Help with basic strategy

dvdrovers · 2017-04-12T05:25:58+00:00

Hi, Was hoping someone could provide me with some code for a very simple strategy. I cant quite get the code to do what i want it to. below are the parameters; Trading on the major FX pairs (usd/jpy, eur/usd, gbp/usd etc) Daily bars If previous days bar was an up bar (open close) then i want to buy on the previous days high stop will be 10 points limit/target will be 40 If the limit or stop hasnt been hit during the trading day I want to exit on the close of that same day. Only want to trade from monday to friday, wary that there is a sunday bar on the FX due to it opening on sunday for a lot of the world (Im in Australia, opens 7am Monday) Ideally would like the backtesting to ignore the sunday bar Thanks for the help with this.

Viewing 8 posts - 1 through 8 (of 8 total)

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04/12/2017 at 6:25 AM #31813 quote

dvdrovers
Participant

New

Hi,

Was hoping someone could provide me with some code for a very simple strategy. I cant quite get the code to do what i want it to. below are the parameters;

Trading on the major FX pairs (usd/jpy, eur/usd, gbp/usd etc)

Daily bars

If previous days bar was an up bar (open < close) then I want to sell on the previous days low

If previous days bar was a down bar (open > close) then i want to buy on the previous days high

stop will be 10 points

limit/target will be 40

If the limit or stop hasnt been hit during the trading day I want to exit on the close of that same day.

Only want to trade from monday to friday, wary that there is a sunday bar on the FX due to it opening on sunday for a lot of the world (Im in Australia, opens 7am Monday)

Ideally would like the backtesting to ignore the sunday bar

Thanks for the help with this.

04/12/2017 at 5:05 PM #31872 quote
Nicolas
Keymaster

Legend
Please find below a rough code that should work for your query. I didn’t test it, please make your own and give feedbacks, thank you.
```
bull = dclose(0)>dopen(0)
bear = dclose(0)<dopen(0)

if day<>day[1]=0 then 
 alreadytraded=0
endif

if dayofweek>0 then 
if not onmarket and bull and alreadytraded=0 then 
 sellshort 1 contract at dlow(0)
 alreadytraded=1
endif

if not onmarket and bear and alreadytraded=0 then 
 buy 1 contract at dhigh(0)
 alreadytraded=1
endif
endif

set stop ploss 10
set target pprofit 40
```
04/12/2017 at 9:17 PM #31890 quote
GraHal
Participant

Master
I played around with above and got attached results on DAX 100,000 bars @ 5 Min (cos I like 5 mins TF 🙂

Had to change code at Line 5, 10 and 15 to get it going … rightly or wrongly?
```
bull = dclose(0)>dopen(0)
bear = dclose(0)<dopen(0)

if day<>day[1] then
alreadytraded=0
endif

if dayofweek>0 then
if not onmarket and bull and alreadytraded=0 then
sellshort 1 contract at dlow(0)stop
alreadytraded=1
endif

if not onmarket and bear and alreadytraded=0 then
buy 1 contract at dhigh(0)limit
alreadytraded=1
endif
endif

set stop ploss 100
set target pprofit 80
```
GraHal

Nicolas.jpg Nicolas-2.jpg
04/12/2017 at 9:33 PM #31895 quote

Nicolas
Keymaster

Legend

Well done Grahal, I should have tested my code!

I think the order at line 15 should also be a stop one, we are buying higher, looking for a breakout.

04/12/2017 at 9:47 PM #31896 quote

GraHal
Participant

Master

Yeah I tried a stop at Line 15, attached are the results.

I tried all combinations, with one eye on tv watching a film it’s easier (for me) to try stuff than work out if we’re trading higher or lower 🙂

Nicolas-3.jpg

04/13/2017 at 9:10 AM #31916 quote

Nicolas
Keymaster

Legend

The backtest should be made on a daily timeframe, because the pending orders only last one bar in my code. I’m on my smartphone, can’t do it myself!

04/13/2017 at 11:18 AM #31924 quote
GraHal
Participant

Master
Nice one Nicolas! Shut phone and brain off, sit in sun, get whiskey … you’re on holiday??

WF Results for 1000 Daily bars,

Daily Code:
```
//https://www.prorealcode.com/topic/help-with-basic-strategy/
//GH DCloseDOpen DAX 1D

bull = dclose(0)>dopen(0)
bear = dclose(0)<dopen(0)

if day<>day[1] then
alreadytraded=0
endif

if dayofweek>0 then
if not onmarket and bull and alreadytraded=0 then
sellshort 1 contract at dlow(0)stop
alreadytraded=1
endif

if not onmarket and bear and alreadytraded=0 then
buy 1 contract at dhigh(0)stop
alreadytraded=1
endif
endif

set stop ploss 160
set target pprofit 780
```
GraHal

Nicolas-4.jpg Nicolas-5.jpg
04/13/2017 at 12:04 PM #31928 quote

GraHal
Participant

Master

Attached overall result for above code in tick-tick mode with no WF.

Any ideas to increase % of winning trades?

I can’t BT more than 1000 x Daily due to that annoying error message … one or more candles are not available … etc.

GraHal

Nicolas-6.jpg
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