BREAKOUT / BREAKDOWN FROM A RANGE

• 03/30/2016 at 10:28 PM #4670
  GraHal

  Hello Everyone

  May I please ask for any ideas or code snippets to get me started or even a full ‘Auto System’ to perform the following …

   

  Breakout or Breakdown from a Range.

  The sort of range I am thinking of are usually tightish / narrowish and often seen as consolidation after a strong rise up or down.

  Please refer me to any existing systems on this website or anywhere that you feel may do the job?

  Hope above makes sense, just say if not.

  Many Thanks

  GraHal

   

  

  GraHal

  Participant

  Topics: 222

  Replies: 9189

  Been thanked: 2405 times
  03/31/2016 at 7:31 AM #4674
  Nicolas

  Hello GraHal,

  This is not very difficult to code this kind of strategy, but how you would define a range after a strong rise up or down? A range is easy to spot with charts in front of human eyes, but not so with a mathematical process and that’s where the problem is. I would say that bollinger bandwidth may do the job for what you want to do here, take a look on it and maybe try to build a strategy around it.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20885

  Been thanked: 4826 times
  03/31/2016 at 9:01 AM #4676
  Jerry

  Hi GraHal,

  As Nicolas says, what are the exact specifications for this range? Start by defining these as simple text and then we could help you turn it into code. Something like (on a day chart):

  • Look two weeks back, what is the highest high that gets hit at least two times with at least four days space in between? Define that price level as X.
  • Look two days back, is it above X? If yes, look one days back, is it above X? If yes, look today, is it still above X? If yes, upward breakout confirmed, do something.
  • If no to any of the above, breakout not confirmed, go back to first point, do nothing.

  Something like that…

  

  Jerry

  Participant

  Topics: 3

  Replies: 13

  Been thanked: 0 times
  04/04/2016 at 3:19 PM #4834
  GraHal

  Hi Guys and thank you both for your suggestions.

  As an example, I was thinking …

  1.  If a run up / run down of N points followed by a trading in a (narrow) range of N1 points over  N2 bars (often a near horizontal channel can be seen) then if …

  Breakout above highest high over N2 bars – go Long.

  Breakdown below lowest low over N2 bars then SellShort.

  I would use PositionPerf = – N3 to get me out of the Trade.

  I often trade manually as above and it more often than not gives me profit if I am nimble enough to get out before it retraces too much!

  I would use backtest to optimise the value of N, N1, N2 and N3.

  Many Thanks

  GraHal

   

  

  GraHal

  Participant

  Topics: 222

  Replies: 9189

  Been thanked: 2405 times
  02/20/2018 at 7:05 AM #63246
  dillongr

  Morning,  I have been playing with this again and have simplified the code  but I only want orders to be placed within 10% of the break of the range.  Right now new orders get placed as soon as I take profit,  any ideas how to make sure that does not happen?  this is the current code

  defparam cumulateorders=false tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000 if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) endif box=RangeTop-RangeBottom TP1=box*1.1 SL=box*.8 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2 entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones if not onmarket and tradingtime then if entryl then buy 1 contract at market //tc=1 elsif entrys then sellshort 1 contract at market //tc=1 endif endif //set profit to range height SET TARGET PROFIT TP1 set stop loss SL

  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

  defparam cumulateorders=false   tradingtime=dayofweek>=1 and dayofweek<=5 and time>100000 and time <170000     if time=100000 then RangeTop=highest[24](high[1]) RangeBottom=lowest[24](low[1]) endif   box=RangeTop-RangeBottom TP1=box*1.1 SL=box*.8 pricezoneS=rangebottom*0.9 pricezoneL=rangetop*1.1 //TP2=box*1.62 //TP3=box*2   entryl= close >= rangetop and close <= pricezonel entrys=close<= rangebottom and close >= pricezones     if not onmarket and tradingtime then if entryl then buy 1 contract at market //tc=1 elsif entrys then sellshort 1 contract at market //tc=1 endif   endif   //set profit to range height SET TARGET PROFIT TP1   set stop loss SL

   

  1 user thanked author for this post.

  GraHal

  

  dillongr

  Participant

  Topics: 1

  Replies: 16

  Been thanked: 4 times
• Author
  Posts