max e min strategy

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  • Author
    Posts
  • 01/29/2017 at 4:54 PM #22963 quote
    volpiemanuele
    Participant
    Veteran

    Hi,

    I create e very simple code in order to trade a the end of day if the max e min of the day  exceeded the first candle of the last 10 minutes. I suppose to use a time frame o 5 minute in wall street cash (1530 cet time until 22:00 cet time). The system in back don’t trade and I don’t find the mistake. Can you hel me ? Thanks Emanuele

    DEFPARAM CumulateOrders = false


DEFPARAM FlatAfter =220000


OraLimite = 215000

Orainizio = 215900

n=1


IF TIME=215000 THEN
CashHighMo = Highest[76](high)
CashLowMo = Lowest[76](low)
endif

if Time >= Orainizio and time <= Oralimite then

if not onmarket then

c1 = open > CashHighMo
c2= open < CashLowMo


IF c1 THEN
buy n contract at market
endif

IF c2 THEN
sellshort n contract at market
endif

endif
endif

SET STOP ptrailing 10
    01/29/2017 at 7:00 PM #22973 quote
    volpiemanuele
    Participant
    Veteran

    Hi,

     

    I change the code after having see the video on you tube but I don’t solve the problem. Why  ? Thanks

    DEFPARAM CumulateOrders = false


DEFPARAM FlatAfter =220000


OraLimite = 215000

Orainizio = 215900

n=1

condition = time > 153000 and time < 215000


if condition then
Maxprice = max(Maxprice, high)
Minprice = min(Minprice, low)
endif

if Time >= Orainizio and time <= Oralimite then

if not onmarket then

c1 = close > Maxprice
c2= Close < Minprice


IF c1 THEN
buy n contract at market
endif

IF c2 THEN
sellshort n contract at market
endif

endif
endif

SET STOP ptrailing 10
    01/29/2017 at 9:41 PM #22998 quote
    Joachim Nilsson
    Participant
    Average

    I think it has to do with this piece of code. You don´t define maxprice and minprice if you have them on both side of the =.

    if condition then
Maxprice = max(Maxprice, high)
Minprice = min(Minprice, low)
endif
    01/29/2017 at 9:54 PM #23000 quote
    Joachim Nilsson
    Participant
    Average

    Something like this?

    DEFPARAM CumulateOrders = false


DEFPARAM FlatAfter =220000


OraLimite = 215000

Orainizio = 215900

n=1

if Time >= oralimite and time <= Orainizio then

c1= open < close-2
c2= open > close-2



if not onmarket then




IF c1 THEN
buy n contract at market
endif

IF c2 THEN
sellshort n contract at market
endif

endif
endif


SET STOP ptrailing 10
    01/29/2017 at 10:11 PM #23005 quote
    volpiemanuele
    Participant
    Veteran

    Hi,

    Thanks but I want to have max e min of a certain range time of the day. In these manner that you have suggested to me  I don’t have max e min. Thanks

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max e min strategy


ProOrder: Automated Strategies & Backtesting

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volpiemanuele @volpiemanuele Participant
Summary

This topic contains 4 replies,
has 2 voices, and was last updated by volpiemanuele
9 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/29/2017
Status: Active
Attachments: No files
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