Kama & SMA Trading System Dax Discussion Thread
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//************************************************************************ // Kama & Sma Trading System DAX mtf //************************************************************************ // DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars = 2000 DEFPARAM FLATBEFORE = 080000 DEFPARAM FLATAFTER = 210000 once multiplier=1 once fraction=72 once newlevel=72 once oldlevel=72 once startpositionsize=1 once positionsize=startpositionsize if strategyprofit>newlevel then multiplier=multiplier+0.05 oldlevel=newlevel newlevel=strategyprofit+multiplier*fraction positionsize=multiplier*startpositionsize elsif strategyprofit<oldlevel and multiplier>=1 then newlevel=strategyprofit oldlevel=strategyprofit-multiplier*fraction multiplier=multiplier-0.05 positionsize=multiplier*startpositionsize endif //////////////////////////////////////////////////////////////////////// TIMEFRAME (default) //ONCE nLots = 1 ONCE LongTrading = 1 //1=allowed 0=banned ONCE ShortTrading = 1 //1=allowed 0=banned // ONCE TP = 500 //200 pips ONCE SL = 30 //50 pips // TimeForbidden = OpenTime < 080000 AND OpenTime > 210000 LongCond = (Not TimeForbidden) AND LongTrading ShortCond = (Not TimeForbidden) AND ShortTrading // TIMEFRAME (1 hour, updateonclose) //h1 IF Not OnMarket THEN BarCount = 0 ELSE BarCount = BarCount + 1 ENDIF //------------------------------------------------------------------------------------ // Kama & Sma Strategy // //https://www.forexstrategiesresources.com/trend-following-forex-strategies/111-kama-strategy/ // Period = 2 //2 (standard 10) FastPeriod = 2 //standard SlowPeriod = 30 //standard // Fastest = 2 / (FastPeriod + 1) Slowest = 2 / (SlowPeriod + 1) if barindex >= (Period + 1) then Num = abs(close-close[Period]) Den = summation[Period](abs(close-close[1])) ER = Num / Den Alpha = SQUARE(ER *(Fastest - Slowest )+ Slowest) Kama = (Alpha * Close) + ((1 -Alpha)* Kama[1]) else Kama = close endif //------------------------------------------------------------------------------------ Sma = average[22,0](close) //22 //------------------------------------------------------------------------------------ a1 = Kama CROSSES OVER Sma // --- SHORT b1 = Kama CROSSES UNDER Sma //////////////////////////////////////////////////////////////////////// TIMEFRAME (default) //1 min ONCE TradeON = 1 IF IntraDayBarIndex = 0 THEN TradeON = 1 ENDIF TradeBar = BarCount IF Not OnMarket AND TradeBar <> TradeBar[1] THEN TradeON = 1 ENDIF //************************************************************************ // LONG trades //************************************************************************ IF a1 AND TradeON AND LongCond THEN BUY positionsize CONTRACT AT MARKET TradeON = 0 ENDIF //************************************************************************ // SHORT trades //************************************************************************ IF b1 AND TradeON AND ShortCond THEN SELLSHORT positionsize CONTRACT AT MARKET TradeON = 0 ENDIF // SET TARGET pPROFIT TP SET STOP pLOSS SL ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN TrailStart = 10 //10 Start trailing profits from this point BasePerCent = 0.100 //10.0% Profit to keep StepSize = 6 //6 Pips chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer PriceDistance = 7 * pipsize//8.9 minimun distance from current price y1 = 0 y2 = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if N+ pips Diff1 = abs(TrailStart - x1) Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if N+ pips Diff2 = abs(TrailStart - x2) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIFCode with modifications for opening times, stop loss and money management
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 09/01/2019 |
| Status: | Active |
| Attachments: | 1 files |
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