Dax / UT 2mn / Long only.
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Dear Nicolas,
I am pleased to share the following strategy.
The trade is triggered by the MACD histo / TF – 2mn / Instrument: DAX, 1eur.
I stand ready for your kind feedback.
IMPORTANT: Great forum, thx to Nicolas, Maz, Ale, Maverick 😉 , and everyone else for your ideas and bit of codes !
DJ
// // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 220000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 220000 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position acheteuse indicator1 = MACDline[16,26,9](close) c1 = (indicator1 > 0) indicator2 = MACD[16,26,9](close) c2 = (indicator2 CROSSES OVER 0) IF (c1 AND c2) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET ENDIF //trailing stop trailingstop = 28 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif SET STOP ploss 120 SET TARGET pPROFIT 200Nicolas thanked this postThank you Nicolas. Yes for the “trailingstop”, and replaced the MACD 12 26 9 by 16 26 9…Is that the correct way to do a WF ?
Attached the short version…How does this sounds like ?
DJ
//Dax 15mn / short only // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 091500 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 214500 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 091500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 214500 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions pour ouvrir une position en vente à découvert indicator1 = MACD[12,26,9](close) c1 = (indicator1 CROSSES UNDER 0) indicator2 = MACDline[12,26,9](close) c2 = (indicator2 < 0) indicator3 = ExponentialAverage[2000](close) c3 = (close < indicator3) indicator4 = ExponentialAverage[2000](close) indicator5 = ExponentialAverage[2000](close) c4 = (indicator4 < indicator5[1]) IF (c1 AND c2 AND c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF //trailing stop trailingstop = 28 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif SET STOP ploss 62// SET TARGET pPROFIT 250//Dear Nicolas,
Attached is the best I can do: => Stop Loss set to 45 and No target (No Limits !!)
OK?
Francesco78 thanked this postOMG 🙁 – but thank you…
1 pts added (total of 2).
Attached the versions with and without trailing stop.
Same amount of draw downs in both case … My choice goes logically to the most profitable one.
I will WF it and put them in a demo account see how it goes.
Thank you Nicolas.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 07/06/2017 |
| Status: | Active |
| Attachments: | 13 files |
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