Kevin Daley Championships used strategy close

• 11/20/2018 at 12:05 PM #85302
  panton

  Hello Everyone

  Here´s my first effort, I hope I´ll get in what needs to be seen and that it´s readable and understandable.

  Maybe already published but not found by me. Any opinions, questions, discovered problems or further development is greatly appreciated.

   

  It´s a strategy supposed to have been used by Kevin Daley when he won the Championship some years ago. I´ve seen this at a presentation here not associated with KD. Quit simple strategy really. Unclear what TF and Securities he used.

  The rules are(Reversed for short positions):

  Uptrend Max 20 bars(Unclear what he used as trend, I use SMA20 and SMA200)

  Wick of more than 50% on the upside for longpositions( CSU in code)

  Buystop 0,1 ATR above the High of the CSU

  Exit conds:50%@ 1 ATR(10) and 50% at 2ATR(10)

  Stoploss ATR trailing stop 10, 2

  I´ve done some Quick backtests with Swedish stocks seems ok in 60 min TF, but since it´s not really yet doing what I want it to do,  I wait until i´ve completed the code with further tests.

   

  I have some issues with it though, which probably affect the results negatively:

  1: I want it to buy exactly at 0,1ATR above the high of CSD and not at next Candle Close as it seems to do now, I think that som of the winnings are lost here?

  2:Are the SMA:s conditions accurate? I want them to both be up and 20 above 200 at the buying Candle is this true as it´s written now?

  3: the i and y respectively could perhaps be optimised I´ve chosen that max 10 bars from the formation of candle to Buy, maybe more or less?

  Any other issues that you discover ?

  I hope you like it and find it interesting.

  //P

  Kevid Daley Championship Close lower 50%

  //Strategy:KD Championship as presented by Kevin Daley //Reqs long: 1 CS that closes in lower 50% in an uptrend(Max 20 bars) // 2 buystop at 0.1 ATR above the Highest of above CS // 3 exit 50% at 1 ATR(10) the rest at 2ATR(10) // 4 SL trailing atr 10 multiplier 2 //Mirrored for short positions //Indicator for CS with long wick in a down or uptrend any of the last 10 days // identifying the day of the Candlestick and it´s high and low respectively any of the last 10 days For i=1 to 10 do CSU=(High[i]-MAX(Close[i],Open[i]))/(High[i]-Low[i])>=0.51 if CSU Then Ho=High[i] Break Endif Next For y = 1 to 10 do CSD=(MIN(Close[y],Open[y])-Low[y])/(High[y]-Low[y])>=0.51 if CSD Then Lo=Low[y] Break Endif Next //Indicator of trend //Have chosen MA20 and MA200 points up and MA20 above Ma200 for uptrend reverse for down TRENDU1=Average[200](close)[0] > Average[200](close)[1] TRENDU2=Average[20](close)[0] > Average[20](close)[1] TRENDU3=Average[200](close)[0] > Average[20](close)[0] TRENDD1=Average[200](close)[0] < Average[200](close)[1] TRENDD2=Average[20](close)[0] < Average[20](close)[1] TRENDD3=Average[20](close)[0] < Average[200](close)[0] // Conditions to enter long positions Buycond=close[0]>Ho+0.1*AverageTrueRange[10](close) Positionsizelong=100 IF NOT LongOnMarket AND TrendU1 and trendu2 and trendu3 and Buycond THEN BUY Positionsizelong CONTRACTS AT MARKET ENDIF // Conditions to exit long positions Sellcond1=Close[0]>((Positionprice)+AverageTrueRange[14](close)) If LongOnMarket AND Sellcond1 THEN SELL Positionsizelong/2 CONTRACTS AT MARKET ENDIF Sellcond2=Close[0]>(positionprice+2*AverageTrueRange[14](close)) If LongOnMarket AND Sellcond2 THEN SELL Positionsizelong/2 CONTRACTS AT MARKET ENDIF // Conditions to enter short positions Shortcond=close[0]<(Lo-0.1*AverageTrueRange[10](close)) Positionsizeshort=100 IF NOT ShortOnMarket And Trendd1 and trendd2 and trendd3 and shortcond THEN SELLSHORT Positionsizeshort CONTRACTS AT MARKET ENDIF // Conditions to exit short positions Shortexitcond1=Close[0]<POSITIONPRICE-AverageTrueRange[14](close) Shortexitcond2=Close[0]<POSITIONPRICE-2*AverageTrueRange[14](close) IF ShortOnMarket AND Shortexitcond1 THEN EXITSHORT Positionsizeshort/2 CONTRACTS AT MARKET ENDIF// IF ShortOnMarket AND Shortexitcond2 THEN EXITSHORT Positionsizeshort/2 CONTRACTS AT MARKET ENDIF // Stops and targets : Enter your protection stops and profit targets here //STOPATRTrail and targets //Variables NATR = 10 //ATR Period SATR = 2 // ATR Multiplier for Stop //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close)

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  //Strategy:KD Championship as presented by Kevin Daley //Reqs long: 1 CS that closes in lower 50% in an uptrend(Max 20 bars) //           2 buystop at 0.1 ATR above the Highest of above CS //           3 exit 50% at 1 ATR(10) the rest at 2ATR(10) //           4 SL trailing atr 10 multiplier 2 //Mirrored for short positions //Indicator for CS with long wick in a down or uptrend any of the last 10 days   // identifying the day of the Candlestick and it´s high and low respectively any of the last 10 days For i=1 to 10 do   CSU=(High[i]-MAX(Close[i],Open[i]))/(High[i]-Low[i])>=0.51   if CSU Then Ho=High[i] Break Endif Next   For y = 1 to 10 do CSD=(MIN(Close[y],Open[y])-Low[y])/(High[y]-Low[y])>=0.51   if CSD Then Lo=Low[y] Break Endif Next   //Indicator of trend //Have chosen MA20 and MA200 points up and MA20 above Ma200 for uptrend reverse for down TRENDU1=Average[200](close)[0] > Average[200](close)[1] TRENDU2=Average[20](close)[0] > Average[20](close)[1] TRENDU3=Average[200](close)[0] > Average[20](close)[0] TRENDD1=Average[200](close)[0] < Average[200](close)[1] TRENDD2=Average[20](close)[0] < Average[20](close)[1] TRENDD3=Average[20](close)[0] < Average[200](close)[0]   // Conditions to enter long positions Buycond=close[0]>Ho+0.1*AverageTrueRange[10](close) Positionsizelong=100 IF NOT LongOnMarket AND TrendU1 and trendu2 and trendu3 and Buycond THEN BUY Positionsizelong CONTRACTS AT MARKET ENDIF   // Conditions to exit long positions   Sellcond1=Close[0]>((Positionprice)+AverageTrueRange[14](close))   If LongOnMarket AND Sellcond1 THEN SELL  Positionsizelong/2 CONTRACTS AT MARKET ENDIF   Sellcond2=Close[0]>(positionprice+2*AverageTrueRange[14](close)) If LongOnMarket AND Sellcond2 THEN SELL Positionsizelong/2 CONTRACTS AT MARKET ENDIF   // Conditions to enter short positions Shortcond=close[0]<(Lo-0.1*AverageTrueRange[10](close)) Positionsizeshort=100   IF NOT ShortOnMarket And Trendd1 and trendd2 and trendd3 and shortcond THEN SELLSHORT Positionsizeshort CONTRACTS AT MARKET ENDIF   // Conditions to exit short positions   Shortexitcond1=Close[0]<POSITIONPRICE-AverageTrueRange[14](close) Shortexitcond2=Close[0]<POSITIONPRICE-2*AverageTrueRange[14](close)     IF ShortOnMarket AND Shortexitcond1 THEN EXITSHORT Positionsizeshort/2 CONTRACTS AT MARKET ENDIF//     IF ShortOnMarket AND Shortexitcond2 THEN EXITSHORT Positionsizeshort/2 CONTRACTS AT MARKET ENDIF   // Stops and targets : Enter your protection stops and profit targets here //STOPATRTrail and targets //Variables NATR = 10 //ATR Period SATR = 2 // ATR Multiplier for Stop   //Stop and Target SET STOP LOSS SATR*AverageTrueRange[NATR](close)

   

  

  panton

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  11/29/2018 at 10:36 AM #85981
  Harrys

  TRENDU3=Average[200](close)[0] > Average[20](close)[0]

  looks like  you want to swap the > to <

  

  Harrys

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