FX/Dax Trading Strategy

• 01/30/2020 at 1:13 PM #118272
  jays1

  FX Trading Strategy Code

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //Condition To Ensure That Only One Transaction Can Happen Per Bar – for example on any 30 min bar this condition is meant to stop the exit of a Long AND an initiation of a Short during the same 30 min period. Not fully convinced if this is coded correctly for this purpose. ONCE BarCount = 0 ONCE TradeON = 1 //1=trading allowed 0=trading disbaled IF LongOnMarket OR ShortOnMarket AND Not LongOnMarket[1] AND Not ShortOnMarket[1] THEN TradeON = 0 //disable trading BarCount = 0 //reset counter ENDIF IF Not LongOnMarket And Not ShortOnMarket THEN //Increase counter when not on market BarCount = BarCount + 1 ENDIF IF BarCount > 1 THEN TradeON = 1 ENDIF // Conditions to enter long positions c1 = (close < open) IF c1 AND TradeON THEN BUY 1 SHARES AT MARKET ENDIF // Conditions to exit long positions c2 = (close > open) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions c3 = (close > open) IF c3 AND TradeOn THEN SELLSHORT 1 SHARES AT MARKET ENDIF // Conditions to exit short positions c4 = (close < open) IF c4 THEN EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   //Condition To Ensure That Only One Transaction Can Happen Per Bar – for example on any 30 min bar this condition is meant to stop the exit of a Long AND an initiation of a Short during the same 30 min period. Not fully convinced if this is coded correctly for this purpose. ONCE BarCount = 0 ONCE TradeON  = 1           //1=trading allowed     0=trading disbaled IF LongOnMarket OR ShortOnMarket AND Not LongOnMarket[1] AND Not ShortOnMarket[1] THEN TradeON  = 0             //disable trading BarCount = 0             //reset counter ENDIF IF Not LongOnMarket And Not ShortOnMarket THEN    //Increase counter when not on market BarCount = BarCount + 1 ENDIF IF BarCount > 1 THEN TradeON = 1 ENDIF   // Conditions to enter long positions c1 = (close < open)   IF c1 AND TradeON THEN BUY 1 SHARES AT MARKET ENDIF   // Conditions to exit long positions c2 = (close > open)   IF c2 THEN SELL AT MARKET ENDIF   // Conditions to enter short positions c3 = (close > open)   IF c3 AND TradeOn THEN SELLSHORT 1 SHARES AT MARKET ENDIF   // Conditions to exit short positions c4 = (close < open)   IF c4 THEN EXITSHORT AT MARKET ENDIF

  I’ve used this strategy on Bloomberg over 30 years of FX data (30 min bars) and it works very well and would now like to add it to PRT but am unsure of if I have coded it correctly and would very much appreciate your feedback.

  To confirm, this is what the strategy is meant to do on FX pairs with 30 min bars:

  1. Enter Long at the Next Open when the 30 min bar Closes < its Open
  2. Exit Long at the Next Open when the 30 min bar Closes > its Open
  3. Enter Short at the Next Open when the 30 min bar Closes > its Open
  4. Exit Short at the Next Open when the 30 min bar Closes < its Open

  A few questions:

  Is the code specified correctly for this Entry and Exit rules listed above ?

  Is the code correct for FX trades ? Also, how could it be modified if it was to be used on stock indices (esp. DAX)?

  Critically of all, is the “timer” condition I have specified at the top of the code correct (I doubt it). Effectively, the strategy I wish to add to PRT should only allow one transaction per 30 min bar (so for example, if a bar closes>open, on the next bar, the strategy should EITHER Exit a Long (if one exists) OR Enter a Short (but not both exit a long and enter a short at the same time).

  Thank you very much in advance for your help.

  

  jays1

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  01/30/2020 at 2:32 PM #118275
  robertogozzi

  Replace lines 19-44 with:

  c1 = (close < open) c2 = (close > open) IF c1 AND TradeON THEN If ShortOnMarket Then EXITSHORT AT MARKET Elsif not LongOnMarket Then BUY 1 SHARES AT MARKET ENDIF ENDIF IF c2 AND TradeON THEN If LongOnMarket Then SELL AT MARKET Elsif not ShortOnMarket Then SELLSHORT 1 SHARES AT MARKET ENDIF ENDIF

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  c1 = (close < open) c2 = (close > open) IF c1 AND TradeON THEN    If ShortOnMarket Then       EXITSHORT AT MARKET    Elsif not LongOnMarket Then       BUY 1 SHARES AT MARKET    ENDIF ENDIF IF c2 AND TradeON THEN    If LongOnMarket Then       SELL AT MARKET    Elsif not ShortOnMarket Then       SELLSHORT 1 SHARES AT MARKET    ENDIF ENDIF

  The use of BarCount is useful if you use multiple and lower TFs. On a 30-minute TF no more than 1 trade can occur on the same bar.

   

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  jays1

  

  robertogozzi

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  01/30/2020 at 4:17 PM #118283
  jays1

  Thank you Roberto, really appreciate your help.

  

  jays1

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  01/30/2020 at 5:13 PM #118286
  robertogozzi

  Actually my code is logically incorrect, since it does not allow closing open trades when TredeON=0. While this condition should not allow to OPEN new positions, it shouldn’t forbid open positions from being CLOSEd:

  c1 = (close < open) c2 = (close > open) IF c1 THEN If ShortOnMarket Then EXITSHORT AT MARKET Elsif not LongOnMarket AND TradeON Then BUY 1 SHARES AT MARKET ENDIF ENDIF IF c2 THEN If LongOnMarket Then SELL AT MARKET Elsif not ShortOnMarket AND TradeON Then SELLSHORT 1 SHARES AT MARKET ENDIF ENDIF

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  c1 = (close < open) c2 = (close > open) IF c1 THEN    If ShortOnMarket Then       EXITSHORT AT MARKET    Elsif not LongOnMarket AND TradeON Then       BUY 1 SHARES AT MARKET    ENDIF ENDIF IF c2 THEN    If LongOnMarket Then       SELL AT MARKET    Elsif not ShortOnMarket AND TradeON Then       SELLSHORT 1 SHARES AT MARKET    ENDIF ENDIF

   

  

  robertogozzi

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