Gann Market Model Short Term Correction strategy / M1 TIMEFRAME
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Thanks Odin sharing you strategy:
I made some tests with M1 timeframe and DAX and results are interesting.
Main modifications:
- Average periods are différents.
- Adding a stoploss.
- Exit if C10 = 1 instead of 2.
- Open trade during open market.
- Exit at 10pm.
- No trade friday.
- No gain reinvesting.
First tests with long strategy and have to test short trades.
Regards.
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert n = 1 //short term a1= ExponentialAverage[5](high)[1] b1=ExponentialAverage[5](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= -1 then D1 = a1 ELSE D1=b1 endif a2= ExponentialAverage[130](high)[1] b2=ExponentialAverage[130](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= -1 then D2 = a2 ELSE D2=b2 endif a3= ExponentialAverage[200](high)[1] b3= ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= -1 then D3 = a3 ELSE D3=b3 endif if D1 < close then result = 1 else result = 0 endif if D2 < close then result1 = 1 else result1 = 0 endif if D3 < close then result2 = 1 else result2 = 0 endif c10 = (result+result1+result2) // Bedingungen zum Einstieg in Long-Positionen IF c10 > 2 and time >= 091500 and time < 173100 AND DAYOFWEEK <> 5 THEN BUY n shares AT MARKET ENDIF // Bedingungen zum Ausstieg von Long-Positionen IF c10 < 2 or time >220000 THEN SELL AT MARKET ENDIF SET STOP LOSS 15Nicolas thanked this postAnd herewith the cod for short trades.
I have only inverse the strategy and changed the stop loss value.
I you have ideas to improve the strategy let me know.
// Festlegen der Code-Parameter DEFPARAM CumulateOrders = False // Kumulieren von Positionen deaktiviert n = 1 //short term a1= ExponentialAverage[4](high)[1] b1=ExponentialAverage[4](low)[1] if customclose > a1 then c1 = 1 Else IF customclose < b1 then c1=-1 endif ENDIF if c1= 1 then D1 = b1 ELSE D1=a1 endif a2= ExponentialAverage[130](high)[1] b2=ExponentialAverage[13O](low)[1] if customclose > a2 then c2 = 1 Else IF customclose < b2 then c2=-1 endif ENDIF if c2= 1 then D2 = b2 ELSE D2=a2 endif a3= ExponentialAverage[200](high)[1] b3= ExponentialAverage[200](low)[1] if customclose > a3 then c3 = 1 Else IF customclose < b3 then c3=-1 endif ENDIF if c3= 1 then D3 = b3 ELSE D3=a3 endif if D1 > close then result = 1 else result = 0 endif if D2 > close then result1 = 1 else result1 = 0 endif if D3 > close then result2 = 1 else result2 = 0 endif c10 = (result+result1+result2) // Bedingungen zum Einstieg in Long-Positionen IF c10 > 2 and time >= 091500 and time < 173100 AND DAYOFWEEK <> 5 THEN SELLSHORT n shares AT MARKET ENDIF // Bedingungen zum Ausstieg von Long-Positionen IF c10 < 1 or time >220000 THEN EXITSHORT AT MARKET ENDIF SET STOP LOSS 20Regards.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 07/16/2018 |
| Status: | Active |
| Attachments: | 4 files |
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