Check of previous candles

Marc · 2018-07-13T12:25:58+00:00

Hi together, I need some help regarding checking of previous candles in different periods. I’m working with a trend following systems which cheks if the previuos months open is higher or lower. Than it checks if the last months candle is higher or lower. If previous moth and previous week candles are in the same direction than the systems checks the previous days candle (except monday). If previous days candle is in the opposite direction of previos month and week than an order will be set either on the high or the low of previous days candle. Example: Month: bullish = open close Set a buy order at high of bearish candle Month: bearish= open > close Week: bearish = open > close Day: bullish = open < close Set a sell order at low of bearish candle Each friday evening non executed orders will be deleted. Monday is not a trading day SL an TP are ATR(2) If sell /buy stop order is not filled within the next day and on the curent day the previous days candle is still in the opposite direction of compared monthly and weekly candle than buy stop and sell stop must be amended to previous days high / low. I hope that anyone can help me with this system. In my opninion this should generate good trades with mostly positive results. Thank you in advance Marc

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07/30/2018 at 2:34 PM #77080 quote

robertogozzi

Moderator

Legend

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…