EEUU Tech 100 20minutes MACD Strategy Long

• 02/23/2018 at 9:46 AM #63592
  frovira

  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 2000

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  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 2000

   

  

  frovira

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  02/23/2018 at 2:09 PM #63682
  GraHal

  Looks like its got good potential, I got below on the Dow over 10,000 bars at £1 per point spreadbet on 5 Min Timeframe.

  I changed only the settings below to as shown
  <pre class=”lang:probuilder decode:true”>SET STOP $LOSS 160
  SET TARGET $PROFIT 235

  GraHal

   

  

  GraHal

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  02/27/2018 at 8:28 PM #64069
  GraHal

  Hi 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.

  

  GraHal

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  02/27/2018 at 9:06 PM #64075
  GraHal

  Lots of the winning Trades have a £0 MAE and loads have a very low MAE, only 8 eventual winning trades have a MAE of any significance (6 at -£20s, 1 at -£33 and 1 at -£65.

  Yeah we need that Short version frovira.

  I’ll have a try at a better exit strategy, others please feel free to contribute as my coding skills are nowhere near lots on here.

  Cheers
  GraHal

  

  GraHal

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  02/27/2018 at 9:09 PM #64076
  stefou102

  Hello,

  thx for the code! Two swift remarks:

  1. the standard 14 period for RSI works slightly better, so no added value to take 20.
  2. the variable “volumndecresess” is not used in your code

  1 user thanked author for this post.

  GraHal

  

  stefou102

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  02/27/2018 at 10:44 PM #64085
  GraHal

  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 < 210000

  1	MyTime = Time > 070000 and Time < 210000

  I’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"

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  //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"

   

   

  

  GraHal

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  02/28/2018 at 3:33 PM #64137
  GraHal

  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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  //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

   

   

  

  GraHal

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