EMA SLOPE

• 09/26/2017 at 9:08 AM #47345
  grimweasel47

  PS – does the limithour also turn off the stop loss command?

  I’m forward testing with IGindex and it seems some stop/limit orders are being missed, only to activate days later? Is this an issue with the PRT engine or an IGIndex feed?  The equity curve is erratic over these periods as it seems the take profits orders are not activating. Is this common? So far, I don’t think this PRT within IgIndex is reliable enough for systematic trading it seems?

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  09/26/2017 at 12:09 PM #47385
  Nicolas

  grimweasel47 wrote:

  So if limithour= 1800(00) then the system would not enter any new orders after 1859(59)hrs then?

  Right, because Time instruction return the closing time of the bar while OpenTime returns its open time.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  09/26/2017 at 5:00 PM #47422
  grimweasel47

  Great thanks Nicolas. But I assume stops/take profit orders would still be able to execute after this? The limit time command only pertains to order openings? Thanks

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  09/26/2017 at 7:50 PM #47435
  Nicolas

  Of course, if orders are on market and no more pending ones.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  09/27/2017 at 2:18 PM #47531
  grimweasel47

  Would anyone know how I could code (rather than “hh = highest[23](high)”) command to look for the last swing low/high? Rather than place a trend trade above the HH on [n] bars for example, I would like to enter the trade above the last swing to the left of current price. Would using a zig-zag indicator allow this?

  Many thanks

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  09/27/2017 at 5:31 PM #47556
  Nicolas

  You could have a look at these indicators to get the last higher high and lower low:

  https://www.prorealcode.com/prorealtime-indicators/fractals-zigzag/

  https://www.prorealcode.com/prorealtime-indicators/bar-count-reversals-pivot-points-highlow/

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  09/29/2017 at 12:20 AM #47734
  grimweasel47

  Thanks Nicolas – the second one looks most promising. It seems to be an indicator so how best to incorporate into ProOrder and determine orders above/below please?

  Best

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  09/29/2017 at 11:56 AM #47801
  Nicolas

  Only need to test where is Close VS pivotH or pivotL, that’s all.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  10/11/2017 at 10:21 PM #49066
  grimweasel47

  Hi All,

  Just a quick question on the code. I’m trying to define trend using EMAs but also higher highs and lower lows over [n] periods but the code I have created below confuses me. When dealing with minus figures should it be > or < than -1?

  // --- indicators ema = exponentialaverage[30](close) ema2 = exponentialaverage[25](close) //set trend using highs and lows Trend1= highest[1](high) Trend2= highest[20](high) Trend3 = trend2-trend1 /// Trend4= lowest[1](low) Trend5= lowest[20](low) Trend6 = trend4-trend5 // EMAabove = ema2>ema EMAbelow = ema2<ema atr = averagetruerange[6] hh = highest[1](high)+2 ll = lowest[1](low)-2 Filter = ema2-ema2[1] //Filter2 = ema3-ema3[1] Long = Filter >0 and emaabove and trend3>0 Short = Filter <-1 and emabelow and trend6>-1

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

  // --- indicators ema = exponentialaverage[30](close) ema2 = exponentialaverage[25](close) //set trend using highs and lows Trend1= highest[1](high) Trend2= highest[20](high) Trend3 = trend2-trend1 /// Trend4= lowest[1](low) Trend5= lowest[20](low) Trend6 = trend4-trend5 // EMAabove = ema2>ema EMAbelow = ema2<ema atr = averagetruerange[6] hh = highest[1](high)+2 ll = lowest[1](low)-2 Filter = ema2-ema2[1] //Filter2 = ema3-ema3[1] Long = Filter >0 and emaabove and trend3>0 Short = Filter <-1 and emabelow and trend6>-1

  The key parts are trend3>0 and trend6>-1 -is this correct for capturing HH and HL to add to the ema for defining when price is trending?

  Also is my ‘Filter’ correct for capturing EMA sloping up and EMA sloping down? So on H1 if ema2-ema2[1] this asks is ema now higher/lower than ema 1 bar ago, using greater or less than 0 – or should I use as above Filter <-1?

  Many thanks

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  10/12/2017 at 7:24 AM #49072
  Nicolas

  Your “Filter” variable is a boolean one, which returns 0=False and 1=True so you are now using its value correctly at lines 20 and 21.

  I don’t understand the Trend3 and Trend6 variables, you are just making differences between 2 prices which gives you if the previous highest high 20 bars ago is superior or not to the last period one (same goes for lowest low at lines 9 and 10).

  1 user thanked author for this post.

  grimweasel47

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  10/13/2017 at 9:21 PM #49328
  grimweasel47

  Hi Nicolas.

   

  Thanks for confirmation on the filter variable.  Regarding the trend3 and trend6, what I’m trying to create is a lower low for downtrend and higher high for uptrend. So rather than just rely on EMA rising or falling I’m asking PRT to see if lowest low 1 bar ago is lower than lowest low 20 bars ago, this proving price is trending down. So if [1] was 12000 and [2] was 14000 it would prove trend6 was lower as 12000-14000 is -2000, thus price is trending down. Vice versa for Trend3 (uptrend) – or is there a better way to ask PRT if price is making higher highs and higher lows for uptrend for example?

   

  Many thanks

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  10/17/2017 at 2:23 PM #49685
  grimweasel47

  Hello

  Another issue with trade times? I have the code below that only allows trading on certain days at or after a certain time, yet PRT keeps taking trades at midnight randomly? Would you know why this is?? Thanks

  // --- settings balance = 10000 //balance of the strategy when activated the first time minlot = 1 //minimum lot size for the current instrument (example: 1 for DAX) riskpercent = 2 //risk percent per trade activationtime = 090000//Close time of the candle to activate the strategy LimitHour = 130000 //Time to close off strategy if dayofweek=1 then //Monday daytrading=1 endif if dayofweek=2 then // Tuesday daytrading=1 endif if dayofweek=3 then // Wednesday daytrading=1 endif if dayofweek=4 then //Thursday daytrading=1 endif if dayofweek=5 then // Friday daytrading=0 endif if dayofweek=6 or dayofweek=7 then //Sat and Sun daytrading=0 endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

  // --- settings balance = 10000 //balance of the strategy when activated the first time minlot = 1 //minimum lot size for the current instrument (example: 1 for DAX) riskpercent = 2 //risk percent per trade activationtime = 090000//Close time of the candle to activate the strategy LimitHour = 130000 //Time to close off strategy if dayofweek=1 then //Monday daytrading=1 endif if dayofweek=2 then // Tuesday daytrading=1 endif if dayofweek=3 then // Wednesday daytrading=1 endif if dayofweek=4 then //Thursday daytrading=1 endif if dayofweek=5 then // Friday daytrading=0 endif if dayofweek=6 or dayofweek=7 then //Sat and Sun daytrading=0 endif

  and the execution part of the code reads…

  while case <> 0 and daytrading=1 and time <=LimitHour do if levelhi>0 then buy size contract at levelhi stop endif if levello>0 then sellshort size contract at levello stop endif wend endif

  1 2 3 4 5 6 7 8 9

  while case <> 0  and daytrading=1 and time <=LimitHour do if levelhi>0 then buy size contract at levelhi stop endif if levello>0 then sellshort size contract at levello stop endif wend endif

  So, as above shows if daytrading=1 and time is less than LimitHour (130000 in this case) why does PRT keep taking live trades at 000000hrs?

   

  Thanks for your help. Final piece of puzzle hopefully

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  10/18/2017 at 9:35 AM #49798
  Nicolas

  What’s the timeframe? Bear in mind that pending orders still 1 complete bar.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4742 times
  10/18/2017 at 12:05 PM #49817
  grimweasel47

  Hi Nicolas. It’s the H1 timeframe. On backtests and live trading the system keeps taking trades on the beginning of new days where it hasn’t traded the day before. Is this linked to part of code below that addresses intraday bar index?

  if intradaybarindex=0 then alreadytraded = 0 case = 0 levelhi = 0 levello = 0 endif if onmarket or (onmarket[1] and not onmarket) or (currentprofit<>strategyprofit) then alreadytraded = 1 endif

  1 2 3 4 5 6 7 8 9 10

  if intradaybarindex=0 then alreadytraded = 0 case = 0 levelhi = 0 levello = 0 endif   if onmarket or (onmarket[1] and not onmarket) or (currentprofit<>strategyprofit) then alreadytraded = 1 endif

   

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
  10/25/2017 at 1:48 PM #50493
  grimweasel47

  Any ideas my dear overworked chap, Nicolas? 😉

  

  grimweasel47

  Participant

  Topics: 21

  Replies: 107

  Been thanked: 29 times
• Author
  Posts