wp01Participant
Master
My idea is that it only works with DFB.
The English users with DFB (https://www.ig.com/uk/glossary-trading-terms/dfb-definition)
do not have problems, all others, including all other European countries can not get it working properly.
I’m sure you’ve tried these … minimum contract >1?
Also does buy ‘Shares‘ work okay with non-DFB??
if bc1 then
buy 1 shares at market
set target pprofit wintarget
barIndexAtBuy = barIndex
endif
wp01Participant
Master
Hi GraHal.
Thank you for your reply.
The lines you show are in the code (including the buy 1 share) and do not give any trades unfortunately.
@wp01 did you try my version, on former page
@wp01 I didn’t say it the best way, I was suggesting … might Buy CONTRACTS work with non-DFB…
if bc1 then
buy 1 CONTRACT at market
set target pprofit wintarget
barIndexAtBuy = barIndex
endif
wp01Participant
Master
Hi Kasper,
With your version i do get trades but very different results as your picure shows.
The data also starts at the end of 2016 instead of your in 2015.
mine is running from may 2015 yours is from nov 2016- 100000 units?
wp01Participant
Master
Mine too after changing it…:-)
Thanks and sorry for the “rookie mistake”
MazParticipant
Veteran
Guys the original system was optimized for the DFB offering.
You will need to optimize again for any other instrument including time constrsints, pipsize, “shares/contracts/perpoint” if applickable and spreads if any.
Best
M
ALEModerator
Master
Maz,
Hello It’s quite difficult for me to understand the code, I’ve not your big knowledge..So I’ve some problem to start to optimize.. I’ll try it, but if you want make an explanation for stupid, here I’m 🙂
Thanks very much to participate to the forum!
MazParticipant
Veteran
@Ale, guys,
If you take a look at the indicator I posted to the library it has the explanation on the premise of the system.
The system takes a long on a prediction of increased volatility whilst we are in an uptrend. Prediction of increased volatility is made using two indicators in this case – differentials between long and short term candle ranges as well as long and short term and momentum. There are two versions of the system because range and momentum delta can be measured in various ways (eg differential or a coefficient). The uptrend filter is confirmed by a moving average comparison. The likelihood of volatility to the upside is greater than volatility to the downside if we are in an uptrend, which is why we use a moving average filter. If you were creating a short system, the reverse would be true. The ATR filter ensures that we don’t take trades during low volatility periods.
In order to optimize you need to understand what sensible ranges would be. You can make custom indicators out of the indicators included in the system code and plot them on a graph. That will give you a graphical representation of ranges for the instrument you want to try. Alternatively you can use the GRAPH function. Once you know the indicator ranges you can work with the optimizer tool.
Hope that helps?
Here is an improved version for DOW 1H. Spread 3p.
Firstly, many thanks for sharing this!
I have converted your style of coding into my own style. Result here:
MomShort = Momentum[5](close)
MomLong = Momentum[100](close)
MomCoef = MomShort/MomLong - 1
SMARange = Average[4,0](Range)
LMARange = Average[100,0](Range)
RangeCoef = SMARange/LMARange - 1
SMA = Average[18,1](close)
LMA = Average[53,1](close)
TradeTime = BarIndex - TradeIndex
MinTradeTime = 43
MomThreshold = 0.1
RangeThreshold = 0.9
UpBar = close > open
LongEntry = NOT LongOnMarket
LongEntry = LongEntry AND MomCoef >= MomThreshold
LongEntry = LongEntry AND RangeCoef >= RangeThreshold
LongEntry = LongEntry AND UpBar
LongEntry = LongEntry AND SMA > SMA[1]
LongExit = LongOnMarket
LongExit = LongExit AND TradeTime >= MinTradeTime
LongExit = LongExit AND LMA < LMA[4]
WinTarget = 43
// Conditions to enter long positions
IF NOT LongOnMarket AND LongEntry THEN
BUY 1 CONTRACTS AT MARKET
SET TARGET pprofit WinTarget
ENDIF
// Conditions to exit long positions
IF LongOnMarket AND LongExit THEN
SELL AT MARKET
ENDIF
Perhaps this can help others understand the logic. Some thoughts:
- The Exit condition could be thought of as referring to another timeframe, namely 1h. The exit time condition is similar to MA25<MA25[1] on the 1h timeframe. What it achieves is 1. it gives room for the trade to play out and 2. it gives room for the trade to play out even further beyond the exit condition if the MA100 is sloping upwards. A nice continuation of the trendfollowing aspect.
- I will test sensitivity to the all the different constants/variables in order to see if there is some risk of lucky curve -fit. I would recommend this to each and every one trying this code out.
- As has been pointed out by Maz, this is not a ready-to-go code. One particular area is it’s vulnerability to a large setback in the 43 bars following the entry. One would absolutely need to implement a stop to avoid potential bankruptcy.
All in all, I would say this is a really nice piece of code. Both for instructional use and learning to code, and potentially as a backbone in a live trading system. The logic makes perfect trading sense. Thanks again for posting! I salute your generosity!
>> Message edited to make appear PRC code format, for clarity of messages on ProRealCode’s forums, please use the “<> insert PRT code PRT” button during message creation to separate the text of the code part, thank you! <<
One note on the above post: I omitted doing absolute values of momentum. Thought it wouldn’t detract a lot to do so. It does. MomShort and MomLong variables should be absolute values of momentum, ie:
MomShort = ABS(Momentum[5](close))
MomLong = ABS(Momentum[100](close))
