Discussing Matriciel EURUSD Dhigh Dlow

• 12/05/2019 at 12:38 PM #114248
  BobFlynn

  Hello community,

  I open this topic to discuss and improve together Matriciel’s EURUSD HighLow strategy : https://www.prorealcode.com/prorealtime-trading-strategies/eurusd-15-minutes-timeframe-dhigh-dlow-strategy/

  I think it has a great potential, and apparently we are struggling to communicate updates to each other through the comments.

   

  

  BobFlynn

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  12/05/2019 at 12:50 PM #114251
  Matriciel

  This is the code :

  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Horaire = time >= 000000 and time <= 200000 CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 PositionsizeV = 1 MAXSHARES = abs(COUNTOFPOSITION) <= 19 IF CloturePartielle THEN PositionsizeA = 4 PositionsizeV = 3 ENDIF MM = Average[56,3](totalprice) Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1)) Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2) CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu) // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106

  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000   daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   Horaire = time >= 000000 and time <= 200000   CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 PositionsizeV = 1 MAXSHARES = abs(COUNTOFPOSITION) <= 19   IF CloturePartielle THEN PositionsizeA = 4 PositionsizeV = 3 ENDIF   MM = Average[56,3](totalprice)   Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1))   Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2)   CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu)   // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF   IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF   IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF   IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF   IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF   // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF   IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF   IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF   IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF   //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

   

  

  Matriciel

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  12/05/2019 at 1:54 PM #114253
  GraHal

  Don’t you just hate it when Nicolas does a refresh of the website between starting to write a message and posting it and then we end up not logged in and so the post is lost / not posted!?

  Fortunately is was not a long post so I’ll do it again later.

  Apologies for the moan @Nicolas , I know you have to do maintenance 🙂

  I think I may copy posts to clipboard in future before posting?

  This ‘moaning post’ is longer than the post I lost so I’d have been better keeping my mouth shut and re doing my original post!  🙂

  

  GraHal

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  12/05/2019 at 1:58 PM #114254
  BobFlynn

  GraHal wrote:

  This ‘moaning post’ is longer than the post I lost so I’d have been better keeping my mouth shut and re doing my original post! 🙂

  We want the original post now ! 😛

  

  BobFlynn

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  12/05/2019 at 2:05 PM #114255
  GraHal

  I’ve had 2 trades only since 17 Oct 19 on Forward Test of this  System … both in profit!

  I didn’t Accumulate Orders (position size = 1) so only £58 profit, but 2 out of 2 in profit is a good start.

  For whatever the reason, I am testing it on 10 min TF (eurusd)

  Will Lines 41, 45, 61 and 64 (ish) work in real as they are partial exits?

  I used, for example …

  SELL AT TRADEPRICE + 20*pointsize LIMIT

  1	SELL AT TRADEPRICE + 20*pointsize LIMIT

   

  

  GraHal

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  12/05/2019 at 2:07 PM #114256
  Nicolas

  GraHal wrote:

  Don’t you just hate it when Nicolas does a refresh of the website between starting to write a message and posting it and then we end up not logged in and so the post is lost / not posted!?

  That wasn’t me, it happens sometimes automatically for security of your account, but not often!

  1 user thanked author for this post.

  GraHal

  

  Nicolas

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  12/05/2019 at 8:53 PM #114287
  darbes

  Code works in backtest but how to overcome the partial close issue ?

  

  darbes

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  12/05/2019 at 9:47 PM #114289
  Vonasi

  darbes wrote:

  how to overcome the partial close issue ?

  Partial closure is only possible in back testing – not in live demo or live real trading unfortunately. There is no way round this except to ask IG when they plan to let us all partially close positions.

  

  Vonasi

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  12/05/2019 at 10:10 PM #114290
  GraHal

  darbes wrote:

  how to overcome the partial close issue ?

  You mean you want to do partial closures or you want to eliminate partial closures?

  If you want to eliminate then use …

  SELL AT TRADEPRICE + 20*pointsize LIMIT ExitShort AT TRADEPRICE + 20*pointsize LIMIT

  1 2 3

  SELL AT TRADEPRICE + 20*pointsize LIMIT   ExitShort AT TRADEPRICE + 20*pointsize LIMIT

   

   

   

   

  

  GraHal

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  12/06/2019 at 8:38 AM #114303
  Nicolas

  @investment_account (GraHal)

  Did you get my email yesterday?

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  GraHal

  

  Nicolas

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  12/06/2019 at 9:07 PM #114370
  darbes

  Tku. I will try strategy without partial close.

  

  darbes

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  12/08/2019 at 12:51 PM #114421
  J.

  I modified the code a little bit to add a compounding effect. In back testing I noticed it started of with a loss the first 6 months, if you calculate position size based on your current capital, it will make for better risk management in my opinion. I took $10k as starting capital for this example.

  Below my code.

  dhighdlow 15m EURUSD compound

  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000 //calculate position size based on capital AMOUNT = (10000 + STRATEGYPROFIT) * 0.0001 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Horaire = time >= 000000 and time <= 200000 CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 * AMOUNT PositionsizeV = 1 * AMOUNT MAXSHARES = abs(COUNTOFPOSITION) <= 19 * AMOUNT IF CloturePartielle THEN PositionsizeA = 4 * AMOUNT PositionsizeV = 3 * AMOUNT ENDIF MM = Average[56,3](totalprice) Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1)) Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2) CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu) // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109

  DEFPARAM CumulateOrders = True DEFPARAM PRELOADBARS = 10000   //calculate position size based on capital AMOUNT = (10000 + STRATEGYPROFIT) * 0.0001 daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 Horaire = time >= 000000 and time <= 200000 CloturePartielle = 1// 1 = ON, 0 = OFF PositionsizeA = 1 * AMOUNT PositionsizeV = 1 * AMOUNT MAXSHARES = abs(COUNTOFPOSITION) <= 19 * AMOUNT IF CloturePartielle THEN PositionsizeA = 4 * AMOUNT PositionsizeV = 3 * AMOUNT ENDIF MM = Average[56,3](totalprice) Newhighest = max(DHigh(0),DHigh(1)) Newlowest = min(DLow(0),DLow(1)) Milieu = (Newhighest+Newlowest)/2 Surachat = average[10,4]((Newhighest+Milieu)/2) Survente = average[10,4]((Newlowest+Milieu)/2) CA = (MM > Surachat) and (close crosses over Milieu) CV = (MM < Survente) and (close crosses under Milieu) // Long Entries IF Horaire AND CA AND MAXSHARES AND not daysForbiddenEntry AND NOT SHORTONMARKET THEN BUY PositionsizeA CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF LONGONMARKET AND COUNTOFLONGSHARES <= 16 THEN SELL 1 CONTRACTS AT TRADEPRICE + 40*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 4 THEN SELL 1 CONTRACTS AT TRADEPRICE + 20*pointsize LIMIT ENDIF IF LONGONMARKET AND COUNTOFLONGSHARES <= 6 THEN SELL 1 CONTRACTS AT TRADEPRICE + 18*pointsize LIMIT ENDIF ENDIF IF LONGONMARKET AND summation[35](close < close[6]) = 35 THEN SELL AT MARKET ENDIF // Short Entries IF Horaire AND CV AND MAXSHARES AND not daysForbiddenEntry AND NOT LONGONMARKET THEN SELLSHORT PositionsizeV CONTRACTS AT MARKET ENDIF IF CloturePartielle THEN IF SHORTONMARKET AND COUNTOFSHORTSHARES <= 20 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 78*pointsize LIMIT ENDIF IF SHORTONMARKET AND COUNTOFLONGSHARES <= 1 THEN EXITSHORT 1 CONTRACTS AT TRADEPRICE - 40*pointsize LIMIT ENDIF ENDIF IF SHORTONMARKET AND summation[32](close > close[6]) = 32 THEN EXITSHORT AT MARKET ENDIF //MFE //trailing stop trailingstop = 33 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif 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 TARGET pPROFIT 46 SET STOP pLOSS 200

   

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  quietlife, GraHal

  

  J.

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  12/08/2019 at 9:45 PM #114453
  GraHal

  Do you get the results attached @J. Slowly?

  I deducted 1 hour from your times (UTC +1) to get UTC +00 (UK time) and I used spread = 2.

  

  GraHal

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  12/12/2019 at 2:26 PM #114744
  juju333

  Thanks for sharing. Works great in test indeed, ever greater with EURCAD isn’t it ? Does somenone has the code without partial closure wich indeed prevent form pushing it towards ProOrder ? Don’t have yet the time to clean it. Without partial closure, are the results still good ? Thanks !

  

  juju333

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  12/13/2019 at 12:29 PM #114815
  Gubben

  Results are good but drawdown is huge

  

  Gubben

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