Coding of a trend following strategy with pullback counter

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  • 02/23/2023 at 11:58 AM #210265 quote
    phoentzs
    Participant
    Master

    Trend following strategies all work similarly. I’ll use the simplest example. I need coding for the following.
    Condition 1: EMA20 crosses over EMA50

    After condition 1 is met, I want a counter for condition 2.

    Condition 2 means stochastic crosses over 20. There we buy at market.

     

    So AFTER the EMACross, a pullback of the stochastic should be bought, whereby this pullback includes a counter. I want to know how many pullbacks are profitable after an EMACross. Often only the first pullback is profitable, sometimes there are 2 or 3. This counter should therefore be optimisable.

    Can someone code this for me please?

    02/27/2023 at 1:16 PM #210597 quote
    robertogozzi
    Moderator
    Master

    There you go:

    DEFPARAM CumulateOrders = False
ONCE Winners    = 0
ONCE Losers     = 0
ONCE CrossOVER  = 0
ONCE CrossUNDER = 0
Ema20 = average[20,1](close)
Ema50 = average[50,1](close)

myST  = Stochastic[10,6](close)
//
IF Not OnMarket AND OnMarket[1] THEN
   IF StrategyProfit > StrategyProfit[1] THEN
      Winners = Winners + 1
   ELSE
      Losers  = Losers + 1
   ENDIF
ENDIF
//
IF CrossOVER = 0 THEN
   CrossOVER = Ema20 CROSSES OVER Ema50
   IF CrossOVER THEN
      CrossUNDER = 0
      Winners    = 0
      Losers     = 0
   ENDIF
ENDIF
IF CrossUNDER = 0 THEN
   CrossUNDER = Ema20 CROSSES UNDER Ema50
   IF CrossUNDER THEN
      CrossOVER = 0
   ENDIF
ENDIF
//
STcross = myST CROSSES OVER 20
IF STcross AND CrossOVER THEN
   IF LongOnMarket THEN
      IF PositionPerf > 0 THEN
         Winners = Winners + 1
      ELSE
         Losers  = Losers + 1
      ENDIF
      SELL AT Market
   ENDIF
   BUY AT Market
ENDIF
//
graph Winners coloured("Blue")
graph Losers  coloured("Red")
    CROSSwinnerslosers.itf
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Coding of a trend following strategy with pullback counter


ProOrder: Automated Strategies & Backtesting

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phoentzs @phoentzs Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by robertogozzi
2 years, 11 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/23/2023
Status: Active
Attachments: 1 files
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