Buy after N number of bars please help

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  • 05/08/2017 at 2:38 PM #34825 quote
    DAK
    Participant
    Average

    Hi everyone,

    I would need some help for a little code.

    I am trying to code the following strategy :

    • Wait for EMA 5 AND EMA 10 to cross but don’t enter
    • After a certain number of bars, if EMA 5 is still above EMA 10 then you can enter the market

    The number of bars to wait is issued from a third indicator and this value is changing over time.

    I tried but didn’t manage to code properly this strategy. Any help would be very appreciated. If it really works I will publish it.

    Many thanks.

    
// Indicators

ind1 = ExponentialAverage[5](close)

ind2 = ExponentialAverage[10](close)

ind3 = customvalue

// IF ind1 CROSSES OVER ind2 THEN BUY AFTER "customvalue" number of bars IF ind1 still > ind2
    05/08/2017 at 5:01 PM #34844 quote
    robertogozzi
    Moderator
    Master

    Try this one (I didn ‘t):

    DEFPARAM CumulateOrders       = False

ONCE NumberOfBars             = 0                                               //Initial value

IF OnMarket OR (ExponentialAverage[5] CROSSES UNDER ExponentialAverage[10]) THEN//Reset counter to ZERO
   NumberOfBars = 0                                                             //  while trade is open OR
ENDIF                                                                           //  Ema's cross the other way round

IF NumberOfBars THEN                                                            //If previously CROSSED, add
   NumberOfBars = NumberOfBars + 1                                              //  add 1 at each bar
ENDIF

IF ExponentialAverage[5] CROSSES OVER ExponentialAverage[10] THEN
   NumberOfBars = 1                                                             //Start counting after crossing up
ENDIF

IF NumberOfBars >= your_indicator_value THEN
   BUY 1 CONTRACTS AT MARKET
ENDIF
    Nicolas thanked this post
    05/09/2017 at 9:51 AM #34900 quote
    DAK
    Participant
    Average

    Thanks very much it works like a charm !

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Buy after N number of bars please help


ProOrder: Automated Strategies & Backtesting

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DAK @dak Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by DAK
8 years, 10 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/08/2017
Status: Active
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