EURUSD 15 min algo

• 12/26/2019 at 3:06 PM #115470
  Stefanb

  Found a EURUSD algo which I modified a bit.

  It only takes short positions.

  EURUSD 15 min Spread=1

  Opitmized to 2018

  // EURUSD 15 min DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000 positionsize=1 if time=140000 then level=highest[2](low)[1] endif // c1= close < dopen(0) c2= high< dhigh(1) c3= level > dlow(1) and level > dlow(2) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 ba= average[20](close) dst = STD[20](close) Bu = ba + (2 * dst) c5= ba<ba[1] or high > bu if c1 and c2 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market endif if shortonmarket and time=141500 and positionperf(0)*100<0.3 then exitshort at market endif //trailing stop trailingstop = 30 StartTrailingStopValue = 2 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-close > StartTrailingStopValue*pointsize then if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if close-tradeprice(1) > StartTrailingStopValue*pointsize then if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  // EURUSD 15 min DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000   positionsize=1   if time=140000 then level=highest[2](low)[1] endif // c1= close < dopen(0) c2= high< dhigh(1) c3= level > dlow(1) and level > dlow(2) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65   ba= average[20](close) dst = STD[20](close) Bu = ba + (2 * dst)       c5= ba<ba[1] or high > bu     if c1 and c2 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market   endif     if shortonmarket and time=141500 and positionperf(0)*100<0.3 then exitshort at market   endif     //trailing stop trailingstop = 30 StartTrailingStopValue = 2 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-close > StartTrailingStopValue*pointsize then if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if close-tradeprice(1) > StartTrailingStopValue*pointsize then if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

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  Paul

  

  Stefanb

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  12/27/2019 at 12:00 AM #115479
  deletedaccount100622

  Hi Stefan

  thanks for posting the code

  I only have 100k bars but on my system it looks like the 15 minute outperforms on the first half of the year (no idea why)

  I had a look at the 30 Minute chart that has a nice consistent trend, tested at 0.6 points as this is what I trade with on IG.com

  Have you checked out the 30 minute timeframe? How does it look with 200k bars?

  Thanks

  Ruark

  

  deletedaccount100622

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  12/27/2019 at 9:27 AM #115484
  Stefanb

  @Ruark

  30 min 200k

  

  Stefanb

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  12/27/2019 at 10:16 AM #115486
  GraHal

  Robo did you reset times for UK UTC+0 as Stefan is on UTC+1?

  

  GraHal

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  12/27/2019 at 11:22 AM #115490
  deletedaccount100622

  Hi Graham

  no I didn’t actually thanks for reminding me, with regards to a similar topic of day light savings time. Do you guys tend to use a different system or embed the change of timings for say a US based system?

  

  deletedaccount100622

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  12/27/2019 at 11:42 AM #115491
  GraHal

  Robo Futures Trader wrote:

  Do you guys tend to use a different system or embed the change of timings for say a US based system?

  I do neither! 🙂

  I let the Systems run and they are out of sync by 1 hour for a few weeks until USA and EU align back again to the time difference (UTC -5, UTC +1 etc) when UK was on UTC +1 Summer Time.

  Mmm but what if I develop a System in the winter when UK is on UTC+0  … need to think this one out! 🙂

  

  GraHal

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  12/27/2019 at 11:53 AM #115492
  GraHal

  It would be very very useful if each Member had their Timezone / Time Standard (in UTC + or – variance) against their Profile info which shows on each message they post.

  I am forever googling Flags then googling what UTC + or – is correct for that Flag etc.

  It could be that a lot of folks don’t bother or don’t remember and so they get different performance than the OP shows for their Systems etc??

  Would above be a lot of work for you @Nicolas?

  I know … I’ll check if there is a Flag to UTC Chart available that I can print out as a handy reference!?

  PS Can’t find one … does anybody use anything similar?

  What do you do … google the flag then google for the respective UTC variant?? 🙁

  

  GraHal

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  12/27/2019 at 12:15 PM #115495
  GraHal

  Just had another thought … how do we even know what Time Standard a Poster has his / her Platform set at!? They may not even be operating at their native UTC + or – ?

  We all need to state / comment at the top of any System posted (Screeners also?) what UTC variance the code is intended for?

  I should have posted these last 3 posts as a separate Thread.

  Mods

  Please could you move my last 3 posts to a separate Thread titled …

  Declaring UTC Variance in System Codes

  or a better title if you can think of one?

  

  GraHal

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  01/06/2020 at 11:07 AM #116013
  Nicolas

  You are right GraHal, that would be better if everyone have this habit.. A better idea would be to display the UTC used directly on the backtest window result, I will add this feature request to my monthly list for PRT 🙂

  

  Nicolas

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