// ====================================== \\
// :: Optimizations --
// -------------------------------------- //
// Static Optimization for Brent Crude Contract 1 hour
// Jan 2013 - April 2017
// Spread 3 points
reinvest = 0
opti = 2
if opti =1 then
wintarget = 30 // Clip target to maximum of x points (45)
//wintarget = (atr * targetATRmultiple)*pointsize
minTradeTime = 17 // stay in trade for at least x bars
mcShortPeriod = 6 // Short period momentum
rcShortPeriod = 3 // Short period average range
mcLongPeriod = 92 // Long period momentum
rcLongPeriod = 54 // Long period average range
mcThreshold = 0.16 // 0.5 // Momentum coefficient threshold
rcThreshold = 0.41 // 1 // Range coefficient threshold
maShortPeriod = 44 // Short term moving average
maLongPeriod = 25 // Long term moving average
atrPeriod = 14 // preiods for average true range
slATRmultiple = 5 // multiplier for dynamic stop (3)
stoptargettype = 2 // 1= fixed stop, 2=dynamic stop
//targetATRmultiple = 2 //if dynamic target
// Static Optimization for Brent Crude Contract 1 hour
// Jan 2013 - April 2017
// Spread 3 points
elsif opti = 2 then
//wintarget = 30 // Clip target to maximum of x points (45)
wintarget = (atr * targetATRmultiple)*pointsize
targetATRmultiple = 1 //if dynamic target
minTradeTime = 17 // stay in trade for at least x bars
mcShortPeriod = 4 // Short period momentum
rcShortPeriod = 3 // Short period average range
mcLongPeriod = 40 // Long period momentum
rcLongPeriod = 120 // Long period average range
mcThreshold = 0.16 // 0.5 // Momentum coefficient threshold
rcThreshold = 0.41 // 1 // Range coefficient threshold
maShortPeriod = 5 // Short term moving average
maLongPeriod = 15 // Long term moving average
atrPeriod = 14 // preiods for average true range
slATRmultiple = 3 // multiplier for dynamic stop (3)
stoptargettype = 1 // 1= fixed stop, 2=dynamic stop
endif
traidingtime = (currenttime > 060000 and currenttime < 230000)
// ====================================== \\
// :: Position size
// -------------------------------------- //
once startpositionsize=1
once positionsize=startpositionsize
if reinvest = 0 then
positionsize=1
elsif reinvest = 1 then
//------------ Fixed fraction money management ----------
once multiplier=1
once fraction=100*pipvalue
once newlevel=100*pipvalue
once oldlevel=100*pipvalue
once startequity=1000
if strategyprofit+startequity>newlevel then
multiplier=multiplier+1
oldlevel=newlevel
newlevel=strategyprofit+startequity+multiplier*fraction
positionsize=multiplier*startpositionsize
elsif strategyprofit+startequity<oldlevel and multiplier>=2 then
newlevel=strategyprofit+startequity
oldlevel=strategyprofit+startequity-multiplier*fraction
multiplier=multiplier-1
positionsize=multiplier*startpositionsize
endif
endif
// ====================================== \\
// :: Indicators --
// -------------------------------------- //
// Momentum Coefficient and Range Coefficient ============= \\
if barIndex >= max(mcLongPeriod, rcLongPeriod) then
mShort = momentum[mcShortPeriod]
mLong = momentum[mcLongPeriod]
mc = max(0, (abs(mShort) / abs(mLong)) -1)
r = abs(range)
arLong = average[max(1, rcLongPeriod)](r)
arShort = average[max(1, rcShortPeriod)](r)
rc = max(0, (arShort / arLong) -1)
//rc = max(0, arShort - arLong)
endif
// ----------------------------------- //
// General Indicators ================= \\
upBar = close > open
maShort = exponentialAverage[maShortPeriod](Close)
maLong = exponentialAverage[maLongPeriod](Close)
atr = averagetruerange[atrPeriod](Close)
// ----------------------------------- //
// ====================================== \\
// :: Entry Logic
// -------------------------------------- //
// long entry rules (buy condition)
bc1 = not longOnMarket
bc1 = bc1 and (mc >= mcThreshold)
bc1 = bc1 and (rc >= rcThreshold)
bc1 = bc1 and upBar
bc1 = bc1 and maShort > maShort[1]
bc1 = bc1 and traidingtime
// long exit rules (exit long conditions)
le1 = longOnMarket
le1 = le1 and ( barIndex >= barIndexAtBuy + minTradeTime)
le1 = le1 and (maLong < maLong[4])
// ====================================== \\
// :: Execution Handlers
// -------------------------------------- //
if bc1 then
buy positionsize contracts at market
set target pprofit wintarget
barIndexAtBuy = barIndex
endif
if le1 and longOnMarket then
sell at market
endif
if stoptargettype = 1 then
SET STOP pLOSS 95
elsif stoptargettype= 2 then
SET STOP plOSS (atr * slATRmultiple)*pointsize
endif
//trailing stop
trailingstop = 25
//resetting variables when no trades are on market
if not onmarket then
MAXPRICE = 0
priceexit = 0
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
SELL AT priceexit STOP
endif
.
