Hey traders,
Long time no speak, I have been waiting for MTF to become available but it seem to take longer and longer.
However here is an early christmas gift. The below update is fairly useful on low-medium timframes such as M15 but when using aggregating orders (of course we can stick with single orders too) we need to run it on low TF such as M1 or lower to be able to rely on our SL or BB exit since it kicks in at close of candle and too much can happen during a M15 candle and cause much larger losses during the 15 minutes it takes for the candle too close hence I recommend setting a low maximum number of orders and monitor the system manually while it is up and running.
The update is based on Squeeze (from BB Squeeze but only the squeeze function and not the momentum) and Heiken Ashi. Squeeze need to be off (blue bar) and Heiken Ashi decide the direction of the trade either by change of color or by the current color when Squeeze changes to off (for change of color “HAC crosses over 0” and for current direction “HAC >0” for long) on line 31.
First the required indicators, HA Change;
//Heikin-Ashi
xClose = (Open+High+Low+Close)/4
if(barindex>2) then
xOpen = (xOpen[1] + xClose[1])/2
endif
changeToGreencandle = xClose>xOpen AND xClose[1]<xOpen[1]
ChangeToRedcandle = xClose<xOpen AND xClose[1]>xOpen[1]
Greencandle=xclose>xopen
redcandle=xclose<xopen
If changeToGreencandle then
Indicator1=1
elsif greencandle then
indicator1=0.5
elsif Changetoredcandle then
indicator1=-1
elsif redcandle then
indicator1=-0.5
Else
Indicator1=0
Endif
Return indicator1
And Squeeze;
// Bollinger bands
source = close
bbMa = Average[bbLength](source)
dev = bbMult * STD[bbLength](source)
bbUpper = bbMa + dev
bbLower = bbMa - dev
// Keltner channels
kcMa = Average[kcLength](source)
kcRange = TR(source)
kcMaRange = Average[kcLength](kcRange)
kcUpper = kcMa + kcMaRange * kcMult
kcLower = kcMa - kcMaRange * kcMult
// Squeeze indicator
if bbLower > kcLower and bbUpper < kcUpper then
// Squeeze on
indicator1=-1
else
// Squeeze off
indicator1=1
endif
return indicator1
The strategy for longs;
/// Definition of code parameters
defparam preloadbars =10000
DEFPARAM CumulateOrders = true // Cumulating positions deactivated
SQ= call "Squeeze"[12, 1.5, 12, 1]
HAC= call "HA Change"
once RRreached = 0
accountbalance = 10000 //account balance in money at strategy start
riskpercent = 1 //whole account risk in percent%
amount = 1 //lot amount to open each trade
rr = 1 //risk reward ratio (set to 0 disable this function)
sd = 0.25 //standard deviation of MA floating profit
//dynamic step grid
minSTEP = 20 //minimal step of the grid
maxSTEP = 50 //maximal step of the grid
ATRcurrentPeriod = 150 //recent volatility 'instant' period
ATRhistoPeriod = 3000 //historical volatility period
ATR = averagetruerange[ATRcurrentPeriod]
histoATR= highest[ATRhistoPeriod](ATR)
resultMAX = MAX(minSTEP*pipsize,histoATR - ATR)
resultMIN = MIN(resultMAX,maxSTEP*pipsize)
gridstep = (resultMIN)
// Conditions to enter long positions
c1 = (SQ > 0)
c2 = (HAC CROSSES OVER 0)
//first trade whatever condition, for one cycle only add "AND STRATEGYPROFIT=0" on lne 34
if NOT ONMARKET AND (c1)=1 AND (c2)=1 then
BUY amount LOT AT MARKET
endif
// case BUY - add orders on the same trend
if longonmarket and close-tradeprice(1)>=gridstep then
BUY amount LOT AT MARKET
endif
//money management
liveaccountbalance = accountbalance+strategyprofit
moneyrisk = (liveaccountbalance*(riskpercent/100))
if onmarket then
onepointvaluebasket = pointvalue*countofposition
mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize
endif
//floating profit
floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize
//actual trade gains
MAfloatingprofit = average[20](floatingprofit)
BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*sd
//floating profit risk reward check
if rr>0 and floatingprofit>moneyrisk*rr then
RRreached=1
endif
//stoploss trigger when risk reward ratio is not met already
if onmarket and RRreached=0 then
SELL AT positionprice-mindistancetoclose STOP
endif
//stoploss trigger when risk reward ratio has been reached
if onmarket and RRreached=1 then
if floatingprofit crosses under BBfloatingprofit then
SELL AT MARKET
endif
endif
//resetting the risk reward reached variable
if not onmarket then
RRreached = 0
endif
And shorts;
/// Definition of code parameters
defparam preloadbars =10000
DEFPARAM CumulateOrders = true // Cumulating positions deactivated
SQ= call "Squeeze"[12, 1.5, 12, 1]
HAC= call "HA Change"
once RRreached = 0
accountbalance = 10000 //account balance in money at strategy start
riskpercent = 1 //whole account risk in percent%
amount = 1 //lot amount to open each trade
rr = 2 //risk reward ratio (set to 0 disable this function)
sd = 0.25 //standard deviation of MA floating profit
//dynamic step grid
minSTEP = 20 //minimal step of the grid
maxSTEP = 50 //maximal step of the grid
ATRcurrentPeriod = 150 //recent volatility 'instant' period
ATRhistoPeriod = 3000 //historical volatility period
ATR = averagetruerange[ATRcurrentPeriod]
histoATR= highest[ATRhistoPeriod](ATR)
resultMAX = MAX(minSTEP*pipsize,histoATR - ATR)
resultMIN = MIN(resultMAX,maxSTEP*pipsize)
gridstep = (resultMIN)
// Conditions to enter short positions
c11 = (SQ > 0)
c12 = (HAC CROSSES UNDER 0)
//first trade whatever condition, for only one cycle add "AND STRATEGYPROFIT=0" on line 34
if NOT ONMARKET AND (c11)=1 AND (c12)=1 then
SELLSHORT amount LOT AT MARKET
endif
// case SELL - add orders on the same trend
if shortonmarket and tradeprice(1)-close>=gridstep then
SELLSHORT amount LOT AT MARKET
endif
//money management
liveaccountbalance = accountbalance+strategyprofit
moneyrisk = (liveaccountbalance*(riskpercent/100))
if onmarket then
onepointvaluebasket = pointvalue*countofposition
mindistancetoclose =(moneyrisk/onepointvaluebasket)*pipsize
endif
//floating profit
floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize
//actual trade gains
MAfloatingprofit = average[20](floatingprofit)
BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*sd
//floating profit risk reward check
if rr>0 and floatingprofit>moneyrisk*rr then
RRreached=1
endif
//stoploss trigger when risk reward ratio is not met already
if onmarket and RRreached=0 then
EXITSHORT AT positionprice-mindistancetoclose STOP
endif
//stoploss trigger when risk reward ratio has been reached
if onmarket and RRreached=1 then
if floatingprofit crosses under BBfloatingprofit then
EXITSHORT AT MARKET
endif
endif
//resetting the risk reward reached variable
if not onmarket then
RRreached = 0
endif
Remember to be mindful of line 34 to set or avoid recurring cycles, recurring is great for testing but risky for live trading, also note to increase most parameters if using on very low TF.
I hope you will find it useful 🙂
