Modular Algo System V2.0 inkl. DAX Intraday 1m System

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12/13/2022 at 8:40 PM #205728 quote

Stefan Sticker
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New

Anbei mein zwischenzeitlich stark erweiterter modularer Algorithmus-Code
inkl. eines “Starter-Paketes zum Experimentieren.
Viel Spaß!
Kommentare sind natürlich willkommen!

//*************************************************************************// //Modular Algorithm Library V2.0 // //*************************************************************************// //Modules: //Market-Data-Definition+Parameter ///Monthly/Weekly/Daily-Modifiers, Xetra-HLC-Correction, Strategy-Stop-Code mit Money-Management //Moving-Average-Clustering-Filter, Robustness-Test, Stop-Loss/Trailing-Routines Long/Short/Risk //Long/Short-Support2/Resistance2-Break-Filter, HexenSabbat-Filter //Trading Code
//*************************************************************************// //Parameter // //*************************************************************************// DEFPARAM PreLoadBars = 10000 DEFPARAM CumulateOrders = false ONCE TradeON = 0 ONCE Tradeday = 0 ONCE IndexFaktoring = 0 // 1=ON 0=OFF Faktoring des Indexkurses ONCE ClusterSave = 2 // 0=OFF 1=small 2=large 3=all MovingAverage-Clustering-Filter ONCE startingsize = 0.25 // starting position size ONCE maxsize = 2 // maximal positionsize ONCE ForbiddenLSFlag = 0 // 0=OFF 1=ON 2=Reverse 3=Strict 4=StrictReverse S1/S2/Short-R1/R2/Long-Filter ONCE RobustnessTest = 0 // 0=OFF 1=ON Robustness-Test ONCE SSC = 0 // 0=OFF 1=ON 2=Alternative Strategy-Stop-Code ONCE Reinvest = 1 // 0=OFF 1=ON Gewinne reinvestieren ONCE ReinvestValue = 0.5 //Reinvestitionsanteil ONCE StartingCapital = 20000 // Startkapital ONCE Modifiers = 1 // 0=OFF 1=ON Modifikatoren auf PositionSize ONCE DaySLFlag = 1 // 0=OFF 1=ON Intraday Short/Long-Reversal-Flag (Modifier) ONCE MarketFlag = 1 // 1=DAX 2=DJI Marktauswahl ONCE HexSabFilter = 1 // 0=OFF 1=ON HexenSabbatFilter ONCE Overnight = 1 // 0=NO 1=YES Overnight Holding allowed //*************************************************************************// //Market Data // //*************************************************************************// ONCE Opening = 080000 // Eröffnungszeit DAX ONCE Closing = 220000 // Schlusszeit DAX ONCE TF = 1 // TimeFrame in Minuten DAX ONCE SpreadGeb = 4 // Spread+Gebühren DAX ONCE Indexfaktor = 13000 ONCE Faktor1 = Close / Indexfaktor ONCE FaktorTS = 1 // Trailing-Stop-Multiplikator IF MarketFlag = 1 THEN Opening = 080000 // Eröffnungszeit DAX Closing = 220000 // Schlusszeit DAX TF = 1 // TimeFrame in Minuten DAX SpreadGeb = 4 // Spread+Gebühren DAX ONCE FaktorTS = 1 // Trailing-Stop-Multiplikator IF IndexFaktoring = 1 THEN Indexfaktor = 14000 ELSIF Indexfaktoring = 0 THEN Indexfaktor = Close ENDIF Faktor1 = Close / Indexfaktor ENDIF IF MarketFlag = 2 THEN Opening = 080000 // Eröffnungszeit DJI Closing = 220000 // Schlusszeit DJI TF = 1 // TimeFrame in Minuten DJI SpreadGeb = 4 // Spread+Gebühren DJI IF IndexFaktoring = 1 THEN Indexfaktor = 30000 ELSIF Indexfaktoring = 0 THEN Indexfaktor = Close ENDIF Faktor1 = Close / Indexfaktor ONCE FaktorTS = 2.5 // Trailing-Stop-Multiplikator ENDIF IF OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT (Month = 10 AND Day = 3) AND NOT (Month = 5 AND Day = 1) AND NOT (Month = 12 AND Day = 24) AND NOT (MONTH = 12 AND Day = 25) AND NOT (MONTH = 12 AND Day = 26) AND NOT (MONTH = 12 AND Day = 30) AND NOT (MONTH = 12 AND Day = 26) THEN Tradeday = 1 ELSE Tradeday = 0 ENDIF //Flat Failsave If ONMARKET AND Overnight = 0 AND (Time < Opening OR Time > Closing) THEN SELL AT Market EXITSHORT AT Market ENDIF //*************************************************************************// //Algorithm Robustness-Test // //*************************************************************************// StartDate = 20000101 // Parameter Qty = 5 // Parameter Rndom = 3 // Parameter once j = 0 once flag = 1 IF RobustnessTest = 1 THEN if flag = 1 then j = j + 1 if j > qty then flag = -1 j = j - 1 endif endif if flag = -1 then j = j - 1 if j = 0 then j = j + rndom flag = 1 endif endif if opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) then tradeon = 0 endif ENDIF //*************************************************************************// //Strategy-Stop-Code, Money Management/ReInvest // //*************************************************************************// barsbeforenextcheck = 30 // number of bars between performance checks drawdownquitting = 1 // drawdown quitting on or off (on=1 off=0) winratequit = 50 // minimum win rate in % allowed before quitting (0 = off) tradesbeforewrquit = 50 // number of trades required before a win rate stop of strategy is allowed to happen increase = 1 // position size increasing on or off (on=1 off=0) decrease = 1 // position size decreasing on or off (on=1 off=0) capital = StartingCapital // starting capital minpossize = 1 // minimum position size allowed gaintoinc = 5 // % profit rise needed before an increase in position size is made losstodec = 5 // % loss needed before a decrease in position size is made maxdrawdown = 50 // maximum % draw down allowed from highest ever equity before stopping strategy maxcapitaldrop = 50 // maximum % starting capital lost before stopping strategy ONCE highestprofit = 0 ONCE count = 0 ONCE win = 0 ONCE winrate = 0 ONCE MMpositionsize = 1 ONCE psperc = (MMpositionsize*startingsize) / (capital/100) ONCE equity = StartingCapital ONCE Profit1 = 0 IF SSC = 1 THEN if strategyprofit < strategyprofit[1] then Profit1 = highestprofit - (strategyprofit[1] - strategyprofit) highestprofit = highestprofit - Profit1 Profit1 = 0 ELSIF strategyprofit > strategyprofit[1] then Profit1 = (strategyprofit - strategyprofit[1])*0.7 highestprofit = highestprofit + Profit1 Profit1 = 0 if count < tradesbeforewrquit OR winrate > winratequit/100 then count = count + 1 if strategyprofit > strategyprofit[1] then win = win + 1 endif ENDIF winrate = win/count ENDIF if count >= tradesbeforewrquit AND winrate < winratequit/100 then quit endif if barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 then if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then quit endif endif if count >= tradesbeforewrquit AND highestprofit = 0 then if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then quit endif ENDIF IF SSC = 2 THEN MMpositionsize = max(((equity)/startingcapital),minpossize) ENDIF ENDIF //*******************************************************************************************// //Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers (optional) // //*******************************************************************************************// //Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des Modifikators ONCE PSizeL = startingsize ONCE PSizeS = startingsize ONCE MonthSizeL = 0 ONCE MonthSizeS = 0 ONCE WeekSizeL = 0 ONCE WeekSizeS = 0 ONCE DaySizeL = 0 ONCE DaySizeS = 0 ONCE Monatsanfang = 0 ONCE Monatsende = 0 ONCE IntraSizeL = 0 ONCE IntraSizeS = 0 ONCE GapCloseup = 0 ONCE GapClosedown = 0 ONCE VBaisse = 0 ONCE VHausse = 0 ONCE SentimentSizeL = 0 ONCE SentimentSizeS = 0 ONCE MidMonthSizeL = 0 IF Modifiers = 1 THEN IF MarketFlag = 1 THEN IF XetraClose > XetraCloseOld THEN VHausse = VHausse +1 VBaisse = 0 ELSIF XetraClose < XetraCloseOld THEN VHausse = 0 VBaisse = VBaisse +1 ENDIF IF VHausse > 5 THEN SentimentSizeS = 0.5 ELSIF VBaisse > 5 THEN SentimentSizeL = 0.5 ENDIF IF Day > 8 AND Day < 12 THEN MidMonthSizeL = 0.5 ELSE MidMonthSizeL = 0 ENDIF IF CurrentMonth = 1 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 2 AND CurrentMonth >= 3 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth = 4 THEN MonthSizeS = 0 PMonthSizeL = 0.5 ELSIF CurrentMonth = 5 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth = 6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 THEN MonthSizeS = 0 MonthSizeL = 0.25 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF IF Time = Opening THEN If Day >= 01 AND Day <= 08 THEN Monatsanfang = 1 ELSIF Day >= 25 AND Day <= 31 THEN Monatsende = 1 ENDIF ENDIF IF Monatsanfang = 1 THEN IF CurrentMonth >= 1 AND CurrentMonth <= 7 THEN WeekSizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN WeeksizeL = 0 WeekSizeS = 0.25 ELSIF CurrentMonth = 10 THEN WeeksizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THEN WeekSizeL = 0.25 WeekSizeS = 0 ENDIF ENDIF IF Monatsende = 1 THEN IF CurrentMonth = 1 THEN WeekSizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth = 2 THEN WeekSizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 3 AND CurrentMonth <= 6 THEN WeeksizeL = 0.25 WeekSizeS = 0 ELSIF CurrentMonth = 7 THEN WeekSizeL = 0 WeekSizeS = 0 ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN WeekSizeL = 0 WeekSizeS = 0.5 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN WeeksizeL = 0.5 WeekSizeS = 0 ENDIF ENDIF IF OpenDayofWeek = 1 THEN DaySizeL = 0.25 DaySizeS = 0 ELSIF OpenDayofWeek = 5 Then DaySizeL = 0 DaySizeS = 0.25 ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THEN DaySizeL = 0 DaySizeS = 0 ENDIF IF Close < DLow(1) AND DaySLFlag = 1 THEN IntraSizeL = 0.25 IntraSizeS = 0 ELSIF Close > DHigh(1) AND DaySLFlag = 1 THEN IntraSizeL = 0 IntraSizeS = 0.25 ELSIF DaySLFlag = 0 THEN IntraSizeL = 0 IntraSizeS = 0 ENDIF IF Time >= Opening AND Time <= Closing THEN IF Close > ResR2 THEN IDReversalL = 0.25 ELSIF Close > ResR3 THEN IDReversalL = 0.5 ELSIF Close < SupS2 AND Close > SupS3 THEN IDReversalS = 0.25 ELSIF Close < SupS3 THEN IDReversalS = 0.5 ELSIF Close < ResR2 AND Close > SupS2 THEN IDReversalL = 0 IDReversalS = 0 ENDIF ENDIF IF Time = Closing THEN TrendUp = 0 TrendDown = 0 ENDIF IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendUp = 0.25 TrendDown = 0 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendUp = 0 TrendDown = 0.25 ENDIF ENDIF IF Time = Opening AND XetraCloseOld > XetraClose AND Close < XetraClose-10 THEN GapCloseup = 0.5 GapClosedown = 0 ELSIF Time = Opening AND XetraCloseOld < XetraClose AND Close > XetraClose+10 THEN GapCloseup = 0 GapClosedown = 0.5 ENDIF ELSIF MarketFlag = 2 THEN IF CurrentMonth = 1 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 3 OR CurrentMonth = 4 OR CurrentMonth = 5 THEN MonthSizeS = 0 PMonthSizeL = 0.25 ELSIF CurrentMonth = 6 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth = 7 OR CurrentMonth = 8 THEN MonthSizeS = 0 MonthSizeL = 0 ELSIF CurrentMonth = 9 THEN MonthSizeS = 0.25 MonthSizeL = 0 ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN MonthSizeS = 0 MonthSizeL = 0.5 ENDIF ENDIF ENDIF //Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassen IF Reinvest = 1 THEN PositionSizeLong = (PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize) PositionSizeShort = (PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize) ELSIF Reinvest = 0 THEN PositionSizeLong = Min(maxsize,(PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL))*MMpositionsize) PositionSizeShort = Min(maxsize,(PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS))*MMpositionsize) ELSIF Modifiers = 0 THEN PositionSizeLong = Min(maxsize,(PSizeL*MMpositionsize)) PositionSizeShort = Min(maxsize,(PSizeS*MMpositionsize)) ENDIF //*************************************************************************// //Xetra-Korrektur High Low Close, Pivot, Resistance, Support , Flags // //*************************************************************************// ONCE DayClose = 14536 // last numbers before start of algorithm ONCE DayHigh = 14586 ONCE DayLow = 14389 ONCE XetraClose = 14523 ONCE XetraCloseOld = 14423 ONCE ReachedXetra = 1 ONCE ReachedDayClose = 1 ONCE Reachedboth = 1 ONCE ClosetryCount = 0 IF Time = 060000 THEN ReachedXetra = 0 ReachedDayClose = 0 Reachedboth = 0 ClosetryCount = 0 ENDIF IF Time >= 070000 AND Time <= 113000 THEN IF Close >= XetraClose-15 AND Close <= XetraClose+12 THEN ReachedXetra = 1 ENDIF IF Close >= DayClose-10 AND Close <= DayClose+12 THEN ReachedDayClose = 1 ENDIF IF (ReachedXetra = 1) AND (ReachedDayClose = 1) THEN Reachedboth = 1 ENDIF ENDIF Overboth = (Close-5 > XetraClose AND XetraClose > DayClose) OR (Close-5 > DayClose AND DayClose > XetraClose) Underboth = (Close+5 < XetraClose AND XetraClose < DayClose) OR (Close+5 < DayClose AND DayClose < XetraClose) AmplitudeMin = 10 hi = Highest[15](close[1]) lo = Lowest[15](close[1]) IF Time = 174400 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN IF (Close < XetraClose AND (Highest[585] < XetraClose-5)) OR ((Close > XetraClose) AND Lowest[585] > XetraClose+5) THEN XetraCloseOld = XetraClose ENDIF ENDIF IF TIME = 174500 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN XetraClose = Close[0] ENDIF IF Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then DayClose = Close[0] DayHigh = Highest[(840/TF)](close[0]) DayLow = Lowest[(840/TF)](close[0]) ENDIF if Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then Pivot = (DayHigh + DayLow + DayClose) / 3 ResR1 = Pivot + (Pivot - DayLow) ResR2 = Pivot + (Dayhigh - Daylow) ResR3 = Dayhigh + (2 * (Pivot - Daylow)) SupS1 = Pivot - (Dayhigh - Pivot) SupS2 = Pivot - (Dayhigh - Daylow) SupS3 = Daylow - (2 * (Dayhigh - Pivot)) ENDIF //*************************************************************************// //Moving-Average-Clustering-FilterCode (optional) // //*************************************************************************// xx = 15*pipsize //20-pip range xy = 15*pipsize //20-pip range ma4500 = Average[4500,0](close) ma2500 = Average[2500,0](close) ma1000 = average[1000,0](close) ma50 = average[50,0](close) ma100 = average[100,0](close) ma200 = average[200,0](close) MaxMA = max(ma1000,max(ma2500,max(ma100,ma200))) MinMA = min(ma1000,min(ma2500,min(ma100,ma200))) IF ClusterSave = 1 OR ClusterSave = 3 THEN IF (MaxMA - MinMA) <= xx THEN Tradeon = 0 ELSIF (MaxMA - MinMA) > xx THEN IF RobustnessTest = 0 THEN Tradeon = 1 ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THEN Tradeon = 0 ENDIF ENDIF ENDIF IF ClusterSave >= 2 THEN IF (max(ma4500,ma2500)-min(ma4500,ma2500) < xy) OR (max(ma4500,ma1000)-min(ma4500,ma1000) < xy) OR (max(ma2500,ma1000)-min(ma2500,ma1000) < xy) THEN Tradeon = 0 ENDIF ENDIF //*************************************************************************// //R2-Long/S2-Short Filter (optional) // //*************************************************************************// ONCE ForbiddenLong = 0 ONCE ForbiddenShort = 0 IF ForbiddenLSFlag = 1 THEN ForbiddenLong = Close < SupS2 ForbiddenShort = Close > ResR2 ELSIF ForbiddenLSFlag = 2 THEN ForbiddenLong = Close > ResR2 ForbiddenShort = Close < SupS2 ELSIF ForbiddenLSFlag = 3 THEN ForbiddenLong = Close < SupS1 ForbiddenShort = Close > ResR1 ELSIF ForbiddenLSFlag = 4 THEN ForbiddenLong = Close > ResR1 ForbiddenShort = Close < SupS1 ELSIF ForbiddenLSFlag = 0 THEN ForbiddenLong = 0 ForbiddenShort = 0 ENDIF //*************************************************************************// //MA20/MA50- MA30/50- MA100/200- Cross-Flag // //*************************************************************************// MA20 = Average[20](close) MA30 = Average[30](close) MA50 = Average[50](close) MA100 = Average[100](close) MA200 = Average[200](close) MA20over = (MA20 crosses over MA50) MA20under = (MA20 crosses under MA50) MA30over = (MA30 crosses over MA50) MA30under = (MA30 crosses under MA50) MA100over = (MA100 > MA200) MA100under = (MA100 < MA200) //*************************************************************************// //HexenSabbat-Filter // //*************************************************************************// IF HexSabFilter = 1 THEN IF (CurrentMonth = 3 OR CurrentMonth = 6 OR CurrentMonth = 9 OR CurrentMonth = 12) AND OpenDayofWeek = 5 AND Day >= 15 AND Day <= 21 THEN TradeDay = 0 ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN TradeOn = 1 ELSE TradeON = 0 ENDIF ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN TradeON = 1 ELSE TradeON = 0 ENDIF //*************************************************************************// //Daytrend-Flag // //*************************************************************************// ONCE TrendFlag = 0 IF Time = Opening THEN IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN TrendFlag = 1 ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN TrendFlag = -1 ELSIF NOT (DHigh(1) > DHigh(2) AND DLow(1) > DLow(2)) AND NOT (DHigh(1) < DHigh(2) AND DLow(1) < DLow(2)) THEN TrendFlag = 0 ENDIF ENDIF TrendUp = (TrendFlag = 1) TrendDown = (TrendFlag = -1) //*************************************************************************// //trailing stop function Risk, Long, Short // //*************************************************************************// //wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen // TrailingFlag = 0 Special (Code im Modul) // TrailingFlag = 1 Normal // TrailingFlag = 2 Risk trailingstartL = 35*FaktorTS*Faktor1 //LONG trailing will start @trailinstart points profit, TrailingFlag = 0 trailingstartS = 35*FaktorTS*Faktor1 //SHORT trailing will start @trailinstart points profit, TrailingFlag = 0 trailingL = 13*FaktorTS*Faktor1 //trailing to move the "stoploss" trailingS= 13*FaktorTS*Faktor1 //trailing to move the "stoploss" trailingR= 11*FaktorTS*Faktor1 //trailing start+to move the "stoploss" for risky positions, TrailingFlag = 2 SaveDistanceL = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG SaveDistanceS = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG SaveDistanceR = 16*Faktor1 //Minimum Stop-Abstand 10 lt IG MinimumPlus = SpreadGeb //Anzahl Pips zum Breakeven inkl. Spread+Gebühren ONCE TrailingFlag = 0 ONCE newSL = 0 //reset the stoploss value IF NOT ONMARKET THEN TrailingFlag = 0 newSL = 0 ENDIF //************************// //manage long positions // //***********************// IF LOngONMarket AND TrailingFlag = 1 THEN newSL = tradeprice-(trailingstartL*pipsize) ENDIF //breakeven IF LOngONMarket AND (close-tradeprice) >= ((SaveDistanceL+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN newSL = Close-((SaveDistanceL)*pipsize) TrailingFlag = 3 ENDIF IF LOngONMarket AND (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 3 THEN newSL = close-(trailingL*pipsize) ENDIF IF LongOnMarket AND TrailingFlag = 2 THEN newSL = Close-(trailingR*pipsize) ENDIF //breakeven IF LongOnMarket AND (close-tradeprice) >= ((MinimumPlus+SaveDistanceL)) THEN newSL = Close-(SaveDistanceL) TrailingFlag = 4 ENDIF IF LongOnMarket AND (close-newSL) > (trailingL) AND TrailingFlag = 4 THEN newSL = newSL+(close-trailingL) ENDIF //************************// //manage Short positions // //************************// IF ShortONMarket AND TrailingFlag = 1 THEN newSL = tradeprice+(trailingstartS*pipsize) ENDIF //breakeven IF ShortOnMarket AND (tradeprice-close) >= ((SaveDistanceS+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN TrailingFlag = 3 newSL = Close+((SaveDistanceS)*pipsize) ENDIF IF ShortOnMarket AND (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 3 THEN newSL = close+(trailingS*pipsize) ENDIF IF ShortOnMarket AND TrailingFlag = 2 THEN newSL = Close+(trailingR*pipsize) ENDIF //breakeven IF ShortOnMarket AND (tradeprice-close) >= ((MinimumPlus+SaveDistanceS)) THEN newSL = Close-(SaveDistanceS) TrailingFlag = 4 ENDIF IF ShortOnMarket AND (newSL-close) => (trailingS) AND TrailingFlag = 4 THEN newSL = close+((trailingS)) ENDIF //**********************************// //stop order to exit the positions // //*********************************// IF LONGONMARKET AND Close <= Lowest[1440] AND newSL > 0 THEN SELL AT MARKET TrailingFlag = 0 ELSIF ShortOnMarket AND Close >= Highest[1440] AND NewSL > 0 THEN EXITSHORT AT MARKET TrailingFlag = 0 ENDIF IF LongonMarket AND newSL > 0 AND close < newSL THEN SELL AT MARKET ELSIF ShortOnMarket AND newSL > 0 AND close > newSL THEN EXITSHORT AT MARKET ENDIF IF LONGOnMarket AND newSL > 0 AND ((Close < newSL) OR (Average[20] crosses under Average[30] AND Average[30] < Average[50] AND Close < Average[2000] AND Close < Average[100] AND Average[100] < Average[200]) AND Close < Close[1] AND Close < tradeprice-100) THEN SELL AT MARKET TrailingFlag = 0 ELSIF ShortOnMarket AND newSL > 0 AND ((Close => newSL) OR (Average[20] > Average[30] AND Average[30] > Average[50] AND Close > Average[2000] AND Close > Average[100] AND Average[100] > Average[200]) AND Close > Close[1] AND Close > tradeprice+100 ) THEN EXITSHORT AT MARKET TrailingFlag = 0 ENDIF IF Time = 220000 THEN IF LongOnMarket THEN newSL = newSL +2 ELSIF ShortOnMarket THEN newSL = newSL -2 ENDIF ENDIF //stop order to exit the positions if price went high/low enough IF LongonMarket AND (Close - TradePrice) > 250 THEN SELL AT MARKET newSL = 0 TrailingFlag = 0 ELSIF ShortonMarket AND (TradePrice - Close) > 250 THEN EXITSHORT AT MARKET newSL = 0 TrailingFlag = 0 ENDIF //stop order to exit the positions if marketClose and price went high/low enough IF LongonMarket AND (Time >= 220000 OR Time <= 070000) AND (Close - TradePrice) > MinimumPlus THEN SELL AT MARKET TrailingFlag = 0 newSL = 0 ELSIF ShortonMarket AND (Time >= 220000 OR Time <= 070000) AND (TradePrice - Close) > MinimumPlus THEN EXITSHORT AT MARKET TrailingFlag = 0 newSL = 0 ENDIF //*************************************************************************// //Dayly-Gap-Strategy // //*************************************************************************// IF ClosetryCount < 10 THEN IF ((TIME = 065900)) AND TradeON AND TradeDay AND NOT OnMarket THEN IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND NOT Trenddown AND Close = Highest[30] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME = 075900)) AND NOT Reachedboth AND TradeON AND TradeDay AND NOT OnMarket THEN IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND MACD > -1 AND NOT Trenddown AND Close = Highest[30] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME >= 085400) AND (TIME <= 085500)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 10 AND RSI < 75 AND MACD < 2 AND Close < Average[200] AND Close < Average[10] AND NOT Trendup AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND NOT OnMarket AND Close < Pivot+8 AND Close > Pivot-55 AND Aroonup > 10 AND RSI > 20 AND MACD > -1 AND Close > Average[200] AND CLose > Average[1000] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pLOSS 50*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF ((TIME >= 092500) AND (TIME <= 093500)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 20 AND RSI < 70 AND MACD < 1 AND Close < Average[200] AND Average[50] < Average[100] AND Average[100] < Average[200] AND Close < Average[10000] AND Overboth AND Close = Lowest[90] THEN Sellshort PositionSizeShort Contracts AT MARKET SET TARGET pProfit (Close-Pivot)-5 SET STOP pTrailing 100*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF IF Not Forbiddenlong AND NOT Onmarket AND Close < Pivot+8 AND Close > Pivot-100 AND Aroonup > 20 AND RSI > 25 AND MACD > 0 AND Close > Average[200] AND Average[50] > Average[200] AND Average[100] > Average[200] AND Close < XetraClose AND Underboth AND Close = Highest[90] THEN Buy PositionSizeLong Contracts AT MARKET SET TARGET pProfit (Pivot-Close)-5 SET STOP pTrailing 100*Faktor1 ClosetryCount = ClosetryCount +1 ENDIF ENDIF IF (TIME >= 080000 AND TIME <= 113000) AND Tradeon AND Tradeday THEN IF NOT ForbiddenShort AND Not Onmarket AND Overboth AND Reachedboth = 0 AND (Close > Average[4500]) AND (Close > Average[100]) AND (Close > Average[1000]) AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND Close < Close[1] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN SET TARGET pProfit (Close - DayClose)-5 ELSE SET TARGET pProfit (Close-min(min(DayClose,XetraClose),Pivot))-5 ENDIF SET STOP pTrailing 220*Faktor1 ELSIF NOT ForbiddenShort AND Not Onmarket AND Reachedboth = 0 AND (Close > Average[100]) AND (Close < Average[1000]) AND (Average[2500] < Average[1000]-15) AND (Average[4500] < Average[2500]) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND NOT Trendup AND Close < Close[1] AND Close < Supertrend THEN Sellshort PositionSizeShort Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN SET TARGET pProfit (Close - DayClose)-5 ELSE SET TARGET pProfit (Close-max(max(DayClose,XetraClose),Pivot))-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close < Average[4500]) AND Close < Average[100]) AND ((Average[2500] < Average[1000]) OR (Average[4500] < Average[2500]) OR (Average[4500] < Average[1000])) AND Aroonup > 15 AND RSI > 20 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(max(DayClose,XetraClose),Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLOng AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close > Average[4500]) AND Close > Average[100]) AND ((Average[2500] > Average[1000]) AND (Average[4500] < Average[2500]) AND (Average[4500] < Average[1000])) AND Aroonup > 5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Close > Average[100] AND Average[200] > Average[1000] AND Aroonup > 5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 170*Faktor1 ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) AND (Average[4500] > Average[2500]) AND (Average[1000] > Average[200]) AND Average[200] > Average[100]) AND Close > Average[100] AND Aroonup > 5 AND RSI > 20 AND MACD > -2 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN Buy PositionSizeLong Contracts AT MARKET ClosetryCount = ClosetryCount +1 IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN SET TARGET pProfit (DayClose-Close)-5 ELSE SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5 ENDIF SET STOP pTrailing 200*Faktor1 ENDIF ENDIF ENDIF //*************************************************************************// //Tagesschluss Rallye und Down M/W/D: o/o/o // //*************************************************************************// //up IF Time >= 164500 AND Time <= 173000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN IF Close > (Pivot) THEN IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 5 AND MA20over AND Close < Highest[840] THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ELSIF Close < Pivot AND RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 0 AND MA20over AND Average[50] > Average[100] THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF Time >= 175000 AND Time <= 210000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN IF Close < (Pivot) THEN IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND Average[100] > Average[200] AND Average[200] < Average[1000] AND Average[1000] < Average[2500] AND Average[2500] < Average[4500] AND AroonUp > 0 AND MA20over THEN BUY PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF //down IF (Time >= 164500 AND Time <= 173000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close < (Pivot) THEN IF RSI < 85 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF IF Opendayofweek = 5 AND (Time >= 175000 AND Time <= 184500) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > Pivot AND RSI < 25 AND MACD < -2 AND Close < Average[20] AND Close < Average[50] AND AroonDown > 5 AND Close < Average[100] THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF (Time >= 180000 AND Time <= 190000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > Pivot AND NOT ReachedXetra AND RSI < 75 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under AND Average[100] < Average[200] THEN SellShort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF IF Time >= 180000 AND Time <= 200000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF Close > (Pivot) THEN IF RSI < 75 AND MACD < 2 AND Close < Average[100] AND Average[100] < Average[200] AND Average[100] > Average[1000]+25 AND Average[1000] > Average[2500] AND AroonDown > 0 AND MA20under THEN Sellshort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF IF Time >= 190000 AND Time <= 215900 AND TradeDay AND TRADEON THEN IF Close > ResR1 AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN IF RSI < 75 AND MACD < 2 AND Close < Average[10] AND Average[10] < Average[30] AND Average[100] < Average[200] AND Average[200] > Average[1000] AND MA30under AND AroonDown > 0 THEN Sellshort PositionsizeShort CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ELSIF Close < SupS1 AND NOT ONMARKET AND NOT ForbiddenLong AND Close >= hi THEN IF RSI > 25 AND MACD > -2 AND Close > Average[10] AND Average[10] < Average[30] AND MA30over AND Average[100] > Average[200] AND Average[200] < Average[1000] AND AroonUp > 0 THEN Buy PositionsizeLong CONTRACTS AT MARKET SET STOP pLOSS 60*Faktor1 ENDIF ENDIF ENDIF // JahresendRallye IF Time >= 143000 AND Time <= 171500 AND Close > Average[10000] AND Tradeday AND TradeON AND NOT ForbiddenLong AND NOT Trenddown AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND Close < ResR3 AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN BUY PositionSizeLong CONTRACTS AT MARKET SET STOP pTrailing 100*Faktor1 ENDIF
// Nachmittagsanstieg IF Time >= 143000 AND Time <= 200000 AND NOT Reachedboth AND Tradeday AND TradeON AND NOT ForbiddenLong AND Trendup AND CurrentMonth < 10 AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN BUY PositionSizeLong CONTRACTS AT MARKET SET STOP pTrailing 100*Faktor1 ENDIF

pableitor, Nicolas and plbourse thanked this post

12/13/2022 at 8:52 PM #205729 quote
Stefan Sticker
Participant

New
```
//*************************************************************************//
//Modular Algorithm Library V2.0                                           //
//*************************************************************************//
//Modules:
//Market-Data-Definition+Parameter
///Monthly/Weekly/Daily-Modifiers, Xetra-HLC-Correction, Strategy-Stop-Code mit Money-Management
//Moving-Average-Clustering-Filter, Robustness-Test, Stop-Loss/Trailing-Routines Long/Short/Risk
//Long/Short-Support2/Resistance2-Break-Filter, HexenSabbat-Filter
//Trading Code

//*************************************************************************//
//Parameter                                                                //
//*************************************************************************//
DEFPARAM PreLoadBars =  10000
DEFPARAM CumulateOrders = false
ONCE TradeON = 0
ONCE Tradeday = 0

ONCE IndexFaktoring = 0                                      // 1=ON 0=OFF    Faktoring des Indexkurses
ONCE ClusterSave = 2                                         // 0=OFF 1=small 2=large 3=all          MovingAverage-Clustering-Filter
ONCE startingsize = 0.25                                     // starting position size
ONCE maxsize = 2                                            // maximal positionsize
ONCE ForbiddenLSFlag = 0                                     // 0=OFF 1=ON 2=Reverse 3=Strict 4=StrictReverse      S1/S2/Short-R1/R2/Long-Filter
ONCE RobustnessTest = 0                                       // 0=OFF 1=ON                  Robustness-Test
ONCE SSC = 0                                                  // 0=OFF 1=ON  2=Alternative  Strategy-Stop-Code
ONCE Reinvest = 1                                              // 0=OFF 1=ON  Gewinne reinvestieren
ONCE ReinvestValue = 0.5                                         //Reinvestitionsanteil
ONCE StartingCapital = 20000                                   //  Startkapital
ONCE Modifiers = 1                                             // 0=OFF 1=ON                  Modifikatoren auf PositionSize
ONCE DaySLFlag = 1                                             // 0=OFF 1=ON             Intraday Short/Long-Reversal-Flag (Modifier)
ONCE MarketFlag = 1                                           // 1=DAX 2=DJI   Marktauswahl
ONCE HexSabFilter = 1                                          // 0=OFF 1=ON   HexenSabbatFilter
ONCE Overnight = 1                                           // 0=NO 1=YES Overnight Holding allowed

//*************************************************************************//
//Market Data                                                              //
//*************************************************************************//
ONCE Opening = 080000      // Eröffnungszeit DAX
ONCE Closing = 220000      // Schlusszeit DAX
ONCE TF = 1       // TimeFrame in Minuten DAX
ONCE SpreadGeb = 4      // Spread+Gebühren DAX
ONCE Indexfaktor = 13000
ONCE Faktor1 = Close / Indexfaktor
ONCE FaktorTS = 1      // Trailing-Stop-Multiplikator

IF MarketFlag = 1 THEN
Opening = 080000      // Eröffnungszeit DAX
Closing = 220000      // Schlusszeit DAX
TF = 1        // TimeFrame in Minuten DAX
SpreadGeb = 4       // Spread+Gebühren DAX
ONCE FaktorTS = 1      // Trailing-Stop-Multiplikator
IF IndexFaktoring = 1 THEN
Indexfaktor = 14000
ELSIF Indexfaktoring = 0 THEN
Indexfaktor = Close
ENDIF
Faktor1 = Close / Indexfaktor
ENDIF

IF MarketFlag = 2 THEN
Opening = 080000      // Eröffnungszeit DJI
Closing = 220000      // Schlusszeit DJI
TF = 1        // TimeFrame in Minuten DJI
SpreadGeb = 4       // Spread+Gebühren DJI
IF IndexFaktoring = 1 THEN
Indexfaktor = 30000
ELSIF Indexfaktoring = 0 THEN
Indexfaktor = Close
ENDIF
Faktor1 = Close / Indexfaktor
ONCE FaktorTS = 2.5      // Trailing-Stop-Multiplikator
ENDIF

IF OpenDayOfWeek > 0 AND OpenDayOfWeek < 6 AND NOT (Month = 10 AND Day = 3) AND NOT (Month = 5 AND Day = 1) AND NOT (Month = 12 AND Day = 24) AND NOT (MONTH = 12 AND Day = 25) AND NOT (MONTH = 12 AND Day = 26) AND NOT (MONTH = 12 AND Day = 30) AND NOT (MONTH = 12 AND Day = 26) THEN
Tradeday = 1
ELSE
Tradeday = 0
ENDIF

//Flat Failsave
If ONMARKET AND Overnight = 0 AND (Time < Opening OR Time > Closing) THEN
SELL AT Market
EXITSHORT AT Market
ENDIF

//*************************************************************************//
//Algorithm Robustness-Test                                                //
//*************************************************************************//
StartDate = 20000101  // Parameter
Qty = 5   // Parameter
Rndom = 3  // Parameter
once j = 0
once flag = 1

IF RobustnessTest = 1 THEN
if flag = 1 then
j = j + 1
if j > qty then
flag = -1
j = j - 1
endif
endif
if flag = -1 then
j = j - 1
if j = 0 then
j = j + rndom
flag = 1
endif
endif
 
if opendate >= startdate AND (barindex mod qty = 0 or barindex mod qty = j) then
tradeon = 1
ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) then
tradeon = 0
endif
ENDIF

//*************************************************************************//
//Strategy-Stop-Code, Money Management/ReInvest                            //
//*************************************************************************//
barsbeforenextcheck = 30  // number of bars between performance checks
drawdownquitting = 1      // drawdown quitting on or off (on=1 off=0)
winratequit = 50          // minimum win rate in % allowed before quitting (0 = off)
tradesbeforewrquit = 50   // number of trades required before a win rate stop of strategy is allowed to happen
increase = 1              // position size increasing on or off (on=1 off=0)
decrease = 1              // position size decreasing on or off (on=1 off=0)
capital = StartingCapital // starting capital
minpossize = 1          // minimum position size allowed
gaintoinc = 5             // % profit rise needed before an increase in position size is made
losstodec = 5             // % loss needed before a decrease in position size is made
maxdrawdown = 50          // maximum % draw down allowed from highest ever equity before stopping strategy
maxcapitaldrop = 50       // maximum % starting capital lost before stopping strategy
ONCE highestprofit = 0
ONCE count = 0
ONCE win = 0
ONCE winrate = 0
ONCE MMpositionsize = 1
ONCE psperc = (MMpositionsize*startingsize) / (capital/100)
ONCE equity = StartingCapital
ONCE Profit1 = 0

IF SSC = 1 THEN
if strategyprofit < strategyprofit[1] then
Profit1 = highestprofit - (strategyprofit[1] - strategyprofit)
highestprofit = highestprofit - Profit1
Profit1 = 0
ELSIF strategyprofit > strategyprofit[1] then
Profit1 = (strategyprofit - strategyprofit[1])*0.7
highestprofit = highestprofit + Profit1
Profit1 = 0
if count < tradesbeforewrquit OR winrate > winratequit/100 then
count = count + 1
if strategyprofit > strategyprofit[1] then
win = win + 1
endif
ENDIF
winrate = win/count
ENDIF
if count >= tradesbeforewrquit AND winrate < winratequit/100 then
quit
endif
if barindex mod barsbeforenextcheck = 0 AND drawdownquitting AND highestprofit <> 0 then
if (capital + strategyprofit) <= (capital + highestprofit) - ((capital + highestprofit)*(maxdrawdown/100)) then
quit
endif
endif
if count >= tradesbeforewrquit AND highestprofit = 0 then
if (capital + strategyprofit) <= capital - (capital * (maxcapitaldrop/100)) then
quit
endif
ENDIF
IF SSC = 2 THEN
MMpositionsize = max(((equity)/startingcapital),minpossize)
ENDIF
ENDIF

//*******************************************************************************************//
//Position Size,Monthly,Weekly,Daily,Intra,Trend,Reversal Modifiers (optional)               //
//*******************************************************************************************//
//Berechnung am Schluss löschen ( auf 1 setzen) für Löschen des Modifikators
ONCE PSizeL = startingsize
ONCE PSizeS = startingsize
ONCE MonthSizeL = 0
ONCE MonthSizeS = 0
ONCE WeekSizeL = 0
ONCE WeekSizeS = 0
ONCE DaySizeL = 0
ONCE DaySizeS = 0
ONCE Monatsanfang = 0
ONCE Monatsende = 0
ONCE IntraSizeL = 0
ONCE IntraSizeS = 0
ONCE GapCloseup = 0
ONCE GapClosedown = 0
ONCE VBaisse = 0
ONCE VHausse = 0
ONCE SentimentSizeL = 0
ONCE SentimentSizeS = 0
ONCE MidMonthSizeL = 0

IF Modifiers = 1 THEN
IF MarketFlag = 1 THEN
IF XetraClose > XetraCloseOld THEN
VHausse = VHausse +1
VBaisse = 0
ELSIF XetraClose < XetraCloseOld THEN
VHausse = 0
VBaisse = VBaisse +1
ENDIF
IF VHausse > 5 THEN
SentimentSizeS = 0.5
ELSIF VBaisse > 5 THEN
SentimentSizeL = 0.5
ENDIF
IF Day > 8 AND Day < 12 THEN
MidMonthSizeL = 0.5
ELSE
MidMonthSizeL = 0
ENDIF
IF CurrentMonth = 1 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth >= 2 AND CurrentMonth >= 3 THEN
MonthSizeS = 0
MonthSizeL = 0.25
ELSIF CurrentMonth = 4 THEN
MonthSizeS = 0
PMonthSizeL = 0.5
ELSIF CurrentMonth = 5 THEN
MonthSizeS = 0
MonthSizeL = 0
ELSIF CurrentMonth = 6 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth = 7 THEN
MonthSizeS = 0
MonthSizeL = 0.25
ELSIF CurrentMonth >= 8  AND CurrentMonth <= 9 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN
MonthSizeS = 0
MonthSizeL = 0.5
ENDIF
IF Time = Opening THEN
If Day >= 01 AND Day <= 08 THEN
Monatsanfang = 1
ELSIF Day >= 25 AND Day <= 31 THEN
Monatsende = 1
ENDIF
ENDIF
IF Monatsanfang = 1 THEN
IF CurrentMonth >= 1 AND CurrentMonth <= 7 THEN
WeekSizeL = 0.25
WeekSizeS = 0
ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN
WeeksizeL = 0
WeekSizeS = 0.25
ELSIF CurrentMonth = 10 THEN
WeeksizeL = 0
WeekSizeS = 0
ELSIF CurrentMonth >= 11 AND CurrentMonth <= 12 THEN
WeekSizeL = 0.25
WeekSizeS = 0
ENDIF
ENDIF
IF Monatsende = 1 THEN
IF CurrentMonth = 1 THEN
WeekSizeL = 0.25
WeekSizeS = 0
ELSIF CurrentMonth = 2 THEN
WeekSizeL = 0
WeekSizeS = 0
ELSIF CurrentMonth >= 3 AND CurrentMonth <= 6 THEN
WeeksizeL = 0.25
WeekSizeS = 0
ELSIF CurrentMonth = 7 THEN
WeekSizeL = 0
WeekSizeS = 0
ELSIF CurrentMonth >= 8 AND CurrentMonth <= 9 THEN
WeekSizeL = 0
WeekSizeS = 0.5
ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN
WeeksizeL = 0.5
WeekSizeS = 0
ENDIF
ENDIF
IF OpenDayofWeek = 1 THEN
DaySizeL = 0.25
DaySizeS = 0
ELSIF OpenDayofWeek = 5 Then
DaySizeL = 0
DaySizeS = 0.25
ELSIF OpenDayofWeek <1 OR (OpenDayofWeek >= 2 AND OpenDayOfWeek <= 4) OR OpenDayofWeek = 6 THEN
DaySizeL = 0
DaySizeS = 0
ENDIF
IF Close < DLow(1) AND DaySLFlag = 1 THEN
IntraSizeL = 0.25
IntraSizeS = 0
ELSIF Close > DHigh(1) AND DaySLFlag = 1 THEN
IntraSizeL = 0
IntraSizeS = 0.25
ELSIF DaySLFlag = 0 THEN
IntraSizeL = 0
IntraSizeS = 0
ENDIF
IF Time >= Opening AND Time <= Closing THEN
IF Close > ResR2 THEN
IDReversalL = 0.25
ELSIF Close > ResR3 THEN
IDReversalL = 0.5
ELSIF Close < SupS2 AND Close > SupS3 THEN
IDReversalS = 0.25
ELSIF Close < SupS3 THEN
IDReversalS = 0.5
ELSIF Close < ResR2 AND Close > SupS2 THEN
IDReversalL = 0
IDReversalS = 0
ENDIF
ENDIF
IF Time = Closing THEN
TrendUp = 0
TrendDown = 0
ENDIF
IF Time = Opening THEN
IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN
TrendUp = 0.25
TrendDown = 0
ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN
TrendUp = 0
TrendDown = 0.25
ENDIF
ENDIF
IF Time = Opening AND XetraCloseOld > XetraClose AND Close < XetraClose-10 THEN
GapCloseup = 0.5
GapClosedown = 0
ELSIF Time = Opening AND XetraCloseOld < XetraClose AND Close > XetraClose+10 THEN
GapCloseup = 0
GapClosedown = 0.5
ENDIF
ELSIF MarketFlag = 2 THEN
IF CurrentMonth = 1 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth = 3 OR CurrentMonth = 4 OR CurrentMonth = 5 THEN
MonthSizeS = 0
PMonthSizeL = 0.25
ELSIF CurrentMonth =  6 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth = 7 OR CurrentMonth = 8 THEN
MonthSizeS = 0
MonthSizeL = 0
ELSIF CurrentMonth = 9 THEN
MonthSizeS = 0.25
MonthSizeL = 0
ELSIF CurrentMonth >= 10 AND CurrentMonth <= 12 THEN
MonthSizeS = 0
MonthSizeL = 0.5
ENDIF
ENDIF
ENDIF

//Einzelne Komponenten können nach belieben hier gelöscht werden, um die Modifikationen an eigene Vorstellungen anzupassen
IF Reinvest = 1 THEN
PositionSizeLong = (PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize)
PositionSizeShort = (PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS)*Min(maxsize,(1+(strategyprofit/startingcapital)*Reinvestvalue))*MMpositionsize)
ELSIF Reinvest = 0 THEN
PositionSizeLong = Min(maxsize,(PSizeL*(PSizeL+TrendUp+IDReversalL+IntraSizeL+DaySizeL+WeekSizeL+MonthSizeL+GapCloseup+SentimentSizeL+MidMonthSizeL))*MMpositionsize)
PositionSizeShort = Min(maxsize,(PSizeS*(PSizeS+TrendDown+IDReversalS+IntraSizeS+DaySizeS+WeekSizeL+MonthSizeS+GapClosedown+SentimentSizeS))*MMpositionsize)
ELSIF Modifiers = 0 THEN
PositionSizeLong = Min(maxsize,(PSizeL*MMpositionsize))
PositionSizeShort = Min(maxsize,(PSizeS*MMpositionsize))
ENDIF

//*************************************************************************//
//Xetra-Korrektur High Low Close, Pivot, Resistance, Support , Flags       //
//*************************************************************************//
ONCE DayClose = 14536             // last numbers before start of algorithm
ONCE DayHigh = 14586
ONCE DayLow = 14389
ONCE XetraClose = 14523
ONCE XetraCloseOld = 14423

ONCE ReachedXetra = 1
ONCE ReachedDayClose = 1
ONCE Reachedboth = 1
ONCE ClosetryCount = 0

IF Time = 060000 THEN
ReachedXetra = 0
ReachedDayClose = 0
Reachedboth = 0
ClosetryCount = 0
ENDIF

IF Time >= 070000 AND Time <= 113000 THEN
IF Close >= XetraClose-15 AND Close <= XetraClose+12 THEN
ReachedXetra = 1
ENDIF
IF Close >= DayClose-10 AND Close <= DayClose+12 THEN
ReachedDayClose = 1
ENDIF
IF (ReachedXetra = 1) AND (ReachedDayClose = 1) THEN
Reachedboth = 1
ENDIF
ENDIF

Overboth = (Close-5 > XetraClose AND XetraClose > DayClose) OR (Close-5 > DayClose AND DayClose > XetraClose)
Underboth = (Close+5 < XetraClose AND XetraClose < DayClose) OR (Close+5 < DayClose AND DayClose < XetraClose)
AmplitudeMin = 10
hi = Highest[15](close[1])
lo = Lowest[15](close[1])

IF Time = 174400 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN
IF (Close < XetraClose AND (Highest[585] < XetraClose-5)) OR ((Close > XetraClose) AND Lowest[585] > XetraClose+5) THEN
XetraCloseOld = XetraClose
ENDIF
ENDIF
IF TIME = 174500 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday THEN
XetraClose = Close[0]
ENDIF

IF Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then
DayClose = Close[0]
DayHigh = Highest[(840/TF)](close[0])
DayLow = Lowest[(840/TF)](close[0])
ENDIF

if Time = 220000 AND OPENDAYOFWEEK <6 AND OPENDAYOFWEEK >0 AND Tradeday then
Pivot = (DayHigh + DayLow + DayClose) / 3
ResR1 = Pivot + (Pivot - DayLow)
ResR2 = Pivot + (Dayhigh - Daylow)
ResR3 = Dayhigh + (2 * (Pivot - Daylow))
SupS1 = Pivot - (Dayhigh - Pivot)
SupS2 = Pivot - (Dayhigh - Daylow)
SupS3 = Daylow - (2 * (Dayhigh - Pivot))
ENDIF

//*************************************************************************//
//Moving-Average-Clustering-FilterCode (optional)                          //
//*************************************************************************//
xx = 15*pipsize             //20-pip range
xy = 15*pipsize             //20-pip range
ma4500 = Average[4500,0](close)
ma2500 = Average[2500,0](close)
ma1000   = average[1000,0](close)
ma50  = average[50,0](close)
ma100 = average[100,0](close)
ma200 = average[200,0](close)
MaxMA = max(ma1000,max(ma2500,max(ma100,ma200)))
MinMA = min(ma1000,min(ma2500,min(ma100,ma200)))

IF ClusterSave = 1 OR ClusterSave = 3 THEN
IF (MaxMA - MinMA) <= xx THEN
Tradeon = 0
ELSIF (MaxMA - MinMA) > xx THEN
IF RobustnessTest = 0 THEN
Tradeon = 1
ELSIF opendate >= startdate AND NOT (barindex mod qty = 0 or barindex mod qty = j) THEN
Tradeon = 0
ENDIF
ENDIF
ENDIF
IF ClusterSave >= 2 THEN
IF (max(ma4500,ma2500)-min(ma4500,ma2500) < xy) OR (max(ma4500,ma1000)-min(ma4500,ma1000) < xy) OR (max(ma2500,ma1000)-min(ma2500,ma1000) < xy) THEN
Tradeon = 0
ENDIF
ENDIF

//*************************************************************************//
//R2-Long/S2-Short Filter (optional)                                       //
//*************************************************************************//
ONCE ForbiddenLong = 0
ONCE ForbiddenShort = 0

IF ForbiddenLSFlag = 1 THEN
ForbiddenLong = Close < SupS2
ForbiddenShort = Close > ResR2
ELSIF ForbiddenLSFlag = 2 THEN
ForbiddenLong = Close > ResR2
ForbiddenShort = Close < SupS2
ELSIF ForbiddenLSFlag = 3 THEN
ForbiddenLong = Close < SupS1
ForbiddenShort = Close > ResR1
ELSIF ForbiddenLSFlag = 4 THEN
ForbiddenLong = Close > ResR1
ForbiddenShort = Close < SupS1
ELSIF ForbiddenLSFlag = 0 THEN
ForbiddenLong = 0
ForbiddenShort = 0
ENDIF

//*************************************************************************//
//MA20/MA50- MA30/50-  MA100/200-   Cross-Flag                             //
//*************************************************************************//
MA20 = Average[20](close)
MA30 = Average[30](close)
MA50 = Average[50](close)
MA100 = Average[100](close)
MA200 = Average[200](close)
MA20over = (MA20 crosses over MA50)
MA20under = (MA20 crosses under MA50)
MA30over = (MA30 crosses over MA50)
MA30under = (MA30 crosses under MA50)
MA100over = (MA100 > MA200)
MA100under = (MA100 < MA200)

//*************************************************************************//
//HexenSabbat-Filter                                                       //
//*************************************************************************//
IF HexSabFilter = 1 THEN
IF (CurrentMonth = 3 OR CurrentMonth = 6 OR CurrentMonth = 9 OR CurrentMonth = 12) AND OpenDayofWeek = 5 AND Day >= 15 AND Day <= 21 THEN
TradeDay = 0
ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN
TradeOn = 1
ELSE
TradeON = 0
ENDIF
ELSIF RobustnessTest = 0 AND Opening AND Tradeday THEN
TradeON = 1
ELSE
TradeON = 0
ENDIF

//*************************************************************************//
//Daytrend-Flag                                                            //
//*************************************************************************//
ONCE TrendFlag = 0

IF Time = Opening THEN
IF DHigh(1) > DHigh(2) AND DLow(1) > DLow(2) THEN
TrendFlag = 1
ELSIF DHigh(1) < DHigh(2) AND DLow(1) < DLow(2) THEN
TrendFlag = -1
ELSIF NOT (DHigh(1) > DHigh(2) AND DLow(1) > DLow(2)) AND NOT (DHigh(1) < DHigh(2) AND DLow(1) < DLow(2)) THEN
TrendFlag = 0
ENDIF
ENDIF
TrendUp = (TrendFlag = 1)
TrendDown = (TrendFlag = -1)

//*************************************************************************//
//trailing stop function      Risk, Long, Short                            //
//*************************************************************************//
//wenn gewünscht die Parameter ändern oder die SET STOP-CODES löschen
// TrailingFlag = 0 Special (Code im Modul)
// TrailingFlag = 1 Normal
// TrailingFlag = 2 Risk
trailingstartL = 35*FaktorTS*Faktor1      //LONG  trailing will start @trailinstart points profit, TrailingFlag = 0
trailingstartS = 35*FaktorTS*Faktor1       //SHORT trailing will start @trailinstart points profit, TrailingFlag = 0
trailingL = 13*FaktorTS*Faktor1            //trailing to move the "stoploss"
trailingS= 13*FaktorTS*Faktor1            //trailing to move the "stoploss"
trailingR= 11*FaktorTS*Faktor1            //trailing start+to move the "stoploss" for risky positions, TrailingFlag = 2
SaveDistanceL = 16*Faktor1       //Minimum Stop-Abstand 10 lt IG
SaveDistanceS = 16*Faktor1      //Minimum Stop-Abstand 10 lt IG
SaveDistanceR = 16*Faktor1       //Minimum Stop-Abstand 10 lt IG
MinimumPlus = SpreadGeb     //Anzahl Pips zum Breakeven inkl. Spread+Gebühren
ONCE TrailingFlag = 0
ONCE newSL = 0

//reset the stoploss value
IF NOT ONMARKET THEN
TrailingFlag = 0
newSL = 0
ENDIF

//************************//
//manage long positions   //
//***********************//
IF LOngONMarket AND TrailingFlag = 1 THEN
newSL = tradeprice-(trailingstartL*pipsize)
ENDIF
//breakeven
IF LOngONMarket AND (close-tradeprice) >= ((SaveDistanceL+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN
newSL = Close-((SaveDistanceL)*pipsize)
TrailingFlag = 3
ENDIF
IF LOngONMarket AND (close-newSL) >= ((trailingL)*pipsize) AND TrailingFlag = 3 THEN
newSL = close-(trailingL*pipsize)
ENDIF
IF LongOnMarket AND TrailingFlag = 2 THEN
newSL = Close-(trailingR*pipsize)
ENDIF
//breakeven
IF LongOnMarket AND (close-tradeprice) >= ((MinimumPlus+SaveDistanceL)) THEN
newSL = Close-(SaveDistanceL)
TrailingFlag = 4
ENDIF
IF LongOnMarket AND (close-newSL) > (trailingL) AND TrailingFlag = 4 THEN
newSL = newSL+(close-trailingL)
ENDIF

//************************//
//manage Short positions  //
//************************//
IF ShortONMarket AND TrailingFlag = 1 THEN
newSL = tradeprice+(trailingstartS*pipsize)
ENDIF
//breakeven
IF ShortOnMarket AND (tradeprice-close) >= ((SaveDistanceS+MinimumPlus)*pipsize) AND TrailingFlag = 1 THEN
TrailingFlag = 3
newSL = Close+((SaveDistanceS)*pipsize)
ENDIF
IF ShortOnMarket AND (newSL-close) >= (trailingS*pipsize) AND TrailingFlag = 3 THEN
newSL = close+(trailingS*pipsize)
ENDIF
IF ShortOnMarket AND TrailingFlag = 2 THEN
newSL = Close+(trailingR*pipsize)
ENDIF
//breakeven
IF ShortOnMarket AND (tradeprice-close) >= ((MinimumPlus+SaveDistanceS)) THEN
newSL = Close-(SaveDistanceS)
TrailingFlag = 4
ENDIF
IF ShortOnMarket AND (newSL-close) => (trailingS) AND TrailingFlag = 4 THEN
newSL = close+((trailingS))
ENDIF

//**********************************//
//stop order to exit the positions //
//*********************************//
IF LONGONMARKET AND Close <= Lowest[1440] AND newSL > 0 THEN
SELL AT MARKET
TrailingFlag = 0
ELSIF ShortOnMarket AND Close >= Highest[1440] AND NewSL > 0 THEN
EXITSHORT AT MARKET
TrailingFlag = 0
ENDIF
IF LongonMarket AND newSL > 0 AND close < newSL THEN
SELL AT MARKET
ELSIF ShortOnMarket AND newSL > 0 AND close > newSL THEN
EXITSHORT AT MARKET
ENDIF
IF LONGOnMarket AND newSL > 0 AND ((Close < newSL) OR (Average[20] crosses under Average[30] AND Average[30] < Average[50] AND Close < Average[2000] AND Close < Average[100] AND Average[100] < Average[200]) AND Close < Close[1] AND Close < tradeprice-100) THEN
SELL AT MARKET
TrailingFlag = 0
ELSIF ShortOnMarket AND newSL > 0 AND ((Close => newSL) OR (Average[20] > Average[30] AND Average[30] > Average[50] AND Close > Average[2000] AND Close > Average[100] AND Average[100] > Average[200]) AND Close > Close[1] AND Close > tradeprice+100 ) THEN
EXITSHORT AT MARKET
TrailingFlag = 0
ENDIF
IF Time = 220000 THEN
IF LongOnMarket THEN
newSL = newSL +2
ELSIF ShortOnMarket THEN
newSL = newSL -2
ENDIF
ENDIF

//stop order to exit the positions if price went high/low enough
IF LongonMarket AND (Close - TradePrice) > 250 THEN
SELL AT MARKET
newSL = 0
TrailingFlag = 0
ELSIF ShortonMarket AND (TradePrice - Close) > 250 THEN
EXITSHORT AT MARKET
newSL = 0
TrailingFlag = 0
ENDIF

//stop order to exit the positions if marketClose and price went high/low enough
IF LongonMarket AND (Time >= 220000 OR Time <= 070000) AND (Close - TradePrice) > MinimumPlus THEN
SELL AT MARKET
TrailingFlag = 0
newSL = 0
ELSIF ShortonMarket AND (Time >= 220000 OR Time <= 070000) AND (TradePrice - Close) > MinimumPlus THEN
EXITSHORT AT MARKET
TrailingFlag = 0
newSL = 0
ENDIF

//*************************************************************************//
//Dayly-Gap-Strategy                                                       //
//*************************************************************************//
IF ClosetryCount < 10 THEN
IF ((TIME = 065900)) AND TradeON AND TradeDay AND NOT OnMarket THEN
IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET TARGET pProfit (Close-Pivot)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND NOT Trenddown AND Close = Highest[30] THEN
Buy PositionSizeLong Contracts AT MARKET
SET TARGET pProfit (Pivot-Close)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
ENDIF

IF ((TIME = 075900)) AND NOT Reachedboth AND TradeON AND TradeDay AND NOT OnMarket THEN
IF NOT Forbiddenshort AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND NOT Trendup AND Close < Average[10000] AND Close < Supertrend THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET TARGET pProfit (Close-Pivot)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
IF Not Forbiddenlong AND Close < Pivot-8 AND Close > Pivot-55 AND Aroonup > 0 AND RSI > 20 AND MACD > -1 AND NOT Trenddown AND Close = Highest[30] THEN
Buy PositionSizeLong Contracts AT MARKET
SET TARGET pProfit (Pivot-Close)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
ENDIF

IF ((TIME >= 085400) AND (TIME <= 085500)) AND TradeON AND TradeDay THEN
IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 10 AND RSI < 75 AND MACD < 2 AND Close < Average[200] AND Close < Average[10] AND NOT Trendup AND Close < Supertrend THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET TARGET pProfit (Close-Pivot)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
IF Not Forbiddenlong AND NOT OnMarket AND Close < Pivot+8 AND Close > Pivot-55 AND Aroonup > 10 AND RSI > 20 AND MACD > -1 AND Close > Average[200] AND CLose > Average[1000] THEN
Buy PositionSizeLong Contracts AT MARKET
SET TARGET pProfit (Pivot-Close)-5
SET STOP pLOSS 50*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
ENDIF

IF ((TIME >= 092500) AND (TIME <= 093500)) AND TradeON AND TradeDay THEN
IF NOT Forbiddenshort AND NOT OnMarket AND Close > Pivot+8 AND Close < Pivot+100 AND Aroondown > 20 AND RSI < 70 AND MACD < 1 AND Close < Average[200] AND Average[50] < Average[100] AND Average[100] < Average[200] AND Close < Average[10000] AND Overboth AND Close = Lowest[90] THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET TARGET pProfit (Close-Pivot)-5
SET STOP pTrailing 100*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
IF Not Forbiddenlong AND NOT Onmarket AND Close < Pivot+8 AND Close > Pivot-100 AND Aroonup > 20 AND RSI > 25 AND MACD > 0 AND Close > Average[200] AND Average[50] > Average[200] AND Average[100] > Average[200] AND Close < XetraClose AND Underboth AND Close = Highest[90] THEN
Buy PositionSizeLong Contracts AT MARKET
SET TARGET pProfit (Pivot-Close)-5
SET STOP pTrailing 100*Faktor1
ClosetryCount = ClosetryCount +1
ENDIF
ENDIF

IF (TIME >= 080000 AND TIME <= 113000) AND Tradeon AND Tradeday THEN
IF NOT ForbiddenShort AND Not Onmarket AND Overboth AND Reachedboth = 0 AND (Close > Average[4500]) AND (Close > Average[100]) AND (Close > Average[1000]) AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND Close < Close[1] AND Close < Supertrend THEN
Sellshort PositionSizeShort Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN
SET TARGET pProfit (Close - DayClose)-5
ELSE
SET TARGET pProfit (Close-min(min(DayClose,XetraClose),Pivot))-5
ENDIF
SET STOP pTrailing 220*Faktor1
ELSIF NOT ForbiddenShort AND Not Onmarket AND Reachedboth = 0 AND (Close > Average[100]) AND (Close < Average[1000]) AND (Average[2500] < Average[1000]-15) AND (Average[4500] < Average[2500]) AND Aroondown > 5 AND RSI < 75 AND MACD < 2 AND Close < Highest[600] AND NOT Trendup AND Close < Close[1] AND Close < Supertrend THEN
Sellshort PositionSizeShort Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close > DayClose+10 AND DayClose > (max(Pivot,XetraClose)) THEN
SET TARGET pProfit (Close - DayClose)-5
ELSE
SET TARGET pProfit (Close-max(max(DayClose,XetraClose),Pivot))-5
ENDIF
SET STOP pTrailing 170*Faktor1
ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close < Average[4500]) AND Close < Average[100]) AND ((Average[2500] < Average[1000]) OR (Average[4500] < Average[2500]) OR (Average[4500] < Average[1000])) AND Aroonup > 15 AND RSI > 20 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN
Buy PositionSizeLong Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN
SET TARGET pProfit (DayClose-Close)-5
ELSE
SET TARGET pProfit (max(max(DayClose,XetraClose),Pivot)-Close)-5
ENDIF
SET STOP pTrailing 170*Faktor1
ELSIF NOT ForbiddenLOng AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Close > Average[4500]) AND Close > Average[100]) AND ((Average[2500] > Average[1000]) AND (Average[4500] < Average[2500]) AND (Average[4500] < Average[1000])) AND Aroonup > 5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN
Buy PositionSizeLong Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN
SET TARGET pProfit (DayClose-Close)-5
ELSE
SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5
ENDIF
SET STOP pTrailing 170*Faktor1
ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) OR (Average[4500] > Average[2500]) OR (Average[4500] > Average[1000])) AND Close > Average[100] AND Average[200] > Average[1000] AND Aroonup >  5 AND RSI > 20 AND MACD > -5 AND NOT Trenddown AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN
Buy PositionSizeLong Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN
SET TARGET pProfit (DayClose-Close)-5
ELSE
SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5
ENDIF
SET STOP pTrailing 170*Faktor1
ELSIF NOT ForbiddenLong AND NOT OnMarket AND Underboth AND Reachedboth = 0 AND ((Average[2500] > Average[1000]) AND (Average[4500] > Average[2500]) AND (Average[1000] > Average[200]) AND Average[200] > Average[100]) AND Close > Average[100] AND Aroonup > 5 AND RSI > 20 AND MACD > -2 AND RSI < 75 AND Close > Close[1] AND Close > Supertrend THEN
Buy PositionSizeLong Contracts AT MARKET
ClosetryCount = ClosetryCount +1
IF Close < DayClose-10 AND DayClose < (min(XetraClose,Pivot)) THEN
SET TARGET pProfit (DayClose-Close)-5
ELSE
SET TARGET pProfit (max(XetraClose,Pivot)-Close)-5
ENDIF
SET STOP pTrailing 200*Faktor1
ENDIF
ENDIF
ENDIF

//*************************************************************************//
//Tagesschluss Rallye und Down                            M/W/D: o/o/o     //
//*************************************************************************//
//up
IF Time >= 164500 AND Time <= 173000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN
IF Close > (Pivot) THEN
IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 5 AND MA20over AND Close < Highest[840] THEN
BUY PositionsizeLong CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ELSIF Close < Pivot  AND RSI > 20 AND MACD > -2 AND Close > Average[100] AND AroonUp > 0 AND MA20over AND Average[50] > Average[100]  THEN
BUY PositionsizeLong CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF

IF Time >= 175000 AND Time <= 210000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenLong AND Close => hi THEN
IF Close < (Pivot) THEN
IF RSI > 20 AND MACD > -2 AND Close > Average[100] AND Average[100] > Average[200] AND Average[200] < Average[1000] AND Average[1000] < Average[2500] AND Average[2500] < Average[4500] AND AroonUp > 0 AND MA20over THEN
BUY PositionsizeLong CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF
ENDIF

//down
IF (Time >= 164500 AND Time <= 173000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN
IF Close < (Pivot) THEN
IF RSI < 85 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under THEN
SellShort PositionsizeShort CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF
ENDIF

IF Opendayofweek = 5 AND (Time >= 175000 AND Time <= 184500) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN
IF Close > Pivot AND RSI < 25 AND MACD < -2 AND Close < Average[20] AND Close < Average[50] AND AroonDown > 5 AND Close < Average[100] THEN
SellShort PositionsizeShort CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF

IF (Time >= 180000 AND Time <= 190000) AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN
IF Close > Pivot AND NOT ReachedXetra AND RSI < 75 AND MACD < 2 AND Close < Average[50] AND AroonDown > 5 AND MA20under AND Average[100] < Average[200] THEN
SellShort PositionsizeShort CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF

IF Time >= 180000 AND Time <= 200000 AND TradeDay AND TRADEON AND (hi - lo) > AmplitudeMin AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN
IF Close > (Pivot) THEN
IF RSI < 75 AND MACD < 2 AND Close < Average[100] AND Average[100] < Average[200] AND Average[100] > Average[1000]+25 AND Average[1000] > Average[2500] AND AroonDown > 0 AND MA20under THEN
Sellshort PositionsizeShort CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF
ENDIF

IF Time >= 190000 AND Time <= 215900 AND TradeDay AND TRADEON THEN
IF Close > ResR1 AND NOT ONMARKET AND NOT ForbiddenShort AND Close <= lo THEN
IF RSI < 75 AND MACD < 2 AND Close < Average[10] AND Average[10] < Average[30] AND Average[100] < Average[200] AND Average[200] > Average[1000] AND MA30under AND AroonDown > 0 THEN
Sellshort PositionsizeShort CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ELSIF Close < SupS1 AND NOT ONMARKET AND NOT ForbiddenLong AND Close >= hi THEN
IF RSI > 25 AND MACD > -2 AND Close > Average[10] AND Average[10] < Average[30] AND MA30over AND Average[100] > Average[200] AND Average[200] < Average[1000] AND AroonUp > 0 THEN
Buy PositionsizeLong CONTRACTS AT MARKET
SET STOP pLOSS 60*Faktor1
ENDIF
ENDIF
ENDIF

// JahresendRallye
IF Time >= 143000 AND Time <= 171500 AND Close > Average[10000] AND Tradeday AND TradeON AND NOT ForbiddenLong AND NOT Trenddown AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND Close < ResR3 AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN
BUY PositionSizeLong CONTRACTS AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF

// Nachmittagsanstieg
IF Time >= 143000 AND Time <= 200000 AND NOT Reachedboth AND Tradeday AND TradeON AND NOT ForbiddenLong AND Trendup AND CurrentMonth < 10 AND NOT ONMARKET AND Close > Close[1] AND RSI > 25 AND RSI < 85 AND Close > Average[10] AND Average[20] > Average[30] AND AroonUp > 5 AND Close = Highest[60] AND (Close MOD 100) > 20 AND MACDLine < 10 AND Close > Average[1000] THEN
BUY PositionSizeLong CONTRACTS AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF
```
f1_maik, robertogozzi, Chrisinobi and plbourse thanked this post
12/14/2022 at 8:12 AM #205730 quote

f1_maik
Participant

Junior

Wow!

pableitor and Stefan Sticker thanked this post

12/14/2022 at 11:13 AM #205740 quote

pableitor
Participant

Master

Super…Haben Sie etwas doc darüber?

Stefan Sticker thanked this post

12/14/2022 at 11:16 AM #205741 quote

Stefan Sticker
Participant

New

Jein. Der Code ist Stück für Stück aus Recherche im Forum (Codeschnipsel für Trailing-Stops, MA-Filter etc) gewachsen und bei neuen Erkenntnissen erweitert worden.
Er ist recht modular gehalten und kann mit den Flags am Anfang des Codes zB auf einen gewünschten Zielmarkt gestellt und mit gewünschten Parametern gefüttert werden.
Die einzige Dokumentation dazu ist in den Kommentarzeilen im Code selbst.

bertrandpinoy thanked this post

12/15/2022 at 10:08 AM #205784 quote

killerplatuze
Participant

New

Moin, da hast du dir super viel Mühe gemacht. Kannst du in wenigen Worten zusammen fassen was der Code genau machen soll?

Stefan Sticker and Inertia thanked this post

12/15/2022 at 11:27 AM #205795 quote

robertogozzi
Moderator

Master

Danke, dass du deinen Job teilst Stefan Sticker 🙂

Es wird für viele Leute interessant sein!

Stefan Sticker thanked this post

12/15/2022 at 11:58 AM #205811 quote

Stefan Sticker
Participant

New

Der Code besteht aus mehreren Modulen, die im Kopf aktiviert/deaktiviert/eingestellt werden können.
Ziel war es, ein modulares, auf unterschiedliche Märkte anpassbares System aus den (meiner Meinung nach) besten Bestandteilen an nützlichen Codesnippets des Forums zusammenzustellen.
er enthält
– einen Header mit den wichtigsten Parametern zu den weiteren Modulen
– eine verbesserte Variante eines Seasonality-Codes (vorbereitet für DJI und DAX) inklusive Jahres-/Monats-/Wochentags/Trend-Anpassung
– einen Strategy-Stop- und Money-Management-Code, der Verluste eindämmt
– einen Robustness-Test-Code für Testzwecke im Backtest
– einen anpassbaren Trailing-Stop-Code mit verschiedenen Parametern
– einen Hexensabbat-Filter, der den Handel an Hexensabbat-Tagen verhindert
– Einen Code, der täglich die Werte für Day-High/Low/Close, XetraClose und letztes offenes XetraClose (XetraCloseOld), Pivot/R1/R2/R3/S1/S2/S3 ermittelt (kann dann im Handelscode verwendet werden)
– ein Code, der anhand der Vortages-Closes einen TrendUp oder Trenddown als Flag ausgibt
– einen Moving-Average-Cluster-FilterCode, der bei Clusterbildung von MAs den Handel verbietet
– einen Code, der Moving-Average-Crossing in Flags ausgibt (nutzbar im Handelscode)
– einen Long/Short-S2/R2-Break-Filter, der den Handel bei Bruch von S2/R2 verbietet oder alternativ erst dann in Gegenrichtung erlaubt

nach dem Trailing-Stop-Code folgt der eigentliche Handelscode, der natürlich individuell ausfallen kann.

Die Module können wie schon geschrieben einzeln an/ausgeschaltet werden, so daß der Hauptblock (ohne den Handelscode) praktisch nur kopiert werden muss, dann entsprechend eingestellt auf den Markt, in dem man den (darauf programmierten) Handelscode laufen lassen möchte.
Man muss nicht jedes mal für jeden Markt das Rad neu erfinden, sondern hat die wichtigsten/nützlichsten Codes IMMER direkt am Start bei der Entwicklung.

plbourse thanked this post

12/15/2022 at 2:44 PM #205816 quote

phoentzs
Participant

Master

Hier steckt verdammt viel Arbeit drin. Und wie ist die Leistung? Hast du Backtestergebnisse? Für meinen Geschmack sind das sehr viele Filter.

Stefan Sticker thanked this post

12/15/2022 at 3:31 PM #205818 quote

Stefan Sticker
Participant

New

Ja, da ist insgesamt etwas mehr als 1 Jahr Recherche, Backtest, Umprogrammierung und Optimierung hineingeflossen. ^^

Ich habe Backtestergebnisse seit Februar 2022.
Mein ursprüngliches Mindestziel waren 60% Gewinntrades bei (optimal) Faktor 2/1 Gewinn/Verlust.
Aktuell habe ich konstante 90-95% Gewinn bei Faktor 3-4/1 (je nachdem, ob zB Seasonality-Modifier und/oder Reinvestition von Gewinnen aktiviert werden.
90% hält er sowohl im Rallye-Phasen wie auch im Bärenmarkt.

Die Filter im Handelscode sind von mir Stück für Stück bewusst inkludiert, da ein Buy oder Sell nur unter bestimmten Bedingungen stattfinden soll.
Bei 220-240 Trades im Backtest (200.000 Einheiten im Minutenchart) habe ich seitdem so etwa 10-15 Verlusttrades.
Realchart-Läufe sind nicht exakt identisch. Die Ausführung der Orders erfolgt wohl etwas zeitverzögert und verändert dadurch die Ergebnisse.
Auch ist mir aufgefallen, daß Realtrades häufiger in den StopLoss laufen, als im Backtest (Stichwort Spikes/Slipping!).
Ebenfalls kritisch ist zu bemerken, daß ich noch keine sinnvollen Filter für zB Spikes/Downer in hochvolatilem Umfeld (wie aktuell im DJI + DAX zB dank FED/EZB finden konnte.
Ich schätze daher die echte Real-Performance deutlich niedriger und VIELLEICHT so etwa an meiner Zielmarke von 60% / 1,5.

12/15/2022 at 9:08 PM #205843 quote

Stefan Sticker
Participant

New

Addendum:

die 220-240 Trades beziehen sich jeweils auf den Backtest-Zeitraum von 200.000 Ticks/Minuten (ca 5,5 Monate).

12/15/2022 at 9:24 PM #205846 quote

Stefan Sticker
Participant

New

Eine kleine aktuelle Code-Ergänzung im Handelscode:
IF ((TIME >= 092000) AND (TIME <= 100000)) AND TradeON AND TradeDay THEN IF NOT Forbiddenshort AND NOT OnMarket AND Aroondown > 10 AND RSI < 70 AND MACD < 0 AND Close < Average[100] AND Close < Average[50] AND Average[50] < Average[100] AND Average[100] < Average[200] AND Close < Average[10000] AND Close = Lowest[90] THEN
Sellshort PositionSizeShort Contracts AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF
IF Not Forbiddenlong AND NOT Onmarket AND Aroonup > 10 AND RSI > 25 AND MACD > 0 AND Close > Average[100] AND Close > Average[50] AND Average[50] > Average[200] AND Average[100] > Average[200] AND Close > Average[10000] AND Close = Highest[90] THEN
Buy PositionSizeLong Contracts AT MARKET
SET STOP pTrailing 100*Faktor1
ENDIF
ENDIF

Die Ergebnisse im Backtest bei 200.000 Ticks im 1m DAX sind dem angehängten Bild zu entnehmen.

12/16/2022 at 12:23 AM #205851 quote

phoentzs
Participant

Master

Hast du auch eine Kurve dazu? Mir scheint, der SL ist riesig.

Stefan Sticker thanked this post

12/16/2022 at 7:25 AM #205856 quote

Stefan Sticker
Participant

New

Bitteschön.

Die SL sind vergleichweise weit gewählt und im Trailing-Stop-Code eine Breakeven-Sicherung eingebaut, da der Broker IG, über den ich “fahre” ERKENNBAR UND DEFINITIV versucht, zu eng gesetzte Stops abzufischen. Teilweise absurd starke abrupte Spikes in die Gegenrichtung einer starken Bewegung GENAU IM MOMENT der Plazierung. Ein weiter entfernter Stop macht ihn etwas unerreichbarer (weil dann ja der restliche Markt seinen “Willen” hat!!) und sorgt dafür, daß NUR DIE wirklich ins Minus laufen, die auch wirklich “schlecht” sind. Im Gegenzug ist dieses Minus halt höher, ja.

Ich habe versucht, einen für mich akzeptablen Wert zu finden. Für Dich und Deinen Handelscode kannst Du ja auch andere Stops nehmen.

plbourse thanked this post

12/16/2022 at 7:35 AM #205858 quote

Stefan Sticker
Participant

New

Hier noch die MAE und MFE-Tabellen

JohnScher and killerplatuze thanked this post
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