EEUU Tech 100 20minutes MACD Strategy Long
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Hello everyone,
I would like to share with you my first code. What I’m pretending is to know when enter into the market for now only with Long positions.
I took the MACD crossing lines to know when enter over next 20 minutes when this occurs but taking into account the Volume and the RSI.
It is good, but I know that could one of the best 😉 It is why I’m sharing this code, to make it better using maybe another indicators or strategies to know exactly when exit.
The system enter very well….but doesn’t exit properly.
Can you help me to improve it?
Thank you!!!
P.D: It also works over SP500
DEFPARAM CumulateOrders = false // Posizioni cumulate disattivate DEFPARAM flatbefore = 153000 DEFPARAM flatafter = 224500 ncontracts = 50 currentRSI = RSI[20](close) volumen = Volume BlueLineMACD = MACDLINE(close) RedLineMACD = ExponentialAverage[9](BlueLineMACD) //GRAPH BlueLineMACD Coloured(0,0,255) as "Blue Line MACD" //GRAPH RedLineMACD Coloured(255,0,0) as "Red Line MACD" //GRAPH amplitude Coloured(125,125,0) as "Amplitude MACD" // Condiciones para entrada de posiciones largas IF NOT LongOnMarket AND currentRSI[0] > currentRSI[1] AND currentRSI[0] > 50 AND BlueLineMACD[0] >= RedLineMACD[0] AND volumen > 5000 AND close[10] < close[1] AND close[2] - close[1] < 5 THEN BUY ncontracts CONTRACTS AT MARKET longentryrsi = currentRSI longvolumn = volumen volumndecresess = 0 ENDIF IF volumen < longvolumn THEN volumndecresess = volumndecresess + 1 ELSE volumndecresess = 0 ENDIF rsidiff = currentRSI[0] - longentryrsi // Condiciones de salida de posiciones largas If LongOnMarket AND (rsidiff < 6 AND BlueLineMACD[0] <= RedLineMACD[0]) THEN SELL AT MARKET ENDIF // Stops y objetivos: introduzca aquí sus stops de protección y objetivos de beneficios SET STOP $LOSS 2000 SET TARGET $PROFIT 2000Hi frovira
Might you be considering doing a Short version of this Algo at any time please?
I love the short duration in and out! To my way of thinking this shows the Algo entered at the right time, made the money and then exit … no need to wait around down and up, up and down over many periods until a profit shows up!?
Well Done, Good Work!
GraHal
PS Wow … even trying an optimised time constraint doesn’t improve results! It could be that trades are intrinsically not taken overnight due to conditions not met etc.I guess Volume > 5000 will limit overnight trades, but I’ve put the time constraint below on it anyway with no reduction in gain on DAX @ 15 min over 100,000 bars.
PS / Edit I’ve just remembered … there is no volume on DAX anyway after 16:30 GMT??
MyTime = Time > 070000 and Time < 210000I’ve also added Nicolas Trailing Stop … full code below. About £100 improvement and with additional safety. also.
//https://www.prorealcode.com/topic/eeuu-tech-100-20minutes-macd-strategy-long/ DEFPARAM CumulateOrders = false // Posizioni cumulate disattivate //DEFPARAM flatbefore = 153000 //DEFPARAM flatafter = 224500 MyTime = Time > 070000 and Time < 210000 ncontracts = 1 currentRSI = RSI[14](close) volumen = Volume BlueLineMACD = MACDLINE(close) RedLineMACD = ExponentialAverage[9](BlueLineMACD) //GRAPH BlueLineMACD Coloured(0,0,255) as "Blue Line MACD" //GRAPH RedLineMACD Coloured(255,0,0) as "Red Line MACD" //GRAPH amplitude Coloured(125,125,0) as "Amplitude MACD" // Condiciones para entrada de posiciones largas IF NOT LongOnMarket AND currentRSI[0] > currentRSI[1] AND currentRSI[0] > 50 AND BlueLineMACD[0] >= RedLineMACD[0] AND volumen > A AND close[10] < close[1] AND close[2] - close[1] < 5 AND MyTime THEN BUY ncontracts CONTRACTS AT MARKET longentryrsi = currentRSI longvolumn = volumen volumndecresess = 0 ENDIF IF volumen < longvolumn THEN volumndecresess = volumndecresess + 1 ELSE volumndecresess = 0 ENDIF rsidiff = currentRSI[0] - longentryrsi // Condiciones de salida de posiciones largas If LongOnMarket AND (rsidiff < 6 AND BlueLineMACD[0] <= RedLineMACD[0]) THEN SELL AT MARKET ENDIF // Stops y objetivos: introduzca aquí sus stops de protección y objetivos de beneficios SET STOP $LOSS 110 SET TARGET $PROFIT 110 //trailing stop function trailingstart = 70 //trailing will start @trailinstart points profit trailingstep = 6 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************ //GRAPH newSL as "trailing"Below Long and Short version (although very few shorts!) for UKX @ 15 Min
//https://www.prorealcode.com/topic/eeuu-tech-100-20minutes-macd-strategy-long/ DEFPARAM CumulateOrders = false // Posizioni cumulate disattivate MyTime = Time > 070000 and Time < 210000 MHist = MACD[12,26,9](close) BlueMACD = MACDline[12,26,9](close) RedMACD = BlueMACD - MHist //GOLONG IF RSI[14](close) > 65 AND BlueMACD crosses over RedMACD AND volume > 2500 AND ADXR[14] > 15 AND Average[7](close) > Average[20](close) AND MyTime THEN BUY 1 CONTRACTS AT MARKET ENDIF //EXITLONG If RSI[14](close) < 30 AND BlueMACD crosses under RedMACD THEN SELL AT MARKET ENDIF //GOSHORT IF Chandle[20](close) < -80 AND BlueMACD < RedMACD AND MyTime THEN SellShort 1 CONTRACTS AT MARKET ShortChandle = Chandle[20](close) ENDIF ChanddiffShort = abs(Chandle[20](close)- ShortChandle) //EXITSHORT If ChanddiffShort > 24 AND BlueMACD > RedMACD THEN ExitShort AT MARKET ENDIF SET STOP PLOSS 50 SET TARGET PPROFIT 100 //trailing stop function trailingstart = 160 //trailing will start @trailinstart points profit trailingstep = 6 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF
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| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/23/2018 |
| Status: | Active |
| Attachments: | 7 files |
