Breakout Strategy

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03/21/2016 at 1:08 PM #4038 quote

Delta
Participant

New

Hello

I have a simple query regarding a breakout strategy. I am trying to test a breakout strategy where I would like to get the High and the low between certain time frames in the day. For e.g. The hi and lo between 11:00 PM to 12:30 AM.

Firstly, I would like to know the code to identify the hi and low levels between the time frames mentioned above (11:00 PM – 12:30 AM).

After the first step I would like to know the code to identify the breakout bar. The condition for a successful breakout is the bar should open inside the range defined in the first step but close outside the range defined.

Kindly check the image file link or the attachment for better clarity.

http://postimg.org/image/3vitfqp0t/

I would really appreciate if anyone can help me with my query.
Thank you

D

03/29/2016 at 8:21 AM #4552 quote
Nicolas
Keymaster

Master
Hello Delta,

I made a little indicator to show you how to deal with finding highest and lowest between 2 hours. (please find attached a file and a screenshot of the indicator). You’ll find it easy to include that code into your automated trading strategy.
```
starttime = 050000
endtime = 090000

if intradaybarindex=0 then
 hh = 0
 ll = 0
endif

if time>=starttime and time<=endtime then
 if high>hh then
  hh = high
 endif
 if low<ll or ll=0 then
  ll = low
 endif
endif

RETURN hh,ll
```
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Breakout Strategy

ProOrder: Automated Strategies & Backtesting

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Delta @delta01 Participant

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This topic contains 1 reply,
has 2 voices, and was last updated by Nicolas
9 years, 10 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	03/21/2016
Status:	Active
Attachments:	No files

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