End Of Day – YEN M15 Strategy

• 03/27/2023 at 2:43 PM #212213
  ZeroCafeine

  I think you know all that it takes a 67% increase on our capital to recover the 40% drop, Even if the strategy with 40% draw down and positive it’s still a shame to lose the 40% you had won

  

  ZeroCafeine

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  03/27/2023 at 2:49 PM #212215
  ZeroCafeine

  The next step would be to use stop followers and maybe also to improve the Take profit with this thread

  If you have other ideas or other contributions I’m interested, the goal is to improve the code a bit and especially for me and to improve myself in programming and why not for some beginners and the community

   

   

  

  ZeroCafeine

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  03/28/2023 at 4:27 PM #212316
  ZeroCafeine

  Let’s go with a first improvement that is not really an improvement, the Hit & Run, as you can see on the original code the setting value of TP and SL is :

  // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8

  1 2 3

  // STOP LOSS & TAKE PROFIT (%) SL = 1 TP = 0.8

  with this value we are from 100K to 204K JPY

  but with just reduce the SL from 1 to 0,5% of the trade and increasing the profit from 0,8 to 1% we are from 100K to 245K JPY

  

  ZeroCafeine

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  03/28/2023 at 6:40 PM #212326
  ZeroCafeine

  Let’s go with the second improvement :
  – I reduced the code and remove some code (maybe stupid condtion for try to ride the position, I will come back to this next time)
  – at this time I use only Long position, because if I’m not wrong it’s not possible to be Long and Short in he same time with the same code (I on’t know if it’s possible to be long and shot in the same time with 2 different algo on the same stoks with IG ?)
  – I add some trule even it’s not perfect for magane the SL

  My question is : Why the algorithm takes me out of position at 9pm ?, You can see on the screenshot the output is represented by a red triangle

  // Strategy Name : END OF DAY - YEN // Version : 2.0 // Information : I don't know what is this Strategie means ;-) // Stroks : USD/JPY Mini // Initial Capital : 100 000 JPY // Test on : 50K Candles // Spread : 2 // ============================================================ Defparam cumulateorders = false Once Capital = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime = 210000 EndTime = 231500 // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF IF LongOnMarket Then Set Stop pLoss SL ENDIF trailingstart = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss" points2BE = SL //points to keep at breakeven = Set Stop pLoss 12 startBreakeven = 30 PointsToKeep = 5 IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1) >= trailingstart * pipsize THEN newSL = tradeprice(1) + Spread * pipsize // BE + 2 x Spread ENDIF //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = newSL + trailingstep * pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

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  // Strategy Name    : END OF DAY  -  YEN // Version          : 2.0 // Information      : I don't know what is this Strategie means ;-) // Stroks           : USD/JPY Mini // Initial Capital  : 100 000 JPY // Test on          : 50K Candles // Spread           : 2 // ============================================================ Defparam cumulateorders = false Once Capital    = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime     = 210000 EndTime       = 231500   // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF   IF LongOnMarket Then Set Stop pLoss SL ENDIF   trailingstart = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss" points2BE   = SL    //points to keep at breakeven = Set Stop pLoss 12   startBreakeven = 30 PointsToKeep = 5   IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1) >= trailingstart * pipsize THEN newSL = tradeprice(1) + Spread * pipsize // BE + 2 x Spread ENDIF   //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = newSL + trailingstep * pipsize ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

  

  ZeroCafeine

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  03/28/2023 at 6:55 PM #212329
  GraHal

  ZeroCafeine wrote:

  it’s not possible to be Long and Short in he same time with the same code

  Above is correct.

  ZeroCafeine wrote:

  Why the algorithm takes me out of position at 9pm ?, You can see on the screenshot the output is represented by a red triangle?

  How you know the red triangle is a 9pm? You are not using crosshairs on your cursor and the x axis shows 16:00 and 13 and 14?

  Or am I missing something?

   

   

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  GraHal

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  03/28/2023 at 7:57 PM #212330
  fifi743

  It does put long and short positions at the same time.
  But be careful, you must have an account with a non-guaranteed stop.

  

  fifi743

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  03/28/2023 at 10:10 PM #212333
  ZeroCafeine

  You are right I made a mistake, I had an exit by chance at 9pm and I thought it was an error in my code but indeed I see on the screenshot and on my test right now that I exited around 7:45pm,

  So the problem comes from my management of stops and trailing stops

  

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  03/28/2023 at 10:14 PM #212334
  ZeroCafeine

  fifi743 wrote:

  It does put long and short positions at the same time.

  I don’t undertand what you do mean, it’s possible to be both of Long and Short with the same algorithme or Not  ?

  

  ZeroCafeine

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  03/28/2023 at 10:52 PM #212335
  ZeroCafeine

  Here I think I have understood Nicolas’ reasoning on the stop follower, it’s not perfect yet but I think it’s already better than the post just before :

  // Strategy Name : END OF DAY - YEN // Version : 2.0 // Information : I don't know what is this Strategie means ;-) // Stroks : USD/JPY Mini // Initial Capital : 100 000 JPY // Test on : 50K Candles // Spread : 2 // ============================================================ Defparam cumulateorders = false Once Capital = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime = 210000 EndTime = 231500 // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF IF LongOnMarket Then Set Stop pLoss SL ENDIF points2BE = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss" IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move to BreakEven IF newSL=0 AND close-tradeprice(1) >= points2BE * pipsize THEN newSL = tradeprice(1) + Spread * 2 * pipsize // BE + 2 x Spread fees ENDIF //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = High - trailingstep * pipsize ENDIF ENDIF IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

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  // Strategy Name    : END OF DAY  -  YEN // Version          : 2.0 // Information      : I don't know what is this Strategie means ;-) // Stroks           : USD/JPY Mini // Initial Capital  : 100 000 JPY // Test on          : 50K Candles // Spread           : 2 // ============================================================ Defparam cumulateorders = false Once Capital    = 100000 // SIZE OF THE POSITIONS N = 1 Ratio = 0.5 // TIMETABLE StartTime     = 210000 EndTime       = 231500   // STOP LOSS & TAKE PROFIT (%) SL = 12 Period = 12 Spread = 2 // CANDLE REFERENCE to StartTime IF Time = StartTime THEN Amplitude = Highest[Period](High) - Lowest[Period](Low) Opening = Close ENDIF // LONGS & SHORTS IF Not LongOnMarket AND Time >= StartTime AND Time <= EndTime AND DayOfWeek < 5 THEN Buy N Shares AT (Opening - Amplitude * Ratio) Limit ENDIF   IF LongOnMarket Then Set Stop pLoss SL ENDIF   points2BE = 140 //trailing will start @trailinstart points profit trailingstep = 80 //trailing step to move the "stoploss"   IF NOT ONMARKET THEN //reset newSL=0 breakevenLevel=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move to BreakEven IF newSL=0 AND close-tradeprice(1) >= points2BE * pipsize THEN newSL = tradeprice(1) + Spread * 2 * pipsize // BE + 2 x Spread fees ENDIF   //next moves IF newSL>0 AND Close - newSL >= trailingstep * pipsize THEN newSL = High - trailingstep * pipsize ENDIF ENDIF   IF newSL>0 THEN SELL AT newSL STOP ENDIF // STOP STRATEGIE DrawDown MaxDrawDownPercentage = 40 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarket = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarket Then Quit ENDIF

   

  We can see that in the position just before the exit was around 140 pips (red frame), while now for the same trade the trailing stop makes us exit with a gain of 509 pips, Of course the code is not perfect, it tends to go the other way

  For the first movement of the StopLoss to the breakeven with the variable Points2BE, I voluntarily left the number 140 in order to let the position breathe, On the other hand, if you have any other ideas or proposals on this point, I’d be happy to hear them.

  We should also not forget the disastrous performance at the beginning of the backtest 😅

  

  ZeroCafeine

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  03/29/2023 at 10:53 AM #212400
  ZeroCafeine

  Hi

  some one can tell me how to draw my newSL Variable in my graphic price pls ?, I add this line but as you can see the graphic is on a frame alone, but I want to draw if with candles price together :

   

  GRAPH newSL coloured(255,0,0) AS "My SL Tralling"

  1	GRAPH newSL coloured(255,0,0) AS "My SL Tralling"

  even my variable going from 0 to a big value, that is not a problem now, but if you also have a solution for this ?

  

  ZeroCafeine

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  03/29/2023 at 10:56 AM #212403
  JC_Bywan

  Instruction GRAPHONPRICE

  https://www.prorealcode.com/documentation/graphonprice/

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  03/29/2023 at 11:19 AM #212408
  ZeroCafeine

  @JC_Bywan
  tks you, I will read it in the end of day and come back with a solution for my problem 😄, maybe if I find a solution for the 0 value 😅

  

  ZeroCafeine

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  03/29/2023 at 12:19 PM #212418
  ZeroCafeine

  I found this solution for draw the traling stop (tks you @JC_Bywan), but how to don’t draw it when we don’t have a trade open :

  // Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL ELSE TrailingSL = Undefined ENDIF GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"

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  // Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL ELSE TrailingSL = Undefined ENDIF   GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"

  I also tryed this but not working :

  // Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop" ELSE TrailingSL = Undefined ENDIF

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  // Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop" ELSE TrailingSL = Undefined ENDIF

  

  ZeroCafeine

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  03/29/2023 at 1:01 PM #212423
  GraHal

  Try …

  IF onmarket AND newSL > 0 Then TrailingSL = newSL ELSE TrailingSL = Undefined ENDIF GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"

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  IF onmarket AND newSL > 0 Then TrailingSL = newSL ELSE TrailingSL = Undefined ENDIF GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"

   

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  GraHal

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  03/29/2023 at 1:08 PM #212424
  PeterSt

  ZeroCafeine wrote:

  but how to don’t draw it when we don’t have a trade open :

   

   

  // Drawing Trailing Stop IF newSL > 0 Then TrailingSL = newSL If OnMarket then GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop" endif ELSE TrailingSL = Undefined ENDIF

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  // Drawing Trailing Stop IF newSL > 0 Then   TrailingSL = newSL   If OnMarket then     GraphOnPrice TrailingSL coloured(255,0,0) AS "My Tralling Stop"   endif ELSE   TrailingSL = Undefined ENDIF

  Note that really “don’t draw” does not exist. Here you see the exit from this morning (in the coffee-spoiling topic 😉 )  and it is depicted by the green line. So this line changes position because I tell it to, but when the position is exited I stop drawing that green line (and more). Now this line keeps on drawing automatically, but while this seems strange, it is even convenient. See 2nd screenshot. You can easily see where this green line was in action, and can zoom in to it when you want. In my case these are the trailing stop exits (the darker green line). Just learn a bit to utilize this feature. You will see it is quite handy.

  

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