Morning inversion of Ftsemib with RSI and previous day body size filter.

• 03/21/2017 at 3:20 PM #29297
  Francesco78

  Hello, I just started practicing with prorealtime automatic trading. It is great to have discovered this community.

  I wanted to show you a somehow interesting strategy based on taking the opposite direction of previous day in the morning between 09:00 and 09:30 on Ftse mib.

  I then add some filter in order to avoid taking the position in an overbought or oversold environment unless there is a momentum defined by the positive or negative local derivative of RSI.

  Furthermore I added a filter based on the size of the body of the previous day candle.

  Will be great if you tell me what you think about it.

  Ciao

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated timeenter = time = 090000 timeexit = time = 093000 b = 175 size = 5 // Conditions to enter long positions c1 = (DClose(1) <= DOpen(1)-b) indicator1 = RSI[14](close) c3 = (indicator1[1] < 60) c4 = (indicator1[1] > 40) c5 = (indicator1[1] > indicator1[2]) c6 = (indicator1[1] < indicator1[2]) c7 = c3 OR c5 c8 = c4 OR c6 IF c1 AND c7 AND timeenter THEN BUY size PERPOINT AT MARKET ENDIF if longonmarket AND timeexit THEN SELL AT MARKET ENDIF // Conditions to enter short positions c2 = (DClose(1) >= DOpen(1)+b) IF c2 AND c8 AND timeenter THEN SELLSHORT size PERPOINT AT MARKET ENDIF if shortonmarket AND timeexit THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pLOSS 300

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   timeenter = time = 090000 timeexit = time = 093000 b = 175 size = 5 // Conditions to enter long positions c1 = (DClose(1) <= DOpen(1)-b)   indicator1 = RSI[14](close) c3 = (indicator1[1] < 60) c4 = (indicator1[1] > 40) c5 = (indicator1[1] > indicator1[2]) c6 = (indicator1[1] < indicator1[2])   c7 = c3 OR c5 c8 = c4 OR c6   IF c1 AND c7 AND timeenter THEN BUY size PERPOINT AT MARKET ENDIF   if longonmarket AND timeexit THEN SELL AT MARKET ENDIF   // Conditions to enter short positions c2 = (DClose(1) >= DOpen(1)+b)   IF c2 AND c8 AND timeenter THEN SELLSHORT size PERPOINT AT MARKET ENDIF if shortonmarket AND timeexit THEN EXITSHORT AT MARKET ENDIF   // Stops and targets SET STOP pLOSS 300

   

  

  Francesco78

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  03/27/2017 at 2:03 PM #29982
  Nicolas

  Hi Francesco, are you sure you included the spread in your own tests? I did 200k bars backtest with 1.5 spread on MIB40 1€/point and I do not get the same result as you?

  

  Nicolas

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  04/09/2017 at 9:28 PM #31544
  Francesco78

  Hi Nicolas, I just saw your answer, sorry, yes I included the spread, I re run it and I got results similar to my first test. What I find weird is  that on my platform, 100,000 half an hour candles go back to Apr 2015, while I see that yours 200,000 candles go back much further than double mine.

  Anyway I have just posted a refined version of this code on the forum. Would be great if you could have a look to that as well.

   

   

  

  Francesco78

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  04/09/2017 at 9:34 PM #31545
  Francesco78

  Pls also note that I did the backtest in tick by tick mode.

  Regards

  Francesco

  

  Francesco78

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