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  • 07/30/2018 at 2:34 PM #77080 quote
    robertogozzi
    Moderator
    Master

    Lines 15 and 23 reference MONTHLY HA candlesticks as defined in lines 3-6. Since you are in the Weekly and Daily TF, you should define HA candlesticks also for those TF’s.

    First you’ll have to remove lines 5-6, since when you later want to refernce the high and low of a HA candlestick you should, I guess, reference the xHighD and xLowD from the DAILY definitions.

    For the WEEKLY TF you should add, after line 14 (before line 15):

    xCloseW = (open+high+low+close)/4
xOpenW  = (xOpenW[1]+xCloseW[1])/2
    For the DAILY TF you’ll have to add 4 lines, after line 22 (before line 23):
    xCloseD = (open+high+low+close)/4
xOpenD  = (xOpenD[1]+xCloseD[1])/2
xHighD  = Max(max(high, xOpenD), xCloseD)
xLowD   = Min(min(Low, xOpenD), xClosed)

    then you’ll have to change references in lines 15 and 23 and in lines 33,36,49,52,65,68,81,84,97 and 100.

    But I think also lines with reference to MyDay, MyDay[1] and so on… must be incorrect, but I cannot tell what because the code is too long, and difficult to read and debug.

    As I suggested at the beginning, before making a single change you should be confident with the current code. When you’ll be confident with your first change you may add one more (not trwo or three, just one at a time).

    Use GRAPH to debug.

    08/06/2018 at 2:04 PM #77639 quote
    Marc
    Participant
    Average

    Hi together,

    this is now my amended code:

    DEFPARAM CUMULATEORDERS = false

TIMEFRAME (Monthly, updateonclose)
MClose = (open+high+low+close)/4
MOpen  = (MOpen[1]+MClose[1])/2
MHigh  = Max(max(high, MOpen), MClose)
MLow   = Min(min(Low, MOpen), MClose)

IF (MOpen+MHigh+MLow+MClose)/4 > (MOpen[1]+MClose[1])/2 THEN
MyMonth = 1 //BULLish
ELSE
MyMonth = -1 //BEARish
ENDIF

TIMEFRAME (Weekly, updateonclose)
WClose = (open+high+low+close)/4
WOpen  = (WOpen[1]+WClose[1])/2
WHigh  = Max(max(high, WOpen), WClose)
WLow   = Min(min(Low, WOpen), WClose)

IF (WOpen+WHigh+WLow+WClose)/4 > (WOpen[1]+WClose[1])/2 THEN
MyWeek = 1 //BULLish
ELSE
MyWeek = -1 //BEARish
ENDIF

TIMEFRAME (Daily, updateonclose)
XClose = (open+high+low+close)/4
XOpen  = (XOpen[1]+XClose[1])/2
XHigh  = Max(max(high, XOpen), XClose)
XLow   = Min(min(Low, XOpen), XClose)

ONCE AlreadyTraded = 0
IF (XOpen+XHigh+XLow+XClose)/4 > (XOpen[1]+XClose[1])/2 THEN
MyDay = 1 //BULLish
ELSE
MyDay = -1 //BEARish
ENDIF
ThisDay = OpenDayofWeek
IF ThisDay = 1 AND Not OnMarket AND AlReadyTraded = 0 THEN //Monday
GoLong = MyMonth = 1 AND MyWeek = 1 AND MyDay = -1
GoShort = MyMonth = -1 AND MyWeek = -1 AND MyDay = 1
IF GoLong THEN
EntryPrice = XHigh
BUY 1 CONTRACT AT EntryPrice LIMIT
ELSIF GoShort THEN
EntryPrice = XLow
SELLSHORT 1 CONTRACT AT EntryPrice LIMIT
ENDIF
Sl = AverageTrueRange[2](close)
Tp = Sl
SET Stop Loss Sl
SET Target Profit Tp
ENDIF

IF ThisDay = 2 AND Not OnMarket AND AlReadyTraded = 0 THEN //Tuesday
GoLong = MyMonth = 1 AND MyWeek = 1 AND MyDay[1] = -1 AND MyDay[2] = -1
GoShort = MyMonth = -1 AND MyWeek = -1 AND MyDay[1] = 1 AND MyDay[2] = 1
IF GoLong THEN
EntryPrice = XHigh
BUY 1 CONTRACT AT EntryPrice LIMIT
ELSIF GoShort THEN
EntryPrice = XLow
SELLSHORT 1 CONTRACT AT EntryPrice LIMIT
ENDIF
Sl = AverageTrueRange[2](close)
Tp = Sl
SET Stop Loss Sl
SET Target Profit Tp
ENDIF

IF ThisDay = 3 AND Not OnMarket AND AlReadyTraded = 0 THEN //Wednesday
GoLong = MyMonth = 1 AND MyWeek = 1 AND MyDay[1] = -1 AND MyDay[2] = -1 AND MyDay[3] = -1
GoShort = MyMonth = -1 AND MyWeek = -1 AND MyDay[1] = 1 AND MyDay[2] = 1 AND MyDay[3] = 1
IF GoLong THEN
EntryPrice = XHigh
BUY 1 CONTRACT AT EntryPrice LIMIT
ELSIF GoShort THEN
EntryPrice = XLow
SELLSHORT 1 CONTRACT AT EntryPrice LIMIT
ENDIF
Sl = AverageTrueRange[2](close)
Tp = Sl
SET Stop Loss Sl
SET Target Profit Tp
ENDIF

IF ThisDay = 4 AND Not OnMarket AND AlReadyTraded = 0 THEN //Thursday
GoLong = MyMonth = 1 AND MyWeek = 1 AND MyDay[1] = -1 AND MyDay[2] = -1 AND MyDay[3] = -1 AND MyDay[4] = -1
GoShort = MyMonth = -1 AND MyWeek = -1 AND MyDay[1] = 1 AND MyDay[2] = 1 AND MyDay[3] = 1 AND MyDay[4] = 1
IF GoLong THEN
EntryPrice = XHigh
BUY 1 CONTRACT AT EntryPrice LIMIT
ELSIF GoShort THEN
EntryPrice = XLow
SELLSHORT 1 CONTRACT AT EntryPrice LIMIT
ENDIF
Sl = AverageTrueRange[2](close)
Tp = Sl
SET Stop Loss Sl
SET Target Profit Tp
ENDIF

IF ThisDay = 5 AND Not OnMarket AND AlReadyTraded = 0 THEN //Friday
GoLong = MyMonth = 1 AND MyWeek = 1 AND MyDay[1] = -1 AND MyDay[2] = -1 AND MyDay[3] = -1 AND MyDay[4] = -1 AND MyDay[5] = -1
GoShort = MyMonth = -1 AND MyWeek = -1 AND MyDay[1] = 1 AND MyDay[2] = 1 AND MyDay[3] = 1 AND MyDay[4] = 1 AND MyDay[5] = 1
IF GoLong THEN
EntryPrice = XHigh
BUY 1 CONTRACT AT EntryPrice LIMIT
ELSIF GoShort THEN
EntryPrice = XLow
SELLSHORT 1 CONTRACT AT EntryPrice LIMIT
ENDIF
Sl = AverageTrueRange[2](close)
Tp = Sl
SET Stop Loss Sl
SET Target Profit Tp
ENDIF

IF ThisDay = 1 AND Not OnMarket THEN
AlreadyTraded = 0
ENDIF
IF OnMarket THEN
AlreadyTraded = 1
ENDIF

    When Backtesting it the result looks very bad…

    Backtest.jpg Backtest.jpg
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Check of previous candles


ProOrder: Automated Strategies & Backtesting

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author-avatar
Marc @mast83 Participant
Summary

This topic contains 31 replies,
has 3 voices, and was last updated by Marc
7 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/13/2018
Status: Active
Attachments: 4 files
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