Hi fellows,
I have been developing the strategy further and made some progress thanks to the new marvelous Heiken Ashi of higher timeframes indicator developed by Nicolas;
Heikin Ashi of higher timeframes (hourly TF)
The below code is intended to be run M1 TF. The HA Change indicator has been posted here on the last couple of pages. Squeeze has been substituted for Bollinger Bandwidth which is a default indicator on PRT, it has a 20 period SMA on it.
Conditions to go long are; HA Change and HA of higher TF (1) to be above zero and for BBW to be above its SMA and for the current period to be above the previous period.
Conditions to go short are opposite for HA Change and HA of higher TF but the same for BBW and its SMA.
Also note that I have set new conditions for adding on to a trade, “countofposition<3” on line 41, of course this can be removed or set at each traders discretion. BBW to be above its SMA and for the current period to be above the previous period.
Exit is set to when HA of higher TF crosses zero. This seem to have nullified the BB Exit, I would like to have both in place but can’t figure out how to code it, advice is welcome.
If Nicolas or any other skilled coder find time and manages to adapt the HA of higher TF for minutes we can easily make this strategy even better, for instance running it on M1 and use HA of higher TF for H1 as filter and M15 for entries and exits.
PS. We are only one month from this thread’s 2 year anniversary 🙂
Long;
/// Definition of code parameters
defparam preloadbars =10000
DEFPARAM CumulateOrders = true // Cumulating positions deactivated
HAC= call "HA Change"
HAH= call "PRC_Heikin Ashi higher TF"[1]
BollBW= 3*std[20](close)/WilderAverage[20](close)
BollSMA= WilderAverage[20](3*std[20](close)/WilderAverage[20](close))
once RRreached = 0
accountbalance = 10000 //account balance in money at strategy start
riskpercent = 2 //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 = 0.1 //standard deviation of MA floating profit
//dynamic step grid
minSTEP = 30 //minimal step of the grid
maxSTEP = 100 //maximal step of the grid
ATRcurrentPeriod = 300 //recent volatility 'instant' period
ATRhistoPeriod = 6000 //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. Add "AND STRATEGYPROFIT=0" on line 40 for one cycle only.
c1 = (HAC > 0)
c2 = (HAH > 0)
c3 = (BollBW > BollSMA)
c4 = (BollBW > BollBW[1])
IF NOT ONMARKET AND c1 AND c2 AND c3 AND c4 THEN
BUY 1 LOT AT MARKET
ENDIF
// case BUY - add orders on the same trend
if longonmarket and c3 and c4 and countofposition<3 and close-tradeprice(1)>=gridstep then
BUY amount LOT AT MARKET
endif
// Conditions to exit long positions
c5 = (HAH[1] CROSSES UNDER 0)
IF c5 THEN
SELL 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
//GRAPH floatingprofit as "float"
//GRAPH RRreached as "rr"
//GRAPH floatingprofit as "floating profit"
//GRAPH BBfloatingprofit coloured(255,0,0) as "BB Floating Profit"
//GRAPH positionprice-mindistancetoclose
//GRAPH moneyrisk
//GRAPH onepointvaluebasket
//GRAPH gridstep
Short;
/// Definition of code parameters
defparam preloadbars =10000
DEFPARAM CumulateOrders = true // Cumulating positions deactivated
HAC= call "HA Change"
HAH= call "PRC_Heikin Ashi higher TF"[1]
BollBW= 3*std[20](close)/WilderAverage[20](close)
BollSMA= WilderAverage[20](3*std[20](close)/WilderAverage[20](close))
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 = 0.1 //standard deviation of MA floating profit
//dynamic step grid
minSTEP = 25 //minimal step of the grid
maxSTEP = 100 //maximal step of the grid
ATRcurrentPeriod = 300 //recent volatility 'instant' period
ATRhistoPeriod = 6000 //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 short positions. Add "AND STRATEGYPROFIT=0" on line 40 for one cycle only.
c1 = (HAC < 0)
c2 = (HAH < 0)
c3 = (BollBW > BollSMA)
c4 = (BollBW > BollBW[1])
IF NOT ONMARKET AND c1 AND c2 AND c3 AND c4 THEN
SELLSHORT 1 LOT AT MARKET
ENDIF
// case sell add orders on the same trend
if shortonmarket and c3 and c4 and countofposition<3 and close-tradeprice(1)>=gridstep then
SELLSHORT amount LOT AT MARKET
endif
// Conditions to exit short positions
c5 = (HAH[1] CROSSES OVER 0)
IF c5 THEN
EXITSHORT 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
//GRAPH floatingprofit as "float"
//GRAPH RRreached as "rr"
GRAPH floatingprofit as "floating profit"
GRAPH BBfloatingprofit coloured(255,0,0) as "BB Floating Profit"
//GRAPH positionprice-mindistancetoclose
//GRAPH moneyrisk
//GRAPH onepointvaluebasket
//GRAPH gridstep
