Mid Daily Range BO Dax mtf

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09/06/2018 at 11:05 AM #79871 quote

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A couple of days ago I replied to a topic by @Mert (https://www.prorealcode.com/topic/median-previous-hour-priceline-in-a-1-minute-chart/#post-79723) about mid range and decided to experiment some code on daily mid range Break Out on a 1-minute charts using the newly supported MTF.

It simply detects yesterday’s mid range, then waits the 1-minute chart to cross over/under it, provided there’s been a previous crossover/under on 1-hour charts within a few bars (I want to eneter the second break out). This code may lack other indicators and/or trailing stops, but I think it’s a good exercise. I tested it on Dax, Bund and Cac40 and it shows some performance, while it seems not to be working good on fx pairs:

//                           Mid Daily Range BO Dax mtf
TIMEFRAME (default)
DaysForbidden           = OpenDayOfWeek < 1 OR OpenDayOfWeek > 5
TimeForbidden           = OpenTime < 100000 OR OpenTime > 170000   //10 - 17
////////////////////////////////////////////////////////////////////////
TIMEFRAME (Daily, updateonclose)
MidRange                = low + (range / 2)
////////////////////////////////////////////////////////////////////////
TIMEFRAME (1 hour, updateonclose)  //a previous BreakOut on H1 within a few bars is required
ONCE LookBack           = 5                                        //5
PreviousHI              = summation[LookBack](high[1] >= MidRange)
PreviousLO              = summation[LookBack](low[1]  <= MidRange)
////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)
//                           LONG  trades
a0 = PreviousHI                                                    //previous BO ok
a1 = close CROSSES OVER MidRange                                   //crossover again
ax = a0 AND a1
IF ax AND Not OnMarket AND Not DaysForbidden AND Not TimeForbidden THEN
   BUY 1 CONTRACT AT MARKET
ENDIF
//                           SHORT trades
b0 = PreviousLO                                                    //previous BO ok
b1 = close CROSSES UNDER MidRange                                  //crossunder again
bx = b0 AND b1
IF bx AND Not Onmarket AND Not DaysForbidden AND Not TimeForbidden THEN
   SELLSHORT 1 CONTRACT AT MARKET
ENDIF
//                           Sl & Tp
SET TARGET pPROFIT 50                                              //50
SET STOP   pLOSS   50                                              //50

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Mid-Daily-Range-BO-Dax-mtf.jpg Mid-Daily-Range-BO-Dax-mtf.itf

09/09/2018 at 8:10 PM #80042 quote

JR1976

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//                           Mid Daily Range BO Dax mtf
TIMEFRAME (default)
DaysForbidden           = OpenDayOfWeek < 1 OR OpenDayOfWeek > 5
TimeForbidden           = OpenTime < 100000 OR OpenTime > 170000   //10 - 17
////////////////////////////////////////////////////////////////////////
TIMEFRAME (Daily, updateonclose)
MidRange                = low + (range / 2)
////////////////////////////////////////////////////////////////////////
TIMEFRAME (1 hour, updateonclose)  //a previous BreakOut on H1 within a few bars is required
ONCE LookBack           = 5                                        //5
PreviousHI              = summation[LookBack](high[1] >= MidRange)
PreviousLO              = summation[LookBack](low[1]  <= MidRange)
////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)
//                           LONG  trades
a0 = PreviousHI                                                    //previous BO ok
a1 = close CROSSES OVER MidRange                                   //crossover again
ax = a0 AND a1
IF ax AND Not OnMarket AND Not DaysForbidden AND Not TimeForbidden THEN
BUY 1 CONTRACT AT MARKET
ENDIF
//                           SHORT trades
b0 = PreviousLO                                                    //previous BO ok
b1 = close CROSSES UNDER MidRange                                  //crossunder again
bx = b0 AND b1
IF bx AND Not Onmarket AND Not DaysForbidden AND Not TimeForbidden THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
//                           Sl & Tp
SET TARGET pPROFIT 50                                              //50
SET STOP   pLOSS   50                                              //50

//trailing stop
trailingstop = 7
 
//resetting variables when no trades are on market
if not onmarket then
MAXPRICE = 0
MINPRICE = close
priceexit = 0
endif
 
//case SHORT order
if shortonmarket then
MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade
if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
endif
endif
 
//case LONG order
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level
endif
endif
 
//exit on trailing stop price levels
if onmarket and priceexit>0 then
EXITSHORT AT priceexit STOP
SELL AT priceexit STOP
endif

HiRoberto ,

congrats for your strategy , I added a MFE trailing with DAX 5 Eur

What do you think ?