Hi All
I know this is a big ask as it is a lot of code to wade through but hopefully someone might be able to spot the issue/provide some feedback as to what is wrong with my code below
Basically I have all but given up on using any indicators/techniques for order entry and have decided instead to rely on the good old Coin Toss for order entry -> heads = buy tails = sell – then the majority of the strategy is how the trade is managed
Sounds daft I know but strategies both in demo and live have been performing better than average
The problem is that occasionally (after a week/couple weeks) and only some not all of the strategies will fail with the DEFPARAM/load more bars error and I cannot work out what is causing the problem – I’ve highlighted the part of code I ‘think’ is causing the problem but it is not using any indicators – it is only the random number generator that uses indicators and the ‘largest’ is the RSI[14] so 2000 bars is more than enough to load
Difficult to go into all the details of how strategy is working but if there is any interest/feedback just ask away and more than happy to try and explain 🙂
Cheers!
Max
//================= PARAMETERS ================
//*********************************************
DEFPARAM PRELOADBARS = 2000
DEFPARAM CUMULATEORDERS = FALSE
//============== CONSTANTS ====================
//*********************************************
ONCE MINPOSITIONSIZE=1 //MINIMUM ORDER SIZE AS PER IG OR WHATEVER YOU CHOOSE - POSITION SIZE WILL ALSO INCREASE/DECREASE BY THIS FIGURE
ONCE MYNUMBER=CURRENTSECOND //INITIAL SEED FIGURE FOR RANDOM NUMBER GENERATOR
ONCE POSITIONMULTIPLIER=4 //BASICALLY 'HOW MANY WINS BEFORE POSITION SIZE INCREASES'
ONCE COUNT = 0 //USED TO HOLD OFF ATR CALCULATION UNTIL FIRST CHANGE OF HOUR HAS OCCURRED
ONCE HIGHESTHIGH = 0 //USED IN ATR CALCULATION
ONCE LOWESTLOW = LOW[1]*10000 //USED IN ATR CALCULATION
ONCE INITIALATR=21.706 //THIS IS TAKEN MANUALLY FROM A HIGHER TIMEFRAME CHART USING BASIC INDICATOR - ATR=AVERAGETRUERANGE[8](CLOSE) AVERAGEATR=AVERAGE[1000] - MOSTLY USE 1 OR 2 HOUR TIMEFRAME
ONCE FIRSTTRADE=0 //USED TO ALLOW MANUAL TRADE FOR FIRST TRADE
//========== SPREAD VARIATIONS ================
//*********************************************
IF Time >= 070000 AND Time < 080000 THEN
SPREAD=2
ELSIF Time >= 080000 AND Time < 163000 THEN
SPREAD=1
ELSIF Time >= 163000 AND Time < 210000 THEN
SPREAD=2
ELSE
SPREAD=5
ENDIF
//======== 'RANDOM' NUMBER GENERATOR ==========
//*********************************************
MYNUMBER=round(((((RSI[14]*RSI[8])*(HIGH[MYNUMBER]+MEDIANPRICE))*((INTRADAYBARINDEX/(TIME+1)))+DAYS+(DAYOFWEEK+1)*MONTH)-ROUND((((RSI[14]*RSI[8])*(HIGH[MYNUMBER]+MEDIANPRICE))*((INTRADAYBARINDEX/(TIME+1)))+DAYS+(DAYOFWEEK+1)*MONTH)/10-0.49)*10)-0.4)/10
RANDOM=ROUND(MYNUMBER[(MYNUMBER*10)])
//SLIGHTLY EDITED VERSION OF CODE FROM HERE - https://www.prorealcode.com/topic/random-value/ - THANK YOU @WING!
//================ STRATEGY ===================
//*********************************************
IF COUNT = 0 THEN
AVERAGEATR=INITIALATR //ALLOWS FOR IMMEDIATE ORDER ENTRY ON STRATEGY START
ENDIF
IF OPENHOUR<>OPENHOUR[1] THEN //1HRAVGATR - USED IF TAKING AVERAGEATR FROM 1 HOUR CHART
//IF (OPENHOUR[1] = 23 AND OPENHOUR = 0) OR (OPENHOUR[1]=1 AND OPENHOUR=2) OR (OPENHOUR[1]=3 AND OPENHOUR=4) OR (OPENHOUR[1]=5 AND OPENHOUR=6) OR (OPENHOUR[1]=7 AND OPENHOUR=8) OR (OPENHOUR[1]=9 AND OPENHOUR=10) OR (OPENHOUR[1]=11 AND OPENHOUR=12) OR (OPENHOUR[1]=13 AND OPENHOUR=14) OR (OPENHOUR[1]=15 AND OPENHOUR=16) OR (OPENHOUR[1]=17 AND OPENHOUR=18)OR (OPENHOUR[1]=19 AND OPENHOUR=20) OR (OPENHOUR[1]=21 AND OPENHOUR=22) THEN //2HRAVGATR - USED IF TAKING AVERAGEATR FROM 2 HOUR CHART
//IF (OPENHOUR[1] = 23 AND OPENHOUR = 0) OR (OPENHOUR[1]=2 AND OPENHOUR=3) OR (OPENHOUR[1]=5 AND OPENHOUR=6) OR (OPENHOUR[1]=8 AND OPENHOUR=9) OR (OPENHOUR[1]=11 AND OPENHOUR=12) OR (OPENHOUR[1]=14 AND OPENHOUR=15) OR (OPENHOUR[1]=17 AND OPENHOUR=18) OR (OPENHOUR[1]=20 AND OPENHOUR=21) THEN //3HRAVGATR - USED IF TAKING AVERAGEATR FROM 3 HOUR CHART
//IF (OPENHOUR[1] = 23 AND OPENHOUR = 0) OR (OPENHOUR[1]=3 AND OPENHOUR=4) OR (OPENHOUR[1]=7 AND OPENHOUR=8) OR (OPENHOUR[1]=11 AND OPENHOUR=12) OR (OPENHOUR[1]=15 AND OPENHOUR=16) OR (OPENHOUR[1]=19 AND OPENHOUR=20) THEN //4HRAVGATR - USED IF TAKING AVERAGEATR FROM 4 HOUR CHART
//ONGOING ATR CALCULATION BEGIN (THIS IS WHERE I THINK THE PROBLEM IS...)
IF COUNT = 1 THEN
AVERAGEATR=((INITIALATR*999)+TR0)/1000
IF HIGHESTHIGH>PREVIOUSBLOCKHIGH AND LOWESTLOW<PREVIOUSBLOCKLOW THEN
TR0 = HIGHESTHIGH-LOWESTLOW
ELSIF PREVIOUSBLOCKCLOSE>HIGHESTHIGH OR PREVIOUSBLOCKCLOSE<LOWESTLOW THEN
B1 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
B2 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
TR0 = MAX(B1,B2)
ELSE
C1 = HIGHESTHIGH-LOWESTLOW
C2 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
C3 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
C4 = MAX(C1,C2)
TR0 = MAX(C3,C4)
ENDIF
ENDIF
IF COUNT = 2 THEN
AVERAGEATR = ((AVERAGEATR*999)+TR0)/1000
IF HIGHESTHIGH>PREVIOUSBLOCKHIGH AND LOWESTLOW<PREVIOUSBLOCKLOW THEN
TR0 = HIGHESTHIGH-LOWESTLOW
ELSIF PREVIOUSBLOCKCLOSE>HIGHESTHIGH OR PREVIOUSBLOCKCLOSE<LOWESTLOW THEN
B1 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
B2 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
TR0 = MAX(B1,B2)
ELSE
C1 = HIGHESTHIGH-LOWESTLOW
C2 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
C3 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
C4 = MAX(C1,C2)
TR0 = MAX(C3,C4)
ENDIF
ENDIF
HIGHESTHIGH = HIGH
LOWESTLOW = LOW
PREVIOUSBLOCKHIGH = HIGHESTHIGH[1]
PREVIOUSBLOCKLOW = LOWESTLOW[1]
PREVIOUSBLOCKCLOSE = CLOSE[1]
IF COUNT < 2 THEN
COUNT=COUNT+1
ENDIF
ELSE
HIGHESTHIGH = MAX(HIGHESTHIGH,HIGH)
LOWESTLOW = MIN(LOWESTLOW,LOW)
IF COUNT>=1 THEN
IF HIGHESTHIGH>PREVIOUSBLOCKHIGH AND LOWESTLOW<PREVIOUSBLOCKLOW THEN
A1 = HIGHESTHIGH-LOWESTLOW
TR0 = MAX(TR0,A1)
ELSIF PREVIOUSBLOCKCLOSE>HIGHESTHIGH OR PREVIOUSBLOCKCLOSE<LOWESTLOW THEN
B1 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
B2 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
B3 = MAX(B1,B2)
TR0 = MAX(TR0,B3)
ELSE
C1 = HIGHESTHIGH-LOWESTLOW
C2 = ABS(HIGHESTHIGH-PREVIOUSBLOCKCLOSE)
C3 = ABS(LOWESTLOW-PREVIOUSBLOCKCLOSE)
C4 = MAX(C1,C2)
C5 = MAX(C3,C4)
TR0 = MAX(TR0,C5)
ENDIF
ENDIF
ENDIF
//ONGOING ATR CALCULATION END
//*******************************************
//================TRADING====================
//*******************************************
//ORDER ENTRY BEGIN
IF NOT ONMARKET THEN
IF STRATEGYPROFIT<-(2*MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER) THEN //'FAILSAFE' OVERALL STOPLOSS
QUIT
ENDIF
//TRADING BOUNDARIES CALCULATION BEGIN
IF POSCOUNT=0 THEN
POSITIONSIZE=MINPOSITIONSIZE
POSBOUNDARY=(POSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)
PREVIOUSPOSBOUNDARY=-POSBOUNDARY
TARGETPOSBOUNDARY=POSBOUNDARY+((POSITIONSIZE+MINPOSITIONSIZE)*AVERAGEATR*POSITIONMULTIPLIER)
ENDIF
IF STRATEGYPROFIT > TARGETPOSBOUNDARY THEN
PREVIOUSPOSBOUNDARY=POSBOUNDARY
POSBOUNDARY=POSBOUNDARY+((POSITIONSIZE+MINPOSITIONSIZE)*AVERAGEATR*POSITIONMULTIPLIER)
POSITIONSIZE=POSITIONSIZE+MINPOSITIONSIZE
TARGETPOSBOUNDARY=POSBOUNDARY+((POSITIONSIZE+MINPOSITIONSIZE)*AVERAGEATR*POSITIONMULTIPLIER)
POSCOUNT=1
ENDIF
IF STRATEGYPROFIT < PREVIOUSPOSBOUNDARY THEN
TARGETPOSBOUNDARY=POSBOUNDARY
IF TARGETPOSBOUNDARY<=(MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)+(2*MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER) THEN
TARGETPOSBOUNDARY=(MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)+(2*MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)
ENDIF
POSBOUNDARY=PREVIOUSPOSBOUNDARY
IF POSBOUNDARY<=(MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER) THEN
POSBOUNDARY=(MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)
ENDIF
PREVIOUSPOSBOUNDARY=POSBOUNDARY-((POSITIONSIZE-MINPOSITIONSIZE)*AVERAGEATR*POSITIONMULTIPLIER)
IF PREVIOUSPOSBOUNDARY<=0 OR PREVIOUSPOSBOUNDARY=POSBOUNDARY THEN
PREVIOUSPOSBOUNDARY=-(MINPOSITIONSIZE*AVERAGEATR*POSITIONMULTIPLIER)
ENDIF
POSITIONSIZE=MAX(MINPOSITIONSIZE, POSITIONSIZE-MINPOSITIONSIZE)
ENDIF
//TRADING BOUNDARIES CALCULATION END
//POSITION SIZE 'STOPLOSS' BEGIN
IF N=1 THEN
IF POSITIONSIZE<=HIGHESTPOSITIONSIZE-(2*MINPOSITIONSIZE) THEN
QUIT
ENDIF
ENDIF
IF POSITIONSIZE>5*MINPOSITIONSIZE AND POSITIONSIZE<=10*MINPOSITIONSIZE THEN
HIGHESTPOSITIONSIZE = MAX(HIGHESTPOSITIONSIZE, POSITIONSIZE)
N=1
ENDIF
IF N=2 THEN
IF POSITIONSIZE<=HIGHESTPOSITIONSIZE-MINPOSITIONSIZE THEN
QUIT
ENDIF
ENDIF
IF POSITIONSIZE>10*MINPOSITIONSIZE THEN
HIGHESTPOSITIONSIZE = MAX(HIGHESTPOSITIONSIZE, POSITIONSIZE)
N=2
ENDIF
//POSITION SIZE 'STOPLOSS' END
//ORDER ENTRY BEGIN
IF FIRSTTRADE=0 THEN
SELLSHORT POSITIONSIZE CONTRACT AT MARKET
CONTINUATION=1
LADDERCOUNT=1
ELSIF FIRSTTRADE=1 THEN
IF RANDOM=1 THEN
BUY POSITIONSIZE CONTRACTS AT MARKET
CONTINUATION=1
LADDERCOUNT=1
ENDIF
IF RANDOM=0 THEN
SELLSHORT POSITIONSIZE CONTRACT AT MARKET
CONTINUATION =1
LADDERCOUNT=1
ENDIF
ENDIF
//ORDER ENTRY END
ENDIF
//ORDER MANAGEMENT BEGIN
IF LONGONMARKET THEN
STOPLOSS=AVERAGEATR+SPREAD
STOPPRICE = TRADEPRICE(1)-STOPLOSS
IF CLOSE>TRADEPRICE(1) THEN
PRICEDIFFERENCE = CLOSE-TRADEPRICE(1)
STOPLADDER = ROUND(PRICEDIFFERENCE/STOPLOSS)
IF STOPLADDER<3 THEN
STOPLADDER=0
ENDIF
CONTINUATION = SUMMATION[LADDERCOUNT](STOPLADDER>=STOPLADDER[1])=LADDERCOUNT
LADDERCOUNT=LADDERCOUNT+1
ENDIF
ENDIF
IF LONGONMARKET AND CLOSE<=STOPPRICE OR CONTINUATION=0 THEN
SELL AT MARKET
STOPLADDER=0
LADDERCOUNT=1
FIRSTTRADE=1
ENDIF
IF SHORTONMARKET THEN
STOPLOSS=AVERAGEATR+SPREAD
STOPPRICE = TRADEPRICE(1)+STOPLOSS
IF CLOSE<TRADEPRICE(1) THEN
PRICEDIFFERENCE = TRADEPRICE(1)-CLOSE
STOPLADDER = ROUND(PRICEDIFFERENCE/STOPLOSS)
IF STOPLADDER<3 THEN
STOPLADDER=0
ENDIF
CONTINUATION = SUMMATION[LADDERCOUNT](STOPLADDER>=STOPLADDER[1])=LADDERCOUNT
LADDERCOUNT=LADDERCOUNT+1
ENDIF
ENDIF
IF SHORTONMARKET AND CLOSE>=STOPPRICE OR CONTINUATION=0 THEN
EXITSHORT AT MARKET
STOPLADDER=0
LADDERCOUNT=1
FIRSTTRADE=1
ENDIF
//ORDER MANAGEMENT END
//**********************************************************************************************
//GRAPH POSBOUNDARY coloured(255,0,255)
//GRAPH PREVIOUSPOSBOUNDARY coloured(255,0,255)
//GRAPH TARGETPOSBOUNDARY coloured(0,0,255)
//GRAPH POSITIONSIZE COLOURED(0,0,0,25)
//GRAPH STRATEGYPROFIT coloured(0,128,0)
//GRAPH AVERAGEATR
//GRAPH POSCOUNT
//GRAPH STOPLOSS
//GRAPH RANDOM
//GRAPH STOPLADDER
//GRAPH ATR
//GRAPH STOPPRICE
//GRAPH HIGH
//GRAPH LOW
//GRAPH HIGHESTHIGH
//GRAPH LOWESTLOW
//GRAPH PREVIOUSBLOCKCLOSE
//GRAPH PREVIOUSBLOCKLOW
//GRAPH PREVIOUSBLOCKHIGH
//GRAPH PREVIOUSBLOCKCLOSE
