The issue seems to happen only on TF involving seconds (1 or 10-second TF’s), probably because in a day there are more than 10000 bars of 1 seconds, so it cannot calculate correctly something.
It doesn’t occur on 1-minute TF and greater.
But if I launch it today, the today’s daily pp won’t be good but would it be good from tomorrow as the system would be running?
Otherwise do you have any other suggestions?
Thanks!
It’s weird that if a day has more than 10K bars, why does the code suggested by Nicolas work:
DEFPARAM PRELOADBARS = 3000
DEFPARAM CumulateOrders = False
Ht = DHigh(1)
Bs = DLow(1)
C = DClose(1)
Pivot = (Ht + Bs + C) / 3
buy at -Pivot LIMIT
?
It shouldn’t because it needs more than 10K 1-second bars to compute the Daily PIVOT!
I’m in 10 seconds and not 1 second. With this code I get a daily pp at 12787 instead of 12770,6 in real
Try with:
IF openday<>openday[1] THEN
PlusHaut = High
PlusBas = Low
PP = (PlusHaut[1] + PlusBas[1] + Close[1]) / 3
Premierpassage=0
ELSE
PlusHaut = Max(High,PlusHaut[1])
PlusBas = Min(Low,PlusBas[1])
ENDIF
or
IF intradaybarindex=0 THEN
PlusHaut = High
PlusBas = Low
PP = (PlusHaut[1] + PlusBas[1] + Close[1]) / 3
Premierpassage=0
ELSE
PlusHaut = Max(High,PlusHaut[1])
PlusBas = Min(Low,PlusBas[1])
ENDIF
With the second option it perfectly works! Thank you so much @Nicolas! I hope one day I’ll be able to get half of your knowledge..! 😀
I just have another question regarding the following code. I don’t get any error but the calculation of the PP month isn’t right when I implement it in real. Do you have suggestions?
@Nicolas, any magic tricks? 😀
Thanks!
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
DEFPARAM Preloadbars = 5000
// Cumul des positions désactivé
DEFPARAM CumulateOrders = False
//************************************************************************
//Horaires de trading
// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
DEFPARAM FLATBEFORE = 080000
// Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
DEFPARAM FLATAFTER = 170000
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée
noEntryAfterTime = 170000
timeEnterAfter = time < noEntryAfterTime
// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
//************************************************************************
IF OpenMonth <> OpenMonth[1] THEN
myLastHigh = myHigh
myLastLow = myLow
myLastClose = Close[1]
myHigh = High
myLow = Low
Premierpassage=0
ELSE
myHigh = Max(myHigh, High)
myLow = Min(myLow, Low)
ENDIF
pp = (myLastHigh + myLastLow + myLastClose) / 3
//************************************************************************
// Conditions pour ouvrir une position acheteuse
c1 = (close CROSSES UNDER pp)
IF c1 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
BUY 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
// Conditions pour ouvrir une position en vente à découvert
c2 = (close CROSSES OVER pp)
IF c2 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
SELLSHORT 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
//************************************************************************
//trailing stop function
trailingstart = 15 //trailing will start @trailinstart points profit
trailingstep = 5 //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 THEN
newSL = tradeprice(1)+trailingstep
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep THEN
newSL = newSL+trailingstep
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN
newSL = tradeprice(1)-trailingstep
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep THEN
newSL = newSL-trailingstep
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
Wether I write
DEFPARAM Preloadbars = 10000 or DEFPARAM Preloadbars = 0
I still got the Month pp at 12688 instead of 12842..
Depends of the timeframe, but 10.000 bars might not be enough to calculate correctly the monthly high/low/close at start of the strategy. I suggest you use an higher timeframe only for this part, in order to compute the monthly pivot points correctly.
I tried but the monthly pp is not correct it’s something like 8550 which is completely out as it should be 12859..
I’m sure I’ve done a stupid mistake but I can’t figure out where…! Moreover I can’t write “Premierpassage=0” in this part as it doesn’t accept to be modify in another UT and I don’t know how to solve it..:
ELSE
myHigh = Max(myHigh, High)
myLow = Min(myLow, Low)
Premierpassage=0
ENDIF
Thanks so much for your help @Nicolas
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
DEFPARAM Preloadbars = 10000
// Cumul des positions désactivé
DEFPARAM CumulateOrders = False
//************************************************************************
//Horaires de trading
// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
DEFPARAM FLATBEFORE = 080000
// Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
DEFPARAM FLATAFTER = 170000
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée
noEntryAfterTime = 170000
timeEnterAfter = time < noEntryAfterTime
// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
//************************************************************************
timeframe(20 minutes,updateonclose)
IF OpenMonth <> OpenMonth[1] THEN
myLastHigh = myHigh
myLastLow = myLow
myLastClose = Close[1]
myHigh = High
myLow = Low
ELSE
myHigh = Max(myHigh, High)
myLow = Min(myLow, Low)
ENDIF
pp = (myLastHigh + myLastLow + myLastClose) / 3
//************************************************************************
timeframe(default)
// Conditions pour ouvrir une position acheteuse
c1 = (close CROSSES UNDER pp)
IF c1 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
BUY 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
// Conditions pour ouvrir une position en vente à découvert
c2 = (close CROSSES OVER pp)
IF c2 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
SELLSHORT 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
//************************************************************************
//trailing stop function
trailingstart = 15 //trailing will start @trailinstart points profit
trailingstep = 5 //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 THEN
newSL = tradeprice(1)+trailingstep
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep THEN
newSL = newSL+trailingstep
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN
newSL = tradeprice(1)-trailingstep
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep THEN
newSL = newSL-trailingstep
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
graph pp as "pp"
and with:
timeframe(daily,updateonclose)
Hello Nicolas,
Thank you for your answer!
Here’s what I’ve done.
Do you spt any mistakes?
Cheers 🙂
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Code principal : MonSystème
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Code principal : PPM avec trailing stop
//-------------------------------------------------------------------------
DEFPARAM Preloadbars = 10000
// Cumul des positions désactivé
DEFPARAM CumulateOrders = False
//************************************************************************
//Horaires de trading
// Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE".
DEFPARAM FLATBEFORE = 080000
// Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER"
DEFPARAM FLATAFTER = 170000
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée
noEntryBeforeTime = 080000
timeEnterBefore = time >= noEntryBeforeTime
// Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée
noEntryAfterTime = 170000
timeEnterAfter = time < noEntryAfterTime
// Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés
daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
//************************************************************************
timeframe(5 minutes,updateonclose)
If Month<>Month[1] then
monthlyHigh = Highest[BarIndex - lastMonthBarIndex](High)[1]
monthlyLow = Lowest[BarIndex - lastMonthBarIndex](Low)[1]
lastMonthBarIndex = BarIndex
pp = (monthlyHigh + monthlyLow + Close[1]) / 3
endif
timeframe(default)
If Month<>Month[1] then
Premierpassage=0
Endif
//************************************************************************
// Conditions pour ouvrir une position acheteuse
c1 = (close CROSSES UNDER pp)
IF c1 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
BUY 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
// Conditions pour ouvrir une position en vente à découvert
c2 = (close CROSSES OVER pp)
IF c2 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN
SELLSHORT 1 CONTRACT AT MARKET
Premierpassage=1
SET STOP pLOSS 55
ENDIF
//************************************************************************
//trailing stop function
trailingstart = 15 //trailing will start @trailinstart points profit
trailingstep = 5 //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 THEN
newSL = tradeprice(1)+trailingstep
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep THEN
newSL = newSL+trailingstep
ENDIF
ENDIF
//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN
newSL = tradeprice(1)-trailingstep
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep THEN
newSL = newSL-trailingstep
ENDIF
ENDIF
//stop order to exit the positions
IF newSL>0 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
