@cfta
Thanks for reply and info!

@Nicolas
Thanks for all the work you put into this!
@Everybody else
Thanks for ideas!

Great work here guys! Many thanks for your efforts 🙂

To all participants, I applaud the excellent result of a great team effort – thanks for the postings and the opportunity to learn from the masters.

I have tested it with the BB exit, on GBPJPY 5m chart from 18/5/16 at 20:30 AEST with a fabulous result: 578% for 8 hours exposure.   I have the rr = 2.

I am finding that there are not many opportunities in the last few months where this could have been achieved in FX, as the trends haven’t lasted long enough.  The retraces are firing the stop losses.  But one profit like this will take care of 578 losses – so it is a Turtle Traders test of persistence.

My thoughts are that if the risk is increased to 2%, this may provide enough space for the minor retraces to pass without firing the stop losses, and so reach the target profit.

Or alternatively, if a trailing stop loss (equating to the risk) was used on the latest trade, any retracement will sacrifice the last trade, but the profit on the early trades would more than compensate.   May I suggest that the grid step be set to say, 6 x ATR and the trailing stop at 2 x ATR.

I figure Nicolas is doing something like this with the money management and floating profit, but I don’t understand how the coding works.

I look forward to the experiences of others when testing this amazing system.

Is it possible to have the final code and not the itf file.. i have an import problem ?

@Mike

About ATR step instead of fixed one is clever. But, since we want to quickly make huge profit, I suggest to add more orders when the ATR is high and less when it is low. So when the ATR rise a lot in short period, it means that actual volatility can guarantee that a lot of grid orders can be launched to grow the floating profit. Then BB exit would take care of the rest. Of course, we are talking of backtest, live environment should not the exact same thing as market slippage can take its part into making trouble.

So a dynamic scale of the grid step could be coded, but it would be inverse of the ATR value. High ATR should mean minimal grid step and low ATR a larger one. Also, a minimal value of the grid step can be implemented.

Do you agree? everyone?

@Nicolas

I agree re the order size but I am not so sure about the BB exit.

I have attached the results of a test trade on CADJPY that is mouth-watering.  Goodbye 2:1, hello 10:1!

I’m afraid I butchered your code Nicolas and your money management and r:r control, cfta- many apologies.

The trailing stop in the test is the SuperTrend.  As you may well know, it is based on the ATR.  The formula for both………….

Super trend values are calculated as follows

Up = (HIGH + LOW) / 2 + Multiplier * ATR
Down = (HIGH + LOW) / 2 – Multiplier * ATR
When the change of trend occurs, the indicator flips

Average True Range is calculated as follows

Current ATR = [(Prior ATR x 13) + Current TR] / 14

– Multiply the previous 14-day ATR by 13.
– Add the most recent day’s TR value.
– Divide the total by 14

I have attached the butchered code – ugh, not very tidy but I don’t have the expertise to complete the money management nor the grid step – sorry.

defparam preloadbars = 100
//once RRreached = 0

//parameters
//accountbalance = 10000 //account balance in money at strategy start
//riskpercent = 1 //whole account risk in percent%
gridstep = 50 //grid step in point
amount = 1 //lot amount to open each trade
//rr = 0 //risk reward ratio (set to 0 disable this function)
ST = SuperTrend[3.2,22]

//first trade whatever condition
if NOT ONMARKET AND close>close[1] AND STRATEGYPROFIT=0 then
BUY amount LOT AT MARKET
endif

if NOT ONMARKET AND close<close[1] AND STRATEGYPROFIT=0 then
SELLSHORT amount LOT AT MARKET
endif

// case BUY - add orders on the same trend
if longonmarket and close-tradeprice(1)>=gridstep*pipsize then
BUY amount LOT AT MARKET
endif

// case SELL - add orders on the same trend
if shortonmarket and tradeprice(1)-close>=gridstep*pipsize then
SELLSHORT amount LOT AT MARKET
endif

//SuperTrend stop loss
if close > ST THEN
EXITSHORT AT MARKET
ENDIF

//money management
//liveaccountbalance = accountbalance+strategyprofit
//moneyrisk = (liveaccountbalance*(riskpercent/100))
//onepointvaluebasket = pointvalue*countofposition
//mindistancetoclose =(moneyrisk/onepointvaluebasket)*ticksize

//floating profit
//floatingprofit = ((close-positionprice)*pointvalue)*countofposition
//MAfloatingprofit = average[20](floatingprofit)
//BBfloatingprofit = MAfloatingprofit - std[20](MAfloatingprofit)*2

//floating profit risk reward check
//if rr>0 and floatingprofit>moneyrisk*rr then
//RRreached=1
//endif

//GRAPH floatingprofit as "float"
//GRAPH RRreached as "rr"
//GRAPH floatingprofit as "floating profit"
//GRAPH BBfloatingprofit as "deviation of floating profit"

//stoploss trigger when risk reward ratio is not met already
//if onmarket and RRreached=0 then
//SELL AT positionprice-mindistancetoclose STOP
//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
//SELL AT MARKET
//EXITSHORT AT MARKET
//endif
//endif

//resetting the risk reward reached variable
//if not onmarket then
//RRreached = 0
//endif