M15 SP500 LowBuyHighSell Strategy
-
Here is a strategy on the SP500, which in its raw version is already effective long and short. With similar settings the code is also effective on other indexes.
It is a mixture of gap close and mean reversion. We buy intraday below a low from the daily chart. We are selling above a high from the daily chart. The exit is the close of the previous day. So theoretically a gap closure. We exit open positions every evening and are flat overnight. A simple stoploss based on the daily range is also included in the algo. That’s all. Improvements and/or thoughts on this algo are always welcome.//================================================ //SP500 //Spread 0.5 DEFPARAM CUMULATEORDERS = false defparam preloadbars = 10000 //Risk Management PositionSize = 5 //Max-Orders per Day/////////////////////////////////////// once maxOrdersL = 1 once maxOrdersS = 1 if intradayBarIndex = 0 then //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif /////////////////////////////////////// once TimeEx = 1 once TimeEx2 = 1 once Exit = 1 timeframe(1day,updateonclose) myhigh = high myclose= close mylow = low myopen = open mylowX = lowest[3](low) //1-20 myhighX = highest[13](high)//1-20 timeframe(default) area = myhigh-mylow long = close < mylowX and ordersCountL < maxOrdersL //crosses over short= close crosses under myhighX and ordersCountS < maxOrdersS // trading window ONCE BuyTime = 080000 ONCE SellTime = 210000 // position management IF Time >= BuyTime AND Time <= SellTime THEN If long Then Buy PositionSize CONTRACTS AT market SET STOP LOSS area*0.4 ENDIF If short Then sellshort PositionSize CONTRACTS AT market SET STOP LOSS area*1 ENDIF endif graphOnPrice mylowX coloured("Red") graphonprice myclose coloured("Black") graphOnPrice myhighX coloured("green") if longonmarket and close > myclose and Exit=1 then sell at market endif if shortonmarket and close < myclose and Exit=1 then exitshort at market endif //TimeEx if (time >= 220000 and TimeEx=1)then sell at market exitshort at market endif if time >= 220000 and dayofweek=5 and TimeEx2=1 then sell at market exitshort at market endifGraHal, alessiopippo, HannesA, Monochrome and JohnScher thanked this postHi Phoentzs, interesting code. I rewrote the code in the simplest form and added only a certain percentage to the exit. Up to 50k the results are similar, then are better.
//SP "lowBuy-highSell" v2 15m [spread 0.5] //TS by Phoentzs //https://www.prorealcode.com/topic/m15-sp500-lowbuyhighsell-strategy/ //********************************************************************************* defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 5 //----------------------------------------------------------------------- once maxOrdersL = 1 //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13 multiplierL = 0.4 multiplierS = 1 //********************************* dailyHigh = high dailyClose = close dailyLow = low dailyOpen = open dailyLowX = lowest[periodL](low) dailyHighX = highest[periodS](high) areaDaily = dailyHigh - dailyLow //-------------------------------------------------------------- timeframe(15 minutes) cLong = close < dailylowX cShort = close crosses under dailyHighX if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > 0.1 then // exit: gain > 0.1% sell at market endif //---------------------- if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green") //--------------- once equity = 0 once performanceLastMonth = 0 if month <> month[1] then performanceLastMonth = strategyProfit - equity equity = strategyProfit endif graph performanceLastMonthHere is the 200k backtest. The post-corona-volatility seems to be doing the system a lot of good.
Thanks for sharing.Test with a spread of 0.6 as this is the minimum at IG and the maximum is 1.4
Added buy and sell conditions//SP "lowBuy-highSell" v2 15m [spread 0.5] //TS by Phoentzs //https://www.prorealcode.com/topic/m15-sp500-lowbuyhighsell-strategy/ //********************************************************************************* defParam cumulateOrders = false defParam preLoadBars = 10000 defParam flatAfter = 220000 cTime = time >= 080000 and time <= 210000 positionSize = 1 //----------------------------------------------------------------------- once maxOrdersL = 1 //max-Orders per Day once maxOrdersS = 1 if intradayBarIndex = 0 then //reset orders count ordersCountL = 0 ordersCountS = 0 endif if longTriggered then //check if an order has opened in the current bar ordersCountL = ordersCountL + 1 endif if shortTriggered then //check if an order has opened in the current bar ordersCountS = ordersCountS + 1 endif //------------------------------------------------------------ timeframe(1 day, updateOnClose) //********************************* periodL = 3 periodS = 13 multiplierL = 0.4 multiplierS = 1 //********************************* dailyHigh = high dailyClose = close dailyLow = low dailyOpen = open dailyLowX = lowest[periodL](low) dailyHighX = highest[periodS](high) areaDaily = dailyHigh - dailyLow //-------------------------------------------------------------- timeframe(15 minutes) cLong = close < dailylowX and open>low and high>close and close-open>10 cShort = close crosses under dailyHighX and high>open and close>low if cTime and cLong and ordersCountL < maxOrdersL then buy positionSize contracts at market set stop loss areaDaily * multiplierL endif if longOnMarket and close > dailyClose and positionPerf*100 > 0.1 then // exit: gain > 0.1% sell at market endif //---------------------- if cTime and cShort and ordersCountS < maxOrdersS then sellshort positionSize contracts at market set stop loss areaDaily * multiplierS endif if shortOnMarket and close < dailyClose and positionPerf*100 > 0.3 then // exit: gain > 0.3% exitShort at market endif //--------------------------------------------------------------------------------------- graphOnPrice dailyLowX coloured("red") graphonprice dailyClose coloured("black") graphOnPrice dailyHighX coloured("green") //--------------- once equity = 0 once performanceLastMonth = 0 if month <> month[1] then performanceLastMonth = strategyProfit - equity equity = strategyProfit endif graph performanceLastMonthKumoNoJuzza thanked this post
- You must be logged in to reply to this topic.
New Reply
Summary
This topic contains 46 replies,
has 11 voices, and was last updated by 
2 years ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/09/2023 |
| Status: | Active |
| Attachments: | 17 files |
Loading...