Divergences trading

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  • #25758 quote
    Inertia
    Participant
    Master

    Dear all,

    Greetings !

    That is a great forum…Well done and thank you!

    I have a favor…

    I am trying to code a strategy that might look up for divergences (RSI today but could be another indicators…).

    I am using PRT Probacktest cause I do not know the coding language…Sorry 🙁

    Q: How can I have the code below *looking back from RSI bar close < 30 up to BAR 6 AND/OR 7 AND/OR 8  etc.. up to X bars ???

    *The curent RSI bar must be over 40…with a 6 bars gap in between (could be less…)

    I would be happy to receive any help from any one at any time 😉

    Hereafter is what I have so far…

    // 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 = 090000
    // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
    DEFPARAM FLATAFTER = 173000
    
    // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée
    timeEnterBefore = time >= 090000
    
    // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée
    timeEnterAfter = time < 173000
    
    // 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
    c1 = (close < close[7])
    indicator1 = RSI[14](close)
    c2 = (indicator1 >= 0[7])
    indicator2 = RSI[14](close)
    c3 = (indicator2 <= 30)
    indicator3 = RSI[14](close)
    c4 = (indicator3 >= 40)
    
    IF (c1 AND c2 AND c3 AND c4) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
    BUY 1 CONTRACT AT MARKET
    ENDIF
    
    // Conditions pour fermer une position acheteuse
    indicator4 = SAR[0.02,0.02,0.2]
    c5 = (close CROSSES UNDER indicator4)
    indicator5 = ExponentialAverage[10](close)
    c6 = (close CROSSES UNDER indicator5)
    
    IF c5 AND c6 THEN
    SELL AT MARKET
    ENDIF
    
    // Stops et objectifs
    SET STOP pLOSS 15
    SET TARGET pPROFIT 45

    Thank you.

    DJ

    #25870 quote
    Nicolas
    Keymaster
    Master

    Q: How can I have the code below *looking back from RSI bar close < 30 up to BAR 6 AND/OR 7 AND/OR 8 etc.. up to X bars ??? *The curent RSI bar must be over 40…with a 6 bars gap in between (could be less…)

    Sorry, I’d like to help, but I don’t understand clearly your question. Could you please, upload a screenshot or an example of this condition you are trying to catch? Many thanks in advance.

    #25917 quote
    Inertia
    Participant
    Master

    Hi Nicolas.

    Merci pour votre reacivite.

    The strategy current barclose should enter LONG if :

    Price onbarclosed is currently doing a lower low from let’s say *6 bars ago. *variable.

    RSI made a lower low *x bar ago too and must have been lower than 30 (same as price *6 bars ago) BUT current bar close must be higher than 40 =>divergence.

    Then enter LONG.

    1. However, between curent price bar and previous lower low, *4 bars mini should be in between (6 mentionned above just for example..).
    2. *4 bars mini: here is the trick… The strategy should look back for lower lows that occured on RSI until the trader’s choice ( mini 4 up to 30 or 40 bars back I suppose…)

    Truly hope that my explanation make more sense now for you Nicolas 😉

    However I do remain at your entire disposal should you need more information.

    Happy Trading.

    DJ

    Divergences-prtsc.png Divergences-prtsc.png
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Divergences trading


ProOrder: Automated Strategies & Backtesting

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Inertia @inertia Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Inertia
9 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/20/2017
Status: Active
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