicator = OPEN[1] > CLOSE [1] AND OPEN < CLOSE
bearindicator = OPEN[1] < CLOSE [1] AND OPEN > CLOSE
Boll = 20

Boldown = BollingerDown[Boll](close)
Bolup = BollingerUp[Boll](close)


BolliLong = (low < Boldown) and tweezerBottom and bullindicator
Bolishort = (high > Bolup) and tweezerTop and bearindicator

IF NOT LongOnMarket AND BolliLong  and SMI[14,3,5](close) < 45 THEN
BUY n CONTRACTS AT MARKET
ENDIF

// Conditions to enter short positions
IF NOT ShortOnMarket and Bolishort and SMI[14,3,5](close) > 45  THEN
SELLSHORT n CONTRACTS AT MARKET
ENDIF

If ExponentialAverage[30](close) crosses under ExponentialAverage[250](close) Then
Sell at Market
Endif

If ExponentialAverage[5](close) crosses over ExponentialAverage[40](close) Then
EXITShort at Market
Endif
```
Tweez.jpg
02/12/2017 at 12:46 AM #24823 quote
GraHal
Participant

Master
Use below for exits if you think above is too optimised, but fear / down and greed / up are not ‘psychologically symmetrical activities’ so why would we expect symmetrical variables for EMA (any thoughts on that logic welcome)?

Revised equity curve atached.
```
If ExponentialAverage[30](close) crosses under ExponentialAverage[240](close) Then
Sell at Market
Endif

If ExponentialAverage[30](close) crosses over ExponentialAverage[240](close) Then
EXITShort at Market
Endif
```
Tweez-2.jpg
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