Bollinger System

• 10/05/2016 at 3:48 PM #14307
  thomas123

  Hi,

  I just started working with PRT. I tried to create a system that works with the Bollinger Bands. Basically the idea is to sell if the price crosses the upper band and vice versa (in 1h timeframe).

  That´s the code I have so far:

  a = Average[20](close) IF barindex >= 20-1 THEN sumy2 = 0 sumy = 0 FOR i = 0 TO 20-1 do sumy2 = sumy2 + SQUARE(close[i]) sumy = sumy + close[i] NEXT STDDEV =SQRT(sumy2 / 20 - SQUARE(sumy / 20)) ELSE STDDEV = undefined ENDIF up = a+STDDEV*3 down = a-STDDEV*3 // Bedingungen zum Einstieg in Long-Positionen c1 = time>070000 c2 = time<220000 c3 = time=220000 IF NOT SHORTONMARKET and c1 and c2 THEN Buy 1 SHARES AT down limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF // Bedingungen zum Ausstieg aus Long-Positionen IF c3 THEN Sell AT Market ENDIF // Bedingungen zum Einstieg in Short-Positionen IF NOT LONGONMARKET and c1 and c2 THEN SELLSHORT 1 SHARES AT up limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF // Bedingungen zum Ausstieg aus Short-Positionen IF c3 THEN ExitShort AT Market ENDIF

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  a = Average[20](close)   IF barindex >= 20-1 THEN sumy2 = 0 sumy = 0 FOR i = 0 TO 20-1 do sumy2 = sumy2 + SQUARE(close[i]) sumy = sumy + close[i] NEXT STDDEV =SQRT(sumy2 / 20 - SQUARE(sumy / 20)) ELSE STDDEV = undefined ENDIF   up = a+STDDEV*3 down = a-STDDEV*3   // Bedingungen zum Einstieg in Long-Positionen c1 = time>070000 c2 = time<220000 c3 = time=220000   IF NOT SHORTONMARKET and c1 and c2 THEN Buy 1 SHARES AT down limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF   // Bedingungen zum Ausstieg aus Long-Positionen     IF c3  THEN Sell  AT Market ENDIF   // Bedingungen zum Einstieg in Short-Positionen   IF NOT LONGONMARKET and c1 and c2 THEN SELLSHORT 1 SHARES AT up limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF   // Bedingungen zum Ausstieg aus Short-Positionen     IF c3 THEN ExitShort  AT Market ENDIF

   

  The Problem now is that it buys/sells at the previous and not at the current bollinger value. Does someone have an idea how to solve this problem?

  Thank you!

   

  Regards Thomas

   

  

  thomas123

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  10/05/2016 at 4:16 PM #14310
  Nicolas

  I have modified your code a bit.

  You don’t have to calculate yourself the standard deviation as it is already a language instruction. Only one trade will be launch at the same time.

  defparam cumulateorders = false a = Average[20](close) up = a+STD[20](close)*3 down = a-STD[20](close)*3 // Bedingungen zum Einstieg in Long-Positionen c1 = time>070000 c2 = time<220000 c3 = time=220000 IF NOT SHORTONMARKET and c1 and c2 THEN Buy 1 SHARES AT down limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF // Bedingungen zum Ausstieg aus Long-Positionen IF c3 THEN Sell AT Market ENDIF // Bedingungen zum Einstieg in Short-Positionen IF NOT LONGONMARKET and c1 and c2 THEN SELLSHORT 1 SHARES AT up limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF // Bedingungen zum Ausstieg aus Short-Positionen IF c3 THEN ExitShort AT Market ENDIF

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  defparam cumulateorders = false   a = Average[20](close)   up = a+STD[20](close)*3 down = a-STD[20](close)*3   // Bedingungen zum Einstieg in Long-Positionen c1 = time>070000 c2 = time<220000 c3 = time=220000   IF NOT SHORTONMARKET and c1 and c2 THEN Buy 1 SHARES AT down limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF   // Bedingungen zum Ausstieg aus Long-Positionen IF c3  THEN Sell AT Market ENDIF   // Bedingungen zum Einstieg in Short-Positionen IF NOT LONGONMARKET and c1 and c2 THEN SELLSHORT 1 SHARES AT up limit SET STOP PLOSS 5 SET TARGET PPROFIT 15 ENDIF   // Bedingungen zum Ausstieg aus Short-Positionen IF c3 THEN ExitShort AT Market ENDIF

  Results are great, but this is due to the “0 bar” behaviour of the tester.

   

  

  Nicolas

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  10/05/2016 at 5:43 PM #14329
  thomas123

  Hi Nicolas,

  thanks for your reply and your modifications.

  I still face the problem, that positions are openend even if the price doesn´t cross the Bollinger Bands. The reason is, that the system buys on the previous Bollinger value.

  As an example: Let´s say we are at the 3 o´clock candle, then the system buys/sells at the 2 o´clock bollinger value.

  Do you have any ideas how to solve that problem?

  And could you please explain what you mean by “0 bar” behaviour?

  Thanks

  

  thomas123

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  10/05/2016 at 6:56 PM #14339
  Nicolas

  You are putting LIMIT orders at market at the actual bollinger bands values. If price touch this value, the trade is open. You could have also try to use the cross of the close of candlesticks instead, with CROSSES OVER and CROSSES UNDER. What you think of a delay about the correct bollinger values may come from these conditional pending orders you are using in your strategy. Also, please have in mind that conditions are tested only 1 time at close of the candlestick and trades are executed at the next open.

  You’ll find a lot of topics and discussions here about the not look inside what happen in a bar, but it is now an old problem since version 10.3 now include a new tick by tick backtest engine.

  

  Nicolas

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