BreakOut Kumo H4 – France40

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05/11/2017 at 8:49 AM #35156 quote

cryoxdsl

Participant

Junior

Hi everyone,

This strategy is based on Kumo Breakout indicator.

Timeframe : H4

Spread used : 2

Basicaly, once we get a +1 on indicator we buy 1 contract and then we sell it when we reach ou profit target.

On short, we apply the same idea but on a reverse indication of the Kumo indicator.

The main idea is to make some regular profit and to avoid huge drawdown.

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé
// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
DEFPARAM FLATBEFORE = 090000
// Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
DEFPARAM FLATAFTER = 173000

// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

// Conditions pour ouvrir une position acheteuse
indicator1 = CALL "Breakout Kumo"
c1 = (indicator1 = 1)

IF c1 AND not daysForbiddenEntry THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position acheteuse
c2 = (close < close[1])

IF c2 THEN
SELL AT MARKET
ENDIF

// Conditions pour ouvrir une position en vente à découvert
indicator2 = CALL "Breakout Kumo"
c3 = (indicator2 = -1)

IF c3 AND not daysForbiddenEntry THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position en vente à découvert
c4 = (close > close[1])

IF c4 THEN
EXITSHORT AT MARKET
ENDIF

// Stops et objectifs
SET STOP pLOSS 35 pTRAILING 5

graph-1494447469lp84c1.png Breakout-Kumo1.itf

05/11/2017 at 9:02 AM #35163 quote

Nicolas

Keymaster

Master

Thanks a lot for sharing your trading strategy code with us.
I moved your post from library to forum to discuss about it. I think the results might be overestimated because of this line:

SET STOP pLOSS 35 pTRAILING 5

It is not possible to have 2 kind of stoploss in ProOrder (live trading), while it is possible in backtests. Did you test the strategy with tick/tick history?

05/11/2017 at 9:21 AM #35168 quote

cryoxdsl

Participant

Junior

Hi Nicolas,

I have tested with tick/tick history on ibex35 successfully.

For major indices or forex pairs, results are less interesting… at least using this timeframe&spread.

As the indicator works not so bad, I assume that exiting on the next bar should be promising.

Still to be tried.

Thanks for your advise on Stops.

05/11/2017 at 10:46 AM #35183 quote

Nicolas

Keymaster

Master

About trailing stop you can try the code snippets you can find in these 2 blog posts:

https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/

https://www.prorealcode.com/blog/learning/trailing-stop-max-favorable-excursion-mfe/

There are many forks of them in a lot of members strategies around here, you should browse the forums and the library too 🙂 Keep up the good work!

05/11/2017 at 8:45 PM #35244 quote

cryoxdsl

Participant

Junior

Hi everyone, Nicolas,

Please find a draft code of a new version of the Breakout Kumo.

Tested on a tick/tick history and 0.6 spread.

EUR/USD Mini.

Timeframe H4.

PS : I will try to add the trailling stop code at another moment.

// Définition des paramètres du code
DEFPARAM CumulateOrders = False // Cumul des positions désactivé

// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée
timeEnterBefore = time >= 080000

// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée
timeEnterAfter = time < 174500

// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

positionSize = 75
// Conditions pour ouvrir une position acheteuse
indicator1 = CALL "Breakout Kumo"
c1 = (indicator1 = 1)

IF c1 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry AND Time < 130000 AND c3[1] THEN
BUY positionSize CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position acheteuse
c2 = (indicator1 = 0)

IF c2 AND Time > 170000 THEN
SELL AT MARKET
ENDIF

// Conditions pour ouvrir une position en vente à découvert
indicator2 = CALL "Breakout Kumo"
c3 = (indicator2 = -1)

IF c3 AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry AND Time < 130000 AND c2[1] THEN
SELLSHORT positionSize CONTRACT AT MARKET
ENDIF

// Conditions pour fermer une position en vente à découvert
c4 = (indicator2 = 0)

IF c4 AND Time > 170000 THEN
EXITSHORT AT MARKET
ENDIF

SET TARGET PPROFIT 65
SET STOP PLOSS 20