Changes to Weekly Reversal FX Strategy

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03/23/2023 at 9:47 AM #211971 quote

Philley
Participant

New

Hi,

I’m looking for a few modifications to the attached strategy:

Existing Strategy notes:

Trade On Conditions

– Friday move from 8:00am GMT to Friday close to be 0.007% of FX price – i.e if EUR/USD is at 10700 move to be 75 point minimum

– Close on Friday to be weekly high/low

– Daily RSI to be 65 or higher in uptrend or 35 or lower in downtrend

– Price on Friday to be at or above upper BB on uptrend or at below lower BB on downtrend

Entry Conditions:

– Entry from 11:01pm on Sunday – entry level calculated at Fri close – plus 0.001% in downtrend or minus 0.001% in an uptrend.

– Stop placed at 0.002% of Friday close

– Limit – Stop x 10 – All trades standard 10R

Modifications required:

– Orders not filled by 8:00am Monday to be cancelled

– Stop to be moved to break even by 8:00am Tuesday

– Reduce entry condition on Friday from move of 0.007% to 0.005%

– Reduce limit from 10R to 5R

– Entry from 11:01pm on Sunday – entry level calculated at Fri <b>high or low </b>- plus 0.001% in downtrend or minus 0.001% in an uptrend. If High on Sunday from open to 11:00pm is higher that Friday high (or lower on downtrend) entry level to be adjusted accordingly

Many thanks,

Patrick

PRC_PatrickHilley01_strat.itf

05/02/2023 at 12:24 PM #213979 quote
robertogozzi
Moderator

Legend
Modifications required:
1. Orders not filled by 8:00am Monday to be cancelled DONE
2. Stop to be moved to break even by 8:00am Tuesday DONE
3. Reduce entry condition on Friday from move of 0.007% to 0.005% what is it, I can’t see any move?
4. Reduce limit from 10R to 5R what are they, I can’t see any reference to those values?
5. Entry from 11:01pm on Sunday – entry level calculated at Fri high or low plus 0.001% in downtrend or minus 0.001% in an uptrend. If High on Sunday from open to 11:00pm is higher that Friday high (or lower on downtrend) entry level to be adjusted accordingly where are those conditions and values dealt with?
```
defparam cumulateorders=false
defparam preloadbars=0

// --- settings
LotSize = 1 //define lot size of each order here
// --- end of settings

sellc, buyc, entry, sl, tp, dir = CALL "PRC_PatrickHilley01_indi"(close)

if onmarket or shorttriggered or longtriggered then
currentry=entrylevel
endif

if buyc[0] or sellc[0] then
entrylevel=entry
stoploss=sl
takeprofit=tp
direction=dir
endif
if Not Onmarket AND (Time >= 080000 AND Time[1] < 080000) AND (DayOfWeek = 1) THEN
entrylevel=0
endif

if Onmarket AND (Time >= 080000 AND Time[1] < 080000) AND (DayOfWeek = 2) THEN
set stop BreakEven
endif

if entrylevel>0 then
if not longonmarket and entrylevel<>currentry and close<entrylevel and direction=1 then
buy lotsize contract at entrylevel stop
set stop price stoploss
set target price takeprofit
endif
if not shortonmarket and entrylevel<>currentry and close>entrylevel and direction=-1 then
sellshort lotsize contract at entrylevel stop
set stop price stoploss
set target price takeprofit
endif
endif
```
07/08/2023 at 2:41 PM #217441 quote
Philley
Participant

New
Thanks Robert,

Please see below for the last point that I need some assistance with:
1. Entry from 11:05pm on Sunday – entry level calculated at Fri high or low plus 0.001% in downtrend or minus 0.001% in an uptrend. If High on Sunday from open to 11:00pm is higher that Friday high (or lower on downtrend) entry level to be adjusted accordingly where are those conditions and values dealt with?<span style=”color: #ff0000;”> I’ve added the indicator where these conditions are to be entered.</span>
1. ```
tolerence = 0.01
s0 = opendayofweek=5
s1 = range > 0.007
s2 = high=highest[5](high)
s3 = rsi[14]>=65
s4 = high > BollingerUp[20](close) * (1 - tolerence)
sellc = s0 and s1 and s2 and s3 and s4

if sellc then
drawarrowdown(barindex,high) coloured("red")
entry = close-(0.001*close)
sldistance=0.002*close
stoploss = close+sldistance
takeprofit = close-sldistance*5
direction = -1
endif

// ---

b0 = opendayofweek=5
b1 = range > 0.007
b2 = low=lowest[5](low)
b3 = rsi[14]<=35
b4 = low > Bollingerdown[20](close) * (1 - tolerence)

buyc = b0 and b1 and b2 and b3 and b4

if buyc then
drawarrowup(barindex,low) coloured("green")
entry = close+(0.001*close)
sldistance=0.002*close
stoploss = entry-sldistance
takeprofit = entry+sldistance*5
direction = 1
endif

return sellc as "sell conditions" coloured(0,0,0,0), buyc as "buy conditions" coloured(0,0,0,0), entry as "entry", stoploss as "stoploss" coloured("red"), takeprofit as "takeprofit" coloured("green"), direction as "direction" coloured(0,0,0,0)
```
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Changes to Weekly Reversal FX Strategy

ProOrder: Automated Strategies & Backtesting

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Author

Philley @philley Participant

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This topic contains 2 replies,
has 2 voices, and was last updated by Philley
3 years, 2 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	03/23/2023
Status:	Active
Attachments:	1 files