EURUSD Morning Entry V1

• 06/15/2019 at 1:26 PM #100742
  Paul

  Found that if you don’t use breakeven, and use this version, you don’t have to use a profit-target too.

  Payout is higher, the only cost is a slightly higher drawdown. Equity-curve is about the same.

  Much quicker calculations!

  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000 positionsize=5 if intradaybarindex=0 then flag=0 endif if time=140000 then level=highest[2](low)[1] endif bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd) c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1] if c1 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market endif pp=positionperf(0)*100 if shortonmarket and time=141500 and pp<0.30 then exitshort at market else if time> 141500 and pp>0.40 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif SET STOP %LOSS 0.4 //SET TARGET %profit 1

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  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000   positionsize=5   if intradaybarindex=0 then flag=0 endif   if time=140000 then level=highest[2](low)[1] endif   bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd)   c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1]     if c1 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market endif   pp=positionperf(0)*100   if shortonmarket and time=141500 and pp<0.30 then exitshort at market else if time> 141500 and pp>0.40 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif   SET STOP %LOSS 0.4 //SET TARGET %profit 1

   

  

  Paul

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  06/15/2019 at 6:54 PM #100764
  Paul

  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000 positionsize=5 if intradaybarindex=0 then flag=0 endif if time=140000 then level=highest[2](low)[1] endif bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd) c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1] if c1 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market endif pp=positionperf(0)*100 if shortonmarket and time=141500 and pp<0.40 and low>bd then exitshort at market else if time> 141500 and pp>=0.15 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif SET STOP %LOSS 0.4 set TARGET %profit 1.5 graph pp

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  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 200000   positionsize=5   if intradaybarindex=0 then flag=0 endif   if time=140000 then level=highest[2](low)[1] endif   bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd)   c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1]   if c1 and c3 and c4 and c5 and time<130000 THEN sellshort positionsize contract at market endif   pp=positionperf(0)*100   if shortonmarket and time=141500 and pp<0.40 and low>bd then exitshort at market else if time> 141500 and pp>=0.15 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif   SET STOP %LOSS 0.4 set TARGET %profit 1.5   graph pp

  Use of bollingerbands is working very nicely

  

  Paul

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  06/16/2019 at 10:42 AM #100786
  GraHal

  For your convenience … attached is a screen shot of the differences between the above 2 version of code.

  Keep ’em coming Paul.

  Thank you for sharing.

  

  GraHal

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  06/16/2019 at 2:52 PM #100803
  jebus89

  @stefou102 @stefou102 Have u seen a difference using market vs limit orders? Whats your preference and why?

  

  jebus89

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  06/16/2019 at 3:13 PM #100805
  Lifen

  Hello,

  I modify the Flatafter time to 180000 and the sellshort time condition < 124500 instead of 130000

   

  

  Lifen

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  06/16/2019 at 5:00 PM #100809
  Lifen

  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 180000 positionsize=1 if intradaybarindex=0 then flag=0 endif if time=140000 then level=highest[2](low)[1] endif bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd) c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1] if c1 and c3 and c4 and c5 and time<124500 THEN sellshort positionsize contract at market endif pp=positionperf(0)*100 if shortonmarket and time=141500 and pp<0.40 and low>bd then exitshort at market else if time> 141500 and pp>=0.15 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif SET STOP %LOSS 0.4 set TARGET %profit 1.5

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  //EURUSD 15M Morning Entry //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 100000 DEFPARAM FLATAFTER = 180000   positionsize=1   if intradaybarindex=0 then flag=0 endif   if time=140000 then level=highest[2](low)[1] endif   bu= BollingerUp[20](close) bd= BollingerDown[20](close) ba= (bu+bd)/2 br= (bu-bd)   c1= close < dopen(0) c3= level > max(dlow(1),dlow(2)) //dlow(1) and level > dlow(2) (same result) c4= (dclose(1)-dopen(1))/dopen(1)*100<0.65 c5= ba<ba[1] or high > bu[1]   if c1 and c3 and c4 and c5 and time<124500 THEN sellshort positionsize contract at market endif   pp=positionperf(0)*100   if shortonmarket and time=141500 and pp<0.40 and low>bd then exitshort at market else if time> 141500 and pp>=0.15 then flag=1 endif if flag=1 and br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4] then exitshort at market endif endif   SET STOP %LOSS 0.4 set TARGET %profit 1.5

   

  

  Lifen

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  06/16/2019 at 6:18 PM #100812
  Vonasi

  Lifen – Please use the ‘Insert PRT Code’ button when posting code as it makes it much easier for others to read. I have tidied up your last post for you. 🙂

  

  Vonasi

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  06/16/2019 at 6:28 PM #100814
  robertogozzi

  It looks like you did not use the tick-by-tick mode, since 8-year data history for a 15-minute TF is way too much.

  I suggest that you tick that box and backtest again.

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  Inertia

  

  robertogozzi

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  06/16/2019 at 8:15 PM #100820
  Lifen

  Vonasi : Thanks for your help, well noted for next time

  Robertogozzi : the strategy has been tested in “tick by tick”, 200kbars and spread 1

  

  Lifen

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  06/17/2019 at 11:08 AM #100873
  Barney

   

   

  Robertogozzi: This is 200k with “Tick by Tick”

  i have 8 Year history data on 15 min TF.

   

  But i do not have same profit as “Liften” with size 1 contract.

  

  Barney

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  06/17/2019 at 11:50 AM #100877
  Paul

  @Barney Your are looking a the the eurusd mini, Lifen at the eurusd.

  

  Paul

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  06/17/2019 at 12:21 PM #100878
  Paul

  Hi, I got a few questions.

  1st.

  I’am a bit unsure about the tick-by-tick box. It doesn’t make a difference if it’s checked or not, even when you select 25 units of 15 min to display.

  If it doesn’t take tick-by-tick into account when backtesting, when using a conditions with close as parameter it’s useless because that changes throughout the bar in live trading and so it can flip-flop during 15 minutes?

  If that’s the case; open, high and low are usable as condition without tick-by-tick data?

   

  2nd;

  If using not onmarket or to check if shortonmarket, it slows backtesting down.

  The end-result in backtesting is the same when used or not.

  That’s mainly because of cumulateorders=false.

  So I believe it’s not needed to check the condition of the market when live trading the way it’s coded now. Is that correct?

   

  Thanks.

   

  last thing though

  The position-performance was included before, but it didn’t seem necessary for the end result.

  I removed it and got rid of 2 values which normally would be optimised.

  Flat-after time decides a bit the drawdown between

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  Paul

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  06/18/2019 at 9:45 PM #100981
  Magifina

  Hi Paul,

  I don’t have the answer to your questions but I have made a few test with your strategy.

  My conclusions:
  – Shorts are performant because since 2008 EURUSD is in a long bearish tendency. Strategy is less performant in bullish trends like in 2017.
  – On your last screenshot we can see that annual performance is decreasing. Maybe it is a sign that the bearish tendency is slowly ending.
  – The trading hours impacts a lot the strategy performances. For short trades 10 to 14 seems the best period. For long trades I got interesting results between 18 to 20 or between 23 to 5 o clock (with increasing night cost!)
  – During Ranges or Uptrends the equity curve is flat during long periods. Condition c5 with Bollinger Bands seems to improve performances. Testing another volatility indicator may do better.
  – Condition c1 and c2 don’t improve performance.

   

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  Magifina

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  06/19/2019 at 12:36 AM #100989
  Paul

  @Magifina Yeah it works less in a bullish market, but still profitable.

  But this year is on track for a good result. Only halve way yet!

   

  I tried to find for long trades the best times and started blank.

  My finding after optimising the best time to go long is at 14u sharp and close at 21u. (flexible)

  Optimised a few conditions. Quickly got result worth digging further. No BB yet.

  //EURUSD 15M Afternoon Entry LONG //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 140000 DEFPARAM FLATAFTER = 210000 c1= dopen(0) > dclose(1) c2= dopen(1) > high if time=140000 and c1 and c2 THEN buy 5 contract at market endif //if time = x then //sell at market //endif SET STOP %LOSS 0.5

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  //EURUSD 15M Afternoon Entry LONG //15 MIN DEFPARAM CUMULATEORDERS = false DEFPARAM FLATBEFORE = 140000 DEFPARAM FLATAFTER = 210000   c1= dopen(0) > dclose(1) c2= dopen(1) > high   if time=140000 and c1 and c2 THEN buy 5 contract at market endif   //if time = x then //sell at market //endif     SET STOP %LOSS 0.5

   

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  winnie37, Magifina, stefou102, GraHal

  

  Paul

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  06/19/2019 at 5:11 PM #101065
  stefou102

  didn’t had the time to come back, because I’m busy with coding a DB/DT indicator, but will look at improving further the strat asap

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  stefou102

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