Discussing Matriciel EURUSD Dhigh Dlow

BobFlynn · Thu, 05 Dec 2019 11:38:10 +0000

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.

This topic has 118 replies, 33 voices, and was last updated 3 years ago by nonetheless.

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12/14/2019 at 12:53 AM #114851

I currently don’t have access to my IG demo account for some reason, but I’m pretty sure that this were not the results I was getting.

I will notify you when I gain back my access.

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12/15/2019 at 3:56 PM #114929

darbes

I applied live strategy with no partial closure this week : 1 winning deal.

darbes

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12/16/2019 at 10:48 AM #114960

juju333

Hi, i’ve turned partial closure off and slightly optimized for EURCAD and M30. Too good to be true, but i share it (running in demo mode from this morning). Indeed take care of drawdown… :

DEFPARAM CumulateOrders = False
DEFPARAM PRELOADBARS = 10000

daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

Horaire = time >= 000000 and time <= 220000

PositionsizeA = 1
PositionsizeV = 1

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 not daysForbiddenEntry AND NOT SHORTONMARKET THEN
BUY PositionsizeA CONTRACTS AT MARKET
ENDIF

IF LONGONMARKET THEN
SELL AT TRADEPRICE +540*pointsize LIMIT
ENDIF

// Short Entries
IF Horaire AND CV AND not daysForbiddenEntry AND NOT LONGONMARKET THEN
SELLSHORT PositionsizeV CONTRACTS AT MARKET
ENDIF


IF SHORTONMARKET THEN
EXITSHORT AT TRADEPRICE - 50*pointsize LIMIT
ENDIF

//MFE
//trailing stop
trailingstop = 40
 
//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

DEFPARAM CumulateOrders = False

DEFPARAM PRELOADBARS = 10000

daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

Horaire = time >= 000000 and time <= 220000

PositionsizeA = 1

PositionsizeV = 1

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 not daysForbiddenEntry AND NOT SHORTONMARKET THEN

BUY PositionsizeA CONTRACTS AT MARKET

ENDIF

IF LONGONMARKET THEN

SELL AT TRADEPRICE +540*pointsize LIMIT

ENDIF

// Short Entries

IF Horaire AND CV AND not daysForbiddenEntry AND NOT LONGONMARKET THEN

SELLSHORT PositionsizeV CONTRACTS AT MARKET

ENDIF

IF SHORTONMARKET THEN

EXITSHORT AT TRADEPRICE - 50*pointsize LIMIT

ENDIF

//MFE

//trailing stop

trailingstop = 40

//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

//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

//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

7 users thanked author for this post.

kj1988,

jmf125,

nonetheless,

Paul,

Matriciel,

Roger,

GraHal

juju333

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12/16/2019 at 11:57 AM #114968

juju333

Sorry there is a mistake line 29 of my code 540 must be 50

2 users thanked author for this post.

jmf125

juju333

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12/22/2019 at 6:34 PM #115379

darbes

Second week live : winning position again.

4 users thanked author for this post.

Midlanddave,

Matriciel,

juju333,

BobFlynn

darbes

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12/22/2019 at 6:37 PM #115380

BobFlynn

darbes wrote:

Second week live : winning position again.

How much pips ? Can you share the equity curve ?

BobFlynn

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12/30/2019 at 7:57 PM #115622

darbes

Live report after 4 weeks :

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Matriciel

darbes

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01/02/2020 at 4:16 AM #115717

Paul

Interesting code Matriciel. I had a go with your strategy.

@juju333 eurcad is good tip!

I made some adjustments. Removed the time limit and it now basically has a big stoploss, a trailing stop and it reverses on opposite signal.

Besides that, added a trend detection system (tds) and this can be switched off if it’s too much.

Optimised is period 1,2,3. The tds filter is then optimised over the best results.

With “select” can you pick which settings you want to use. Just make sure the timeframe 15/30min matches.

1 user thanked author for this post.

Matriciel

Paul

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01/02/2020 at 4:19 AM #115722

Paul

eurusd & eurcad

6 users thanked author for this post.

kj1988,

Alfred,

GraHal,

winnie37,

BobFlynn,

Matriciel

Paul

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01/07/2020 at 3:00 PM #116142

BobFlynn

Awesome Paul !

That’s really encouraging. I was wondering what spread do you use for the backtests because i don’t manage to reproduce the curves as on your screenshots.

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Alfred

BobFlynn

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01/08/2020 at 3:13 PM #116216

Paul

Hi, the spread is set to 1.5 for both strategies.

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BobFlynn

Paul

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01/10/2020 at 9:18 PM #116402

Florian

~~Bonjour,~~

Avez vous réussi à ajouter la stratégie dans Pro Order avec les clôtures partielles ? @Nicolas nous avons besoin de ton aide l’idée est super intéressante mais nous calons tous avec les sorties partielles pour intégrer dans pro order.

~~merci 🙂~~

Hello,

Have you managed to add the strategy in Pro Order with partial closings? @nicolas we need your help the idea is super interesting but we all stall with partial releases to integrate into pro order.

thanks

Florian

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01/10/2020 at 11:07 PM #116410

Vonasi

Florian Legeard – English only in the English speaking forums please. If you wish to discuss a subject in French then please use the French speaking forums.

Vonasi

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01/11/2020 at 4:02 PM #116433

Nicolas

Partial closure will come after version 11 with IG. I will know more about this by the end of next week.

1 user thanked author for this post.

Matriciel

Nicolas

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01/17/2020 at 8:58 AM #117037

drysheep

Hi all,

i have just tried to backtest this strategy over the last 12 months, unfortnately, there is no single trade execution. Do you have any clue what might be wrong in my Setup?

Thanks 🙂

drysheep

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