Long bar Mean reverting code help

• 10/10/2018 at 12:19 PM #82452
  Stratus6

  Hi All,

   

  I would be very grateful for any help with this small sell side code.

  The idea is for shorter time frames which I use for day trading but struggling to automate it.

  Principles as below. Sell side only in this case.

  1. Two longer than average bars become the new ‘range’
  2. The middle of this range is the ‘mean’ for buying back.
  3. Once the range is set every new bar triggers a sell unless its low crosses below the mean
  4. At the ‘mean’ all shorts are bought back and the trade ends

  Questions are one

  1. Is this code ok as I cannot backtest it because I dont know how to (2)
  2. How do I set a MAX position
     Long bars marker

     DEFPARAM CumulateOrders = True // Once Upper = 1 Once Lower = 1 c1 = abs(High[1] - Low[1]) > 1.5*averagetruerange[7] c2 = abs(High[0] - Low[0]) > 0.8*abs(High[1] - Low[1]) c3 = abs(High[0] - Low[0]) < abs(High[1] - Low[1]) c4 = High[1] > High[0] If c1 and c2 and c3 and c4 then Upper = High[1] Lower = Lowest[2](low) Rangebar=1 Endif If Rangebar=1 and Low > (Upper+Lower)/2 then sellshort 0.1 lots at Upper + averagetruerange[7] limit Endif If Low crosses under (Upper+Lower)/2 then Rangebar=0 Exitshort at (Upper+Lower)/2 limit endif Set stop $loss 500

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     DEFPARAM CumulateOrders = True //   Once Upper = 1 Once Lower = 1   c1 = abs(High[1] - Low[1]) > 1.5*averagetruerange[7]   c2 = abs(High[0] - Low[0]) > 0.8*abs(High[1] - Low[1])   c3 = abs(High[0] - Low[0]) < abs(High[1] - Low[1])   c4 = High[1] > High[0]     If c1 and c2 and c3 and c4 then Upper = High[1] Lower = Lowest[2](low) Rangebar=1   Endif   If Rangebar=1 and Low > (Upper+Lower)/2 then sellshort 0.1 lots at Upper + averagetruerange[7] limit   Endif   If Low crosses under (Upper+Lower)/2 then Rangebar=0 Exitshort at (Upper+Lower)/2 limit   endif   Set stop $loss 500

      

  Many thanks in advance

  

  Stratus6

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  10/22/2018 at 10:50 PM #83368
  Stratus6

  Is there anyone out there? 🙂

  

  Stratus6

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  10/23/2018 at 7:52 AM #83374
  Vonasi

  Your code looks OK.

  To back test just press the ‘ProBacktest my system’ button.

  

  If by MAX position you mean that you want to set a limit to the number of positions opened then you can do this with a condition based on COUNTOFPOSITION or by adding 1 to a variable IF ONMARKET and then resetting that variable IF NOT ONMARKET and then use that variable quantity in your conditions as to whether to put a sellshort order on the market.

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  Stratus6

  

  Vonasi

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  10/23/2018 at 4:26 PM #83400
  Stratus6

  Hi Vonasi,

   

  Many thanks for your reply.

  I have tried the back test but the problem I have is the position becomes to large.

  I have 2 questions

  1. Is there a way to code maximum position size ie. Sell every bar until position reaches 10 lots.
  2. Also If I want to set a buy level at say the low[1] before the first lots is sold, how would I code this, as currently each new sell creates a new buy back level!

  Once again this beginner really appreciates your time!

  

  Stratus6

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  10/23/2018 at 8:45 PM #83413
  Vonasi

  If Rangebar=1 and Low > (Upper+Lower)/2 and countofposition < 10 then sellshort 0.1 lots at Upper + averagetruerange[7] limit Endif

  1 2 3

  If Rangebar=1 and Low > (Upper+Lower)/2 and countofposition < 10 then sellshort 0.1 lots at Upper + averagetruerange[7] limit Endif

  I’m not sure I fully understand question 2. Maybe this works as it fixes the levels until you have no trades on the market:

  If not onmarket and c1 and c2 and c3 and c4 then Upper = High[1] Lower = Lowest[2](low) Rangebar=1

  1 2 3 4

  If not onmarket and c1 and c2 and c3 and c4 then Upper = High[1] Lower = Lowest[2](low) Rangebar=1

   

   

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  Stratus6

  

  Vonasi

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  10/28/2018 at 2:18 PM #83645
  Stratus6

  Perfect. Problem solved. If it works I’ll post the full code. Thanks again

  

  Stratus6

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