COG (Non-Repainting) trading strategy
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// Definitie van code parameters DEFPARAM CumulateOrders = False // Opstapelen posities gedeactiveerd Defparam flatbefore = 000000 Defparam flatafter = 000000 HL=(high+low)/2 Sum=(summation[4](HL))/4 a0=TriangularAverage[21](sum) // Condities om long posities te openen c1 = (hL>= a0) IF c1 THEN BUY 0.2 CONTRACT AT MARKET ENDIF // Condities om long posities te sluiten c2 = HL < a0 IF c2 THEN SELL AT MARKET ENDIF // Condities om short posities te openen c3=HL<a0 IF c3 THEN SELLSHORT 0.2 CONTRACT AT MARKET ENDIF // Condities om short posities te sluiten c4 =HL >a0 IF c4 THEN EXITSHORT AT MARKET ENDIF set stop ptrailing 45Run the backtest (see attachement) it gives good results. But in automatic running it doesn’t.
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This topic contains 5 replies,
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5 years, 8 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 06/30/2020 |
| Status: | Active |
| Attachments: | 2 files |
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