Channel breakout created by undecided bar

• 06/19/2017 at 11:07 PM #38621
  Stratus6

  Hi all,

  Here’s my code. Strategy looks pretty good but unable to get the code to work. The idea is a range is set by a longer than average (1.5xaverage of last 20bars) bar.

  A trade is then entered following a close outside of the limits (high or low) of this undecided bar.

  If higher a buy trade is entered, if lower a sell trade is executed.

  The stop strategy is simple and looks effective. It uses either the low of the undecided bar if a buy is activated (or the high of the undecided bar if sell is activated).

  However 1 major and 1 minor problem

  1. The code doesnt work
  2. The pprofit distance needs optimising

  Fine tuning/help welcomed.

  Thanks

  Linden

   

  Many

   

  //------------------------------------------------------------------------- // Main code : Undecided Bar as baseline //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM Preloadbars = 1000 Defparam Flatbefore = 143000 Defparam Flatafter = 210000 // Money Management Capital = 10000 Risk = 0.05 StopLoss = atr// VARY TO DETERMINE RISK //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss+0.01)/PointValue)*pipsize) if PositionSize >= 100 Then PositionSize = 100 endif atr = AverageTrueRange[20]*1.5 // Conditions to enter long positions c1 = High[1] - Low[1] > atr c2 = Close[1] - Open[1] > 0.5 c3 = High[1] - Close[1] > (Close[1] - Open[1]) *6 c4 = Open[1] - Low[1] > (Close[1] - Open[1]) *6 c5 = Close[0] - Open[0] > (High[0] - Max(Open[0],Close[0]))*0.5 IF c1 and c2 and c3 and c4 and c5 then TopofBar = high[1] Achat = 0 endif If achat = 0 then if open > TopofBar then if onmarket = 0 then buy positionsize lots at market endif endif endif Once Downstop = 1 Once Uptarget = 1 Downstop = Low[1] - 1 Uptarget = High[1] - Close[1] // Conditions to exit long positions Set Target pProfit Uptarget Sell at Downstop stop // Conditions to enter short positions c6 = High[1] - Low[1] > atr c7 = Close[1] - Open[1] < -0.5 c8 = High[1] - Open[1] > (Open[1] - Close[1]) *6 c9 = Close[1] - Low[1] > (Open[1] - Close[1]) *6 c10 = Open[0] - Close[0] > (Min(Open[0],Close[0]) - Low[0])*0.5 IF c6 and c7 and c8 and c9 and c10 and onmarket = 0 then BottomofBar = low[1] Vente = 0 endif If Vente = 0 then If open < BottomofBar then If onmarket = 0 then sellshort positionsize Lots at market endif endif endif // Conditions to exit short positions Once Upstop = 1 Once Downtarget = 1 Upstop = High[1] + 1 Downtarget = Close[1]- Low[1] Set Target pProfit Downtarget Exitshort at Upstop stop

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  //------------------------------------------------------------------------- // Main code : Undecided Bar as baseline //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM Preloadbars = 1000 Defparam Flatbefore = 143000 Defparam Flatafter = 210000   // Money Management Capital = 10000 Risk = 0.05 StopLoss = atr// VARY TO DETERMINE RISK   //Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*Risk) PositionSize = abs(round((maxrisk/StopLoss+0.01)/PointValue)*pipsize) if PositionSize >= 100 Then PositionSize = 100 endif   atr = AverageTrueRange[20]*1.5   // Conditions to enter long positions   c1 = High[1] - Low[1] > atr   c2 = Close[1] - Open[1] > 0.5   c3 = High[1] - Close[1] > (Close[1] - Open[1]) *6   c4 = Open[1] - Low[1] > (Close[1] - Open[1]) *6   c5 = Close[0] - Open[0] > (High[0] - Max(Open[0],Close[0]))*0.5   IF c1 and c2 and c3 and c4 and c5 then TopofBar = high[1] Achat = 0 endif   If achat = 0 then if open > TopofBar then if onmarket = 0 then buy positionsize lots at market endif endif endif   Once Downstop = 1 Once Uptarget = 1 Downstop = Low[1] - 1 Uptarget = High[1] - Close[1]   // Conditions to exit long positions Set Target pProfit Uptarget Sell at Downstop stop   // Conditions to enter short positions   c6 = High[1] - Low[1] > atr   c7 = Close[1] - Open[1] < -0.5   c8 = High[1] - Open[1] > (Open[1] - Close[1]) *6   c9 = Close[1] - Low[1] > (Open[1] - Close[1]) *6   c10 = Open[0] - Close[0] > (Min(Open[0],Close[0]) - Low[0])*0.5           IF c6 and c7 and c8 and c9 and c10 and onmarket = 0 then BottomofBar = low[1] Vente = 0 endif   If Vente = 0 then If open < BottomofBar then If onmarket = 0 then sellshort positionsize Lots at market endif endif endif   // Conditions to exit short positions Once Upstop = 1 Once Downtarget = 1   Upstop = High[1] + 1 Downtarget = Close[1]- Low[1]   Set Target pProfit Downtarget Exitshort at Upstop stop

   

  

  Stratus6

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  06/20/2017 at 9:29 AM #38624
  Nicolas

  > For clarity of messages on ProRealCode’s forums, please use the “insert code PRT” button to separate the text of the code part! Thank you! <<

  Did you try to graph all your “c” conditions already? The no trading problem might come from these conditions not met all at the same time.

  You should also try to GRAPH the “BottomofBar” and “TopofBar” to know if your price levels are correctly calculated.

  It seems that you have copy/paste some of the codes from another strategy? I can see french words in the code 😉

  

  Nicolas

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  06/20/2017 at 5:44 PM #38681
  Derek

  You don’t need five conditions to enter a trade.

  If (high-low) > averagetruerange[20]×1.5 then upper =high Lower =low Rangebar=1 Endif If close crosses over upper and rangebar=1 then Buy 1 contract at market Rangebar=0 Endif

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  If (high-low) > averagetruerange[20]×1.5 then upper =high Lower =low Rangebar=1 Endif   If close crosses over upper and rangebar=1 then Buy 1 contract at market Rangebar=0 Endif

  Did not test the code but the idea is clear, i hope.

  

  Derek

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  06/20/2017 at 6:33 PM #38682
  Derek

  Instead of optimizing the pprofit you can also look for prolonged periods of contraction. If the price has been trading inside the range for X+ bars already the final breakout might be more vicious.

  Or maybe look into volume confirmation to filter false signals.

  

  Derek

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  06/22/2017 at 9:33 PM #38828
  Stratus6

  Thanks for your input.

  Yep I did copy and paste some code when I got stuck 😉

  That looks good Derek, I’ve just got 2 questions

  1. Why do you need the line 9) Rangebar = 0
  2. The code you wrote doesnt account for a short body in the middle of a long long spike either side. How would I factor this in?
  3. Many thanks for your time 🙂

  

  Stratus6

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  06/23/2017 at 4:52 PM #38915
  Derek

  Hey,

  1. To avoid reentry after a false breakout. You can leave it out if you can work without referring to the event later in your code. Or you go testing if your strategy performs better on a later breakout attempt.
  2. That’s intended. Otherwise wait for confirmation of the range. See 1.
  3. I love simplicity in a furios world.

   

  But now for 1.: are you referring to extra long bars with a full body and a close very near the top, or the bottom respectively? We can shortcut around both issues.

  Since the market doesn’t care what timeframe we’re trading on, the top of the range is confirmed by the retracement! So, we wait for a Rangebar to occur and then look for a follow up event to differentiate a forming range from a straight forward breakout. This way, we don’t need to look at the rangebar when it occurs because they are all equal.

  Here is my code (not tested):

  If (high-low) > averagetruerange[20]×1.5 then upper =high Lower =low Rangebar=1 Endif   If Rangebar=1 and close[2] < upper and close[1] < upper and close[0] < upper and close[0] > close[1] then //it's a 1-bar fractal below rangebar's high. Rangetop= upper Rangebottom=lower Elsif Rangebar=1 and close[2] > upper and close[1] > upper and close[0] > upper and close[0] < close[1] then //it's a 1-bar fractal above rangebar's low Endif //the range has at least some confirmation. If close crosses over rangetop or if close crosses under rangebottom then Buy 1 contract at market Rangebar=0 Endif

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  If (high-low) > averagetruerange[20]×1.5 then upper =high Lower =low Rangebar=1 Endif   If Rangebar=1 and close[2] < upper and close[1] < upper and close[0] < upper and close[0] > close[1] then //it's a 1-bar fractal below rangebar's high. Rangetop= upper Rangebottom=lower Elsif Rangebar=1 and close[2] > upper and close[1] > upper and close[0] > upper and close[0] < close[1] then //it's a 1-bar fractal above rangebar's low Endif //the range has at least some confirmation.   If close crosses over rangetop or if close crosses under rangebottom then Buy 1 contract at market Rangebar=0 Endif

  Don’t let your eyes fool you. The initial hypothesis is more likely to be correct if there actually is a range following a rangebar before the breakout 🙂

  edit: added the lower range

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  Derek

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  06/23/2017 at 5:17 PM #38917
  Derek

  Ok, this should work. Replace with lines 7-11:

  If Rangebar=1 and close[2] < upper and close[1] < upper and close[0] < upper and close[0] > close[1] then //it's a 1-bar fractal below rangebar's high. Rangetop= upper Rangebottom=lower Elsif Rangebar=1 and close[2] > upper and close[1] > upper and close[0] > upper and close[0] < close[1] then //it's a 1-bar fractal above rangebar's low Rangetop= upper Rangebottom=lower Endif //the range has at least some confirmation.

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  If Rangebar=1 and close[2] < upper and close[1] < upper and close[0] < upper and close[0] > close[1] then //it's a 1-bar fractal below rangebar's high. Rangetop= upper Rangebottom=lower Elsif Rangebar=1 and close[2] > upper and close[1] > upper and close[0] > upper and close[0] < close[1] then //it's a 1-bar fractal above rangebar's low Rangetop= upper Rangebottom=lower Endif //the range has at least some confirmation.

   

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  Derek

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  07/10/2017 at 2:48 PM #40262
  Stratus6

  Hi Derek,

  Just back from hols to find this excellent piece of help (and code)

  Definitely prefer the simplicity of it – in a furious world 🙂

  Many many thanks

  Linden

  

  Stratus6

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