M15 SP500 LowBuyHighSell Strategy

phoentzs · Thu, 09 Nov 2023 00:18:34 +0000

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 endif

This topic has 46 replies, 11 voices, and was last updated 3 months ago by nonetheless.

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01/20/2024 at 1:21 PM #226625

nonetheless

Hi Fifi, good to hear from you. Yes, I am more focussed on manual trading – DAX in the morning, NASDAQ in the afternoon. My target is 30pts per day, sometimes that takes 2 minutes and sometimes it’s 10 hours, going cross-eyed from staring at charts. Not the job i thought i’d be doing at this point in my life but it keeps me in supply of good red wine.🍷

All good with you?

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GraHal, fifi743

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01/25/2024 at 1:42 PM #226885

nonetheless

some small improvements, higher gain, lower DD, better R/R

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GraHal

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M15 SP500 LowBuyHighSell Strategy

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