Bollinger Breakout Dax

• 12/18/2020 at 9:54 PM #154360
  pierrevogt

  Hi all,

  I’ve tried out a little through ProOrder and wrote this code.

  But it doesn’t generate any trades.

  Timeframe M5.

  Can anybody tell me, where the mistake is?

   

   

  Thanks

  //BB_Breakout_v0.9

  Defparam cumulateorders = False Defparam preloadbars = 150 DEFPARAM FlatAfter = 215500 // Positionen werden um 21:55 Uhr glattgestellt // Variablen // BBFaktor = 2 //Faktor Standardabweichung BB // TB = 100 // neues BBwidth-Tief seit 100 Perioden // FB = 1.2 // Faktor Bandbreite für Stoploss-Bestimmung // CRV = 1.5 // gewünschtes CRV; TP = CRV*Stoploss // BBBT = 10 // minimale Bandbreite für Einstieg // BBBH = 40 // maximale Bandbreite für Einstieg //Times for the strategy to work IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) OR (Month = 1 AND (Day = 1 OR Day = 6)) OR (Month = 10 AND Day = 3) OR Time < 090000 OR Time > 204500 THEN t = 0 ELSE t = 1 ENDIF //indicators BBM = Average[20](close) BBUp = BBM + BBFaktor * STD[20](close) BBDown = BBM - BBFaktor * STD[20](close) BBwidth = BBUp - BBDown a1 = lowest[3](BBwidth) = lowest[100](BBwidth) a2 = BBwidth > BBBT a3 = BBwidth < BBBH o1 = close > BBUp o2 = close < BBDown //Wert Stoploss IF a1 AND a2 AND a3 AND o1 OR o2 THEN SL = BBwidth * FB ENDIF //Wert Takeprofit TP = SL * CRV //Position size management Capital = 5000 Risk = 0.01 Equity = Capital + StrategyProfit MaxRisk = Equity * Risk PositionSize = MaxRisk/SL //conditions for entry long IF not longonmarket AND t = 1 AND a1 AND a2 AND a3 AND o1 THEN BUY Positionsize Contract AT Market ENDIF //conditions for entry short IF not shortonmarket AND t = 1 AND a1 AND a2 AND a3 AND o2 THEN SELLSHORT Positionsize Contract AT Market ENDIF //Stop and Target Set Stop ploss SL Set Target pProfit TP

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  Defparam cumulateorders = False Defparam preloadbars = 150     DEFPARAM FlatAfter = 215500 // Positionen werden um 21:55 Uhr glattgestellt   // Variablen // BBFaktor = 2 //Faktor Standardabweichung BB // TB = 100 // neues BBwidth-Tief seit 100 Perioden // FB = 1.2 // Faktor Bandbreite für Stoploss-Bestimmung // CRV = 1.5 // gewünschtes CRV; TP = CRV*Stoploss // BBBT = 10 // minimale Bandbreite für Einstieg // BBBH = 40 // maximale Bandbreite für Einstieg   //Times for the strategy to work IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) OR (Month = 1 AND (Day = 1 OR Day = 6)) OR (Month = 10 AND Day = 3) OR Time < 090000 OR Time > 204500 THEN t = 0 ELSE t = 1 ENDIF     //indicators BBM = Average[20](close) BBUp = BBM + BBFaktor * STD[20](close) BBDown = BBM - BBFaktor * STD[20](close) BBwidth = BBUp - BBDown a1 = lowest[3](BBwidth) = lowest[100](BBwidth) a2 = BBwidth > BBBT a3 = BBwidth < BBBH o1 = close > BBUp o2 = close < BBDown   //Wert Stoploss IF a1 AND a2 AND a3 AND o1 OR o2 THEN SL = BBwidth * FB ENDIF   //Wert Takeprofit TP = SL * CRV   //Position size management Capital = 5000 Risk = 0.01 Equity = Capital + StrategyProfit MaxRisk = Equity * Risk PositionSize = MaxRisk/SL   //conditions for entry long IF not longonmarket AND t = 1 AND a1 AND a2 AND a3 AND o1 THEN BUY Positionsize Contract AT Market ENDIF   //conditions for entry short IF not shortonmarket AND t = 1 AND a1 AND a2 AND a3 AND o2 THEN SELLSHORT Positionsize Contract AT Market ENDIF     //Stop and Target Set Stop ploss SL Set Target pProfit TP

   

   

  

  pierrevogt

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  12/18/2020 at 10:01 PM #154362
  robertogozzi

  You should uncomment lines 8-13.

   

  

  robertogozzi

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  12/21/2020 at 8:23 AM #154689
  pierrevogt

  Hello Roberto,

  I’ve defined these variables in ProRealTime, as you can see in the attached itf-File.

  The ambition is to optimize these variables, after a first strategy test.

  But the strategy still doesnt’t bring any results. Is there maybe another fault in the syntax?

   

  If there were variables used in a code, that are not defined, isn’t ProRealTime generating an error note then?

   

  Thank you.

   

   

  

  pierrevogt

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  12/21/2020 at 10:04 AM #154698
  TempusFugit

  Not sure, but maybe the reason you don´t get any operation  could be because of the minimun size  of the instrument you are operating.

  For instance the DAX have a minimun position size of 0,5 so as your “Position Size Management” calculates a lower position size the operation doesn´t execute

  To avoid that you should code a minimun position size

  

  TempusFugit

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  12/21/2020 at 11:45 AM #154711
  Vonasi

  Have you checked that all your conditions are actually ever true at the same time?

  It might be worth creating an indicator just to test this. Something like this (not tested):

  BBFaktor = 2 //Faktor Standardabweichung BB TB = 100 // neues BBwidth-Tief seit 100 Perioden FB = 1.2 // Faktor Bandbreite für Stoploss-Bestimmung CRV = 1.5 // gewünschtes CRV; TP = CRV*Stoploss BBBT = 10 // minimale Bandbreite für Einstieg BBBH = 40 // maximale Bandbreite für Einstieg //Times for the strategy to work IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) OR (Month = 1 AND (Day = 1 OR Day = 6)) OR (Month = 10 AND Day = 3) OR Time < 090000 OR Time > 204500 THEN t = 0 ELSE t = 1 ENDIF //indicators BBM = Average[20](close) BBUp = BBM + BBFaktor * STD[20](close) BBDown = BBM - BBFaktor * STD[20](close) BBwidth = BBUp - BBDown a1 = lowest[3](BBwidth) = lowest[100](BBwidth) a2 = BBwidth > BBBT a3 = BBwidth < BBBH o1 = close > BBUp o2 = close < BBDown //conditions for entry long IF t = 1 AND a1 AND a2 AND a3 AND o1 THEN flag1 = flag1 + 1 ENDIF //conditions for entry short IF t = 1 AND a1 AND a2 AND a3 AND o2 THEN flag2 = flag2 + 1 ENDIF return flag1 as "Long Conditions Hit", flag2 as "Short Conditions Hit"

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  BBFaktor = 2 //Faktor Standardabweichung BB TB = 100 // neues BBwidth-Tief seit 100 Perioden FB = 1.2 // Faktor Bandbreite für Stoploss-Bestimmung CRV = 1.5 // gewünschtes CRV; TP = CRV*Stoploss BBBT = 10 // minimale Bandbreite für Einstieg BBBH = 40 // maximale Bandbreite für Einstieg   //Times for the strategy to work IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) OR (Month = 1 AND (Day = 1 OR Day = 6)) OR (Month = 10 AND Day = 3) OR Time < 090000 OR Time > 204500 THEN t = 0 ELSE t = 1 ENDIF     //indicators BBM = Average[20](close) BBUp = BBM + BBFaktor * STD[20](close) BBDown = BBM - BBFaktor * STD[20](close) BBwidth = BBUp - BBDown a1 = lowest[3](BBwidth) = lowest[100](BBwidth) a2 = BBwidth > BBBT a3 = BBwidth < BBBH o1 = close > BBUp o2 = close < BBDown   //conditions for entry long IF t = 1 AND a1 AND a2 AND a3 AND o1 THEN flag1 = flag1 + 1 ENDIF   //conditions for entry short IF t = 1 AND a1 AND a2 AND a3 AND o2 THEN flag2 = flag2 + 1 ENDIF   return flag1 as "Long Conditions Hit", flag2 as "Short Conditions Hit"

   

  

  Vonasi

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