End Of Day – YEN M15 Strategy
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Hi everyone, I hope you are well,
Here is as promised a version 21, it is not exceptional and you will see that on my code there is a lot of redundancy I know it is not the top but for me it suits me for the moment and it allows me not to make mistakes, we will see later to improve the code
I would like to thank all the people who responded and helped me directly or indirectly (@phoentzs , @GraHal , @Nicolas , @PeterSt , @robertogozzi , …. 😊)
In this code and so I hope it works well anyway I checked several times and it seems to be OK, it’s to calculate the losses generated by the losing trades between 8:05am until 8:05am the next day, so I can count my daily losses and for example put a condition :
– stop buying for the day if I exceed 10€ of loss (C6)
– stop buying for the week if I exceed 40€ of loss (C7)The next step will be to calculate the losses per month and stop buying if we lose more than 100€.
The other steps will be to calculate the real gain and the latent gain in order to reallocate a part each week for the next week if we are in the positive to allow ourselves to lose more while protecting our realized gains 😊
// Strategy Name : END OF DAY - YEN // Version : 21.0 // Stroks : USD/JPY Mini // indicator associate : Tokyo Box v3 // Time Zone / TF : Paris-France (GTM+2) / M5 // Pip Value : 1 Pip = 100 JPY // Tokyo Session : 9Am - 3Pm (UTC+9) // // Spread : 2 // // Information : //#******************************************************************# //# VariableS # //#******************************************************************# Once Capital = 100000 Once Equity = Capital Once TrailinStop = 0 // 1 on - 0 off // Needs to be improved Once BreakEaven = 1 // 1 on - 0 off Once BreakRange = 1 // 1 on - 0 off Once MFE = 0 // 1 on - 0 off // Needs to be improved Once QuitStrategy = 0 // 1 on - 0 off // Needs to be improved Once MaxBuyPerDay = 15 // Maximum shares we can buy per day // Z2 Once MaxLostPerDay = 10 // We can buy until we don't lost 10€ per Day // Unit : € Once MaxLostPerWeek = 40 // We can buy until we don't lost 40€ per week// Unit : € Once MaxLostPerMonth= 100// Stop Strategy if we Lost 100€ per month // Needs to be improved Once MaxBuyShare = 10 // Maximum of shares we can buy (Marging math) Once PercentOfBoxSL = 10 // Percent of Tokyo Box for Initialization the First Stop Loss Once N = 1 // Buy N Shares Once Spread = 2 // Spread fees x 2 MedianPriceJPY = Average[10](MedianPrice) FranceDST = Month=4 OR Month=5 OR Month=6 OR Month=7 OR Month=8 OR Month=9 OR (Month=9 AND Day < 24) // Z5 FranceWinTime = Month=11 OR Month=12 OR Month=1 OR Month=2 OR (Month=3 AND Day < 24) // Z5 IF (DayOfWeek = 1 AND Time > 080500) THEN MyMondayPeriod = 1 MyFridayPeriod = 0 ENDIF IF (DayOfWeek = 2 AND Time > 080500) THEN MyMondayPeriod = 0 MyTuesdayPeriod = 1 ENDIF IF (DayOfWeek = 3 AND Time > 080500) THEN MyTuesdayPeriod = 0 MyWednesdayPeriod = 1 ENDIF IF (DayOfWeek = 4 AND Time > 080500) THEN MyWednesdayPeriod = 0 MyThursdayPeriod = 1 ENDIF IF (DayOfWeek = 5 AND Time > 080500) THEN MyThursdayPeriod = 0 MyFridayPeriod = 1 ENDIF //#******************************************************************# //# FonctionS # //#******************************************************************# IF FranceDST THEN EndOfBoxTime = 080500 BeginBoxTime = 020000 ELSIF FranceWinTime THEN EndOfBoxTime = 070000 BeginBoxTime = 010000 ENDIF IF Time = EndOfBoxTime THEN x2 = BarIndex[0] x1 = BarIndex[73] yH = Highest[72](High[1]) yL = Lowest [72](Low[1]) os = 4*pipsize DayRange = (yH - yL) / pipsize ENDIF IF NOT OnMarket THEN // Dc FirstSL = 0 NotOnMArket = 1 ENDIF //#******************************************************************# //# Money Management # //#******************************************************************# IF Time = 080500 THEN // Ec // #97 LastDayCountOfPosition = CountOfPosition Flag = 1 ENDIF MoreMathFlag = LastDayCountOfPosition>0 AND Not OnMArket AND OnMarket[1] AND Flag=1 IF MoreMathFlag THEN // #97 TodayStrategyProfit = StrategyProfit CountOfMyPosition = CountOfPosition[1] - LastDayCountOfPosition LastEntryPrice = TradePrice(CountOfPosition[1]+1) LastExitPrice = TradePrice DiffEntryExitJPY = (((LastEntryPrice - LastExitPrice )/Pipsize)*PointValue)*CountOfMyPosition Flag = 0 ENDIF IF MyMondayPeriod THEN if LastDayCountOfPosition > 0 AND StrategyProfit <> StrategyProfit[1] then MondayLossesJPY = DiffEntryExitJPY DiffEntryExitJPY = 0 LastDayCountOfPosition = 0 MondayLosingTrades = MondayLosingTrades + 1 endif if StrategyProfit < StrategyProfit[1] AND LastDayCountOfPosition = 0 then MondayLossesJPY = MondayLossesJPY + (StrategyProfit[1] - StrategyProfit) MondayLosingTrades = MondayLosingTrades + 1 endif ENDIF IF MyTuesdayPeriod THEN if LastDayCountOfPosition > 0 AND StrategyProfit <> StrategyProfit[1] then TuesdayLossesJPY = DiffEntryExitJPY DiffEntryExitJPY = 0 LastDayCountOfPosition = 0 TuesdayLosingTrades = TuesdayLosingTrades + 1 endif if StrategyProfit < StrategyProfit[1] AND LastDayCountOfPosition = 0 then TuesdayLossesJPY = TuesdayLossesJPY + (StrategyProfit[1] - StrategyProfit) TuesdayLosingTrades = TuesdayLosingTrades + 1 endif ENDIF IF MyWednesdayPeriod THEN if LastDayCountOfPosition > 0 AND StrategyProfit <> StrategyProfit[1] then WednesdayLossesJPY = DiffEntryExitJPY DiffEntryExitJPY = 0 LastDayCountOfPosition = 0 WednesdayLosingTrades = WednesdayLosingTrades + 1 endif if StrategyProfit < StrategyProfit[1] AND LastDayCountOfPosition = 0 then WednesdayLossesJPY = WednesdayLossesJPY + (StrategyProfit[1] - StrategyProfit) WednesdayLosingTrades = WednesdayLosingTrades + 1 endif ENDIF IF MyThursdayPeriod THEN if LastDayCountOfPosition > 0 AND StrategyProfit <> StrategyProfit[1] then ThursdayLossesJPY = DiffEntryExitJPY DiffEntryExitJPY = 0 LastDayCountOfPosition = 0 ThursdayLosingTrades = ThursdayLosingTrades + 1 endif if StrategyProfit < StrategyProfit[1] AND LastDayCountOfPosition = 0 then ThursdayLossesJPY = ThursdayLossesJPY + (StrategyProfit[1] - StrategyProfit) ThursdayLosingTrades = ThursdayLosingTrades + 1 endif ENDIF IF MyFridayPeriod THEN if LastDayCountOfPosition > 0 AND StrategyProfit <> StrategyProfit[1] then FridayLossesJPY = DiffEntryExitJPY DiffEntryExitJPY = 0 LastDayCountOfPosition = 0 FridayLosingTrades = FridayLosingTrades + 1 endif if StrategyProfit < StrategyProfit[1] AND LastDayCountOfPosition = 0 then FridayLossesJPY = FridayLossesJPY + (StrategyProfit[1] - StrategyProfit) FridayLosingTrades = FridayLosingTrades + 1 endif ENDIF MondayLossesEuro = MondayLossesJPY / MedianPriceJPY TuesdayLossesEuro = TuesdayLossesJPY / MedianPriceJPY WednesdayLossesEuro = WednesdayLossesJPY / MedianPriceJPY ThursdayLossesEuro = ThursdayLossesJPY / MedianPriceJPY FridayLossesEuro = FridayLossesJPY / MedianPriceJPY WeekLossesJPY = MondayLossesJPY + TuesdayLossesJPY + WednesdayLossesJPY + ThursdayLossesJPY + FridayLossesJPY // Pc WeekLossesEuro = WeekLossesJPY/ MedianPriceJPY WeekLosingTrades = MondayLosingTrades+TuesdayLosingTrades+WednesdayLosingTrades+ThursdayLosingTrades+FridayLosingTrades IF MyMondayPeriod THEN DayLossesEuro = MondayLossesEuro ENDIF IF MyTuesdayPeriod THEN DayLossesEuro = TuesdayLossesEuro ENDIF IF MyWednesdayPeriod THEN DayLossesEuro = WednesdayLossesEuro ENDIF IF MyThursdayPeriod THEN DayLossesEuro = ThursdayLossesEuro ENDIF IF MyFridayPeriod THEN DayLossesEuro = FridayLossesEuro ENDIF IF DayOfWeek = 0 THEN MondayLossesJPY = 0 TuesdayLossesJPY = 0 WednesdayLossesJPY = 0 ThursdayLossesJPY = 0 FridayLossesJPY = 0 MondayLosingTrades = 0 TuesdayLosingTrades = 0 WednesdayLosingTrades = 0 ThursdayLosingTrades = 0 FridayLosingTrades = 0 WeekLosingTrades = 0 ENDIF //#******************************************************************# //# Long Condition Signals # //#******************************************************************# TradingTimeCondition = (Time >= 080500 AND Time <= 200000 AND DayOfWeek < 5) OR (Time >= 080500 AND Time < 170000 AND DayOfWeek = 5) // Tc C1 = TradingTimeCondition LongSignal = Close Crosses Over yH C2 = LongSignal IF LongSignal Then // Lc FirstSL = yH - (((yH-yL)/100)*PercentOfBoxSL) // Hc LastFirstSL = FirstSL ENDIF IF Time = 080500 AND CountOfPOsition >= 1 THEN // Condition to force the first purchase even if we are in position since yesterday NotOnMArket = 1 ENDIF C3 = NotOnMArket C4 = CountOfPurchase < MaxBuyPerDay C5 = CountOfLongShares < MaxBuyShare DayLostCondition = DayLossesEuro < MaxLostPerDay // Jc & Z7 C6 = DayLostCondition WeekLostCondition = WeekLossesEuro < MaxLostPerWeek // Qc C7 = WeekLostCondition LongSignalAllCondition = C1 AND C2 AND C3 AND C4 AND C5 AND C6 AND C7 IF LongSignalAllCondition THEN Buy N Contract AT Market SET STOP PRICE FirstSL ENDIF IF LongSignalAllCondition [1] AND NotOnMArket[1] AND CountOfPosition > 0 THEN // can be improved ? NotOnMArket = 0 ENDIF IF (OnMarket AND Not OnMarket[1]) OR (ABS(CountOfPosition) > ABS(CountOfPosition[1])) THEN // Wc // // can be improved ? CountOfPurchase = CountOfPurchase + 1 ENDIF //#******************************************************************# //# Trailing & BreakEven & Range Stop Loss & MFE # //#******************************************************************# Once trailingstart = 140 // Trailing start after X pips profit Once trailingstep = 10 // Trailing step to move the "stoploss" Once StartBERatio = 5 // BE Start for the hole position when the RR(FirstSL) = 5 Once StartBreakRangePercent = 20 // Close > Last entry + 20% of the Tokyo Box Once PointsToKeep = 2*Spread // Spread to add to BE price Once TRAILINGMFE = 20 // Trailing stop with the Max Favorable Excursion // Trailing if TrailinStop > 0 then // Needs to be improved IF NOT ONMARKET THEN NewSL=0 ENDIF IF LONGONMARKET THEN // Trailing Start IF NewSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN NewSL = tradeprice(1)+trailingstep*pipsize ENDIF // Trailing Step Move IF NewSL>0 AND close-NewSL>=trailingstep*pipsize THEN NewSL = NewSL+trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF NewSL>0 THEN SELL AT NewSL STOP ENDIF endif // Range Stop Loss if BreakRange > 0 then // Fc IF Not OnMarket THEN BreakRangeLevel = 0 ENDIF IF LongOnMarket THEN BreakRangeMath = TradePrice + (((yH-yL)/100)*StartBreakRangePercent) ENDIF IF LongOnMarket AND Close Crosses Over BreakRangeMath THEN // Z1 BreakRangeLevel = yH - 2*Pipsize // Gc //FirstSL = 0 ENDIF IF BreakRangeLevel > 0 THEN //Z8 SELL AT BreakRangeLevel STOP ENDIF endif // BreakEven Stop Loss if BreakEaven>0 then IF Not OnMarket THEN BreakEvenLevel = 0 ENDIF yHplusFirstSL = yH + (StartBERatio*(yH-LastFirstSL)) IF LongOnMarket AND Close Crosses Over yHplusFirstSL THEN BreakEvenLevel = TradePrice + PointsToKeep*pipsize ENDIF IF BreakEvenLevel > 0 THEN SELL AT BreakEvenLevel STOP ENDIF endif if MFE > 0 then // Needs to be improved if not onmarket then MAXPRICEMFE = 0 MINPRICEMFE = close priceexitMFE = 0 endif if longonmarket then MAXPRICEMFE = MAX(MAXPRICEMFE,close) //saving the MFE of the current trade if MAXPRICEMFE-tradeprice(1)>=TRAILINGMFE*pointsize then //if the MFE is higher than the trailingstop then priceexitMFE = MAXPRICEMFE-TRAILINGMFE*pointsize //set the exit price at the MFE - trailing stop price level endif endif if onmarket and priceexitMFE>0 then SELL AT priceexitMFE STOP endif endif //#******************************************************************# //# Graph # //#******************************************************************# // Blue Azur (0, 127, 255) & Maya (115, 194, 251) // Green Sinople (20, 148, 20) & IF 0 THEN Graph MyMondayPeriod AS "My Monday Period" Coloured (20, 0, 20) Graph MyTuesdayPeriod AS "My Tuesday Period" Coloured (148, 10, 20) Graph MyWednesdayPeriod AS "My Wednesday Period" Coloured (5, 148, 2) Graph MyThursdayPeriod AS "My Thursday Period" Coloured (20, 18, 20) Graph MyFridayPeriod AS "My Friday Period" Coloured (20, 0, 220) ENDIF IF 0 THEN Graph MondayLossesJPY AS "Day-1 Losses ¥ / Monday" Coloured (20, 0, 20) Graph TuesdayLossesJPY AS "Day-2 Losses ¥ / Tuesday" Coloured (148, 10, 20) Graph WednesdayLossesJPY AS "Day-3 Losses ¥ / Wednesday" Coloured (5, 148, 2) Graph ThursdayLossesJPY AS "Day-4 Losses ¥ / Thursday" Coloured (20, 18, 20) Graph FridayLossesJPY AS "Day-5 Losses ¥ / Friday" Coloured (20, 0, 220) Graph WeekLossesJPY AS "All Week Losses ¥ / Week" ENDIF IF 1 THEN Graph MondayLossesEuro AS "Day-1 Losses € / Monday" Coloured (20, 0, 20) Graph TuesdayLossesEuro AS "Day-2 Losses € / Tuesday" Coloured (148, 10, 20) Graph WednesdayLossesEuro AS "Day-3 Losses € / Wednesday" Coloured (5, 148, 2) Graph ThursdayLossesEuro AS "Day-4 Losses € / Thursday" Coloured (20, 18, 20) Graph FridayLossesEuro AS "Day-5 Losses € / Friday" Coloured (20, 0, 220) Graph WeekLossesEuro AS "All Week Losses € / Week" ENDIF IF 0 THEN Graph MondayLosingTrades Coloured (20, 0, 20) Graph TuesdayLosingTrades Coloured (148, 10, 20) Graph WednesdayLosingTrades Coloured (5, 148, 2) Graph ThursdayLosingTrades Coloured (20, 18, 20) Graph FridayLosingTrades Coloured (20, 0, 220) Graph WeekLosingTrades ENDIF //#******************************************************************# //# Stop Strategy # //#******************************************************************# if QuitStrategy then IF 1 THEN // Nc & Z9 if (StrategyProfit / MedianPrice) < MaxLostPerMonth*(-1) then Quit endif ENDIF IF 0 Then // Needs to be improved MaxDrawDownPercentage = 10 // Max DrawDown of x% Equity = Capital + StrategyProfit HighestEquity = Max (HighestEquity,Equity) // Save the Maximum Equity we got MaxDrawdown = HighestEquity * (MaxDrawDownPercentage/100) ExitFromMarketCond = Equity <= HighestEquity - MaxDrawdown IF ExitFromMarketCond Then Quit ENDIF ENDIF endif //#******************************************************************# //# Hello ToTo # //#******************************************************************# // _ _ _ _ _______ _______ // | | | | | | | |__ __|__ __| // | |__| | ___| | | ___ | | ___ | | ___ // | __ |/ _ \ | |/ _ \ | |/ _ \| |/ _ \ // | | | | __/ | | (_) | | | (_) | | (_) | // |_| |_|\___|_|_|\___/ |_|\___/|_|\___/ // GMT : 00H ================== 6H / UTC // Tokyo : 09H ================== 15H / UTC + 9 / JST (Japan Standard Time) // Paris : 02H ================== 8H / UTC + 2 / DST (Daylight Saving Time) // Paris : 01H ================== 7H / UTC + 1 / Winter // London : 01H ================== 7H / UTC + 1 / DST (Daylight Saving Time) // London : 00H ================== 6H / UTC + 0 / Winter
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 03/24/2023 |
| Status: | Active |
| Attachments: | 39 files |
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