Move to BE on Confirmation of Market Structure

• 06/27/2020 at 1:11 PM #137284
  Steveaw

  Hi All

  One key strategy I use manually is confirmation of direction with market structure or break of market structure. This uses significant higher highs and significant lower lows.

  I am wondering if it is possible to code this? For example if I enter into a Long trade with defined target (say TP=100) and stop loss (say SL=20), then when the market structure continues in my favour I want to move my SL to BE & then continue to move my SL via trailing stop as market continues in my favour

  I currently do this by (on a Long Trade) looking for a past significant high to be broken up after entering ( current higher high) and a higher low been established after a previous significant Low.

  I’ve attached a Line & Point as well as a candlestick chart to illustrate the strategy, so basically I would be looking for a sequence as below as price cycles up:

  1. H2 > H1
  2. L2 > L1
  3. Then move SL to break even
  4. IF H3 > H2 & L3 > L2 Then
  5. Move SL to L1 etc etc
  6. Exit would be if price breaks this market structure say if
  7. H3 < H2 & L3 < L2

  The strategy obviously would need to be scanning previous reference bars from entering into the trade (or last reference bar if first BE condition has already been met) to establish these significant Highs & Lows rather than just the previous bar.

  Does this sound feasible?

  

  Steveaw

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  06/27/2020 at 2:18 PM #137288
  robertogozzi

  There you go (I did not test it, though):

  ONCE SigHI1 = 0 ONCE SigHI2 = 0 ONCE SigLO1 = 0 ONCE SigLO2 = 0 ONCE LookBack = 10 IF Not OnMarket Then MySL = 0 ENDIF MaxHI = max(open,close) MinLO = min(open,close) Bullish = close > open Bearish = close < open SwingHI = highest[LookBack](MaxHI) SwingLO = lowest[LookBack](MinLO) SigHI = SwingHI AND Bearish AND Bullish[1] SigLO = SwingLO AND Bullish AND Bearish[1] IF LongOnMarket AND SigHI > 0 AND SigHI > SigHI1 THEN SigHI2 = SigHI1 SigHI1 = SigHI IF SigHI1 > SigLO1 THEN MySL = max(TradePrice,max(MySL,SigLO1)) ENDIF ELSIF ShortOnMarket AND SigLO > 0 AND SigLO < SigLO1 THEN SigLO2 = SigLO1 SigLO1 = SigLO IF SigLO1 < SigHI1 THEN MySL = min(TradePrice,min(MySL,SigLO1)) ENDIF ENDIF IF OnMarket AND MySL <> 0 THEN SELL AT MySL Stop EXITSHORT AT MySL Stop ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

  ONCE SigHI1   = 0 ONCE SigHI2   = 0 ONCE SigLO1   = 0 ONCE SigLO2   = 0 ONCE LookBack = 10 IF Not OnMarket Then    MySL  = 0 ENDIF MaxHI    = max(open,close) MinLO    = min(open,close) Bullish  = close > open Bearish  = close < open SwingHI  = highest[LookBack](MaxHI) SwingLO  = lowest[LookBack](MinLO) SigHI    = SwingHI AND Bearish AND Bullish[1] SigLO    = SwingLO AND Bullish AND Bearish[1] IF LongOnMarket AND SigHI > 0 AND SigHI > SigHI1 THEN    SigHI2 = SigHI1    SigHI1 = SigHI    IF SigHI1 > SigLO1 THEN       MySL = max(TradePrice,max(MySL,SigLO1))    ENDIF ELSIF ShortOnMarket AND SigLO > 0 AND SigLO < SigLO1 THEN    SigLO2 = SigLO1    SigLO1 = SigLO    IF SigLO1 < SigHI1 THEN       MySL = min(TradePrice,min(MySL,SigLO1))    ENDIF ENDIF IF OnMarket AND MySL <> 0 THEN    SELL      AT MySL Stop    EXITSHORT AT MySL Stop ENDIF

  a significant Swing point is often recognized as such by the space to its left, so I used a LOOKBACK value of 10 bars, which you can adjust to suit your needs.

  Of course this snippet is to be added to your existing code.

   

  2 users thanked author for this post.

  Steveaw, GraHal

  

  robertogozzi

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  06/27/2020 at 2:53 PM #137290
  GraHal

  Above added as Log 228 to here …

  Snippet Link Library

   

  1 user thanked author for this post.

  robertogozzi

  

  GraHal

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  06/27/2020 at 3:07 PM #137292
  Steveaw

  Thanks Roberto, I’ll give this a go and see how she flies!

  I appreciate it

  

  Steveaw

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  06/27/2020 at 3:31 PM #137293
  robertogozzi

  I changed line 6 to “ Not OnMarket” (there was a missing space). Sorry.

   

  

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  06/27/2020 at 3:48 PM #137297
  Steveaw

  Cool, thanks

  Initial tests were getting an error message of:

  Variable not used Sighi2 & Siglo2

   

  

  Steveaw

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  06/27/2020 at 5:19 PM #137314
  robertogozzi

  Indeed they are not used, so you can delete lines 2, 4, 18 and 24.

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  Steveaw

  

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  06/28/2020 at 5:15 PM #137413
  Steveaw

  TAKE PROFITS AT BREAK OF MARKET STRUCTURE

  //TAKE PROFITS AT BREAK OF MARKET STRUCTURE //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 if onmarket or strategyprofit<>strategyprofit[1] then flag = 1 endif if dayofweek <> dayofweek[1] then flag = 0 endif entry=13495 SET STOP pLOSS sl SET TARGET pPROFIT tp sl=20 tp=100 // Conditions to enter long position notradetime1=213000 notradetime2=233000 notradetime=time>notradetime1 and time<notradetime2 timeframe (20 seconds, updateonclose) c1=low<=entry timeframe(default, updateonclose) IF not daysForbiddenEntry and not flag and not onmarket and not notradetime and c1 Then Buy 1 perpoint AT MARKET ENDIF // from PRC timeframe (60 minutes, updateonclose) ONCE SigHI1 = 0 //ONCE SigHI2 = 0 ONCE SigLO1 = 0 //ONCE SigLO2 = 0 ONCE LookBack = 5 IF Not OnMarket Then MySL = 0 ENDIF MaxHI = max(open,close) MinLO = min(open,close) Bullish = close > open Bearish = close < open SwingHI = highest[LookBack](MaxHI) SwingLO = lowest[LookBack](MinLO) SigHI = SwingHI AND Bearish AND Bullish[1] SigLO = SwingLO AND Bullish AND Bearish[1] IF LongOnMarket AND SigHI > 0 AND SigHI > SigHI1 THEN //SigHI2 = SigHI1 SigHI1 = SigHI IF SigHI1 > SigLO1 THEN MySL = max(TradePrice,max(MySL,SigLO1)) ENDIF ELSIF ShortOnMarket AND SigLO > 0 AND SigLO < SigLO1 THEN //SigLO2 = SigLO1 SigLO1 = SigLO IF SigLO1 < SigHI1 THEN MySL = min(TradePrice,min(MySL,SigLO1)) ENDIF ENDIF IF OnMarket AND MySL <> 0 THEN SELL AT MySL Stop EXITSHORT AT MySL Stop ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67

  //TAKE PROFITS AT BREAK OF MARKET STRUCTURE //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 if onmarket or strategyprofit<>strategyprofit[1] then flag = 1 endif   if dayofweek <> dayofweek[1] then flag = 0 endif   entry=13495   SET STOP pLOSS sl SET TARGET pPROFIT tp sl=20 tp=100 // Conditions to enter long position notradetime1=213000 notradetime2=233000 notradetime=time>notradetime1 and time<notradetime2   timeframe (20 seconds, updateonclose)   c1=low<=entry timeframe(default, updateonclose) IF not daysForbiddenEntry and not flag and not onmarket and not notradetime and c1 Then Buy 1 perpoint AT MARKET ENDIF   // from PRC timeframe (60 minutes, updateonclose) ONCE SigHI1   = 0 //ONCE SigHI2   = 0 ONCE SigLO1   = 0 //ONCE SigLO2   = 0 ONCE LookBack = 5 IF Not OnMarket Then MySL  = 0 ENDIF MaxHI    = max(open,close) MinLO    = min(open,close) Bullish  = close > open Bearish  = close < open SwingHI  = highest[LookBack](MaxHI) SwingLO  = lowest[LookBack](MinLO) SigHI    = SwingHI AND Bearish AND Bullish[1] SigLO    = SwingLO AND Bullish AND Bearish[1] IF LongOnMarket AND SigHI > 0 AND SigHI > SigHI1 THEN //SigHI2 = SigHI1 SigHI1 = SigHI IF SigHI1 > SigLO1 THEN MySL = max(TradePrice,max(MySL,SigLO1)) ENDIF ELSIF ShortOnMarket AND SigLO > 0 AND SigLO < SigLO1 THEN //SigLO2 = SigLO1 SigLO1 = SigLO IF SigLO1 < SigHI1 THEN MySL = min(TradePrice,min(MySL,SigLO1)) ENDIF ENDIF IF OnMarket AND MySL <> 0 THEN SELL      AT MySL Stop EXITSHORT AT MySL Stop ENDIF

  Hi Roberto
  Please find attached the code in which I’ve inserted your modified suggestion. I’ve also attached the results.
  I cannot see why it doesn’t take profits at the first break of Market structure (I’ve marked up the chart)?
  The code I’ve used gets me in at a set point on the 20 sec chart & I’me using your code on the 1 hr to monitor when there is a sign of it reversing.
  The plan is if I can get this recognising a change in market structure (either a break, hence reversal or a continuation I can then ask it to either move my stop to BE and follow it up on subsequent significant higher highs etc. Or take profits if a definite
  break of structure.
  Any suggestions
  Steve

  

  Steveaw

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  06/28/2020 at 5:22 PM #137416
  robertogozzi

  I’ll take a look at your code tomorrow morning.

  Please do not add text to your code, unless each line is commented with leading double slashes “//“. Thank you 🙂

  I moved it below your code.

  

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  06/28/2020 at 8:09 PM #137427
  auvergnat

  Hi

  Line 21 or 27 something wrong in code?

  

  auvergnat

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  06/28/2020 at 8:22 PM #137428
  Steveaw

  Great thanks

  

  Steveaw

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  06/29/2020 at 11:10 AM #137477
  robertogozzi

  I tested it on Usd/Cad, 1h + 20s, but no trade was enterd on June 23rd at 13:00 (my first trade was entered on the 24th.

  Can you post a more recent trade (20 seconds only have about 5 days of data history) ?

   

  

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  06/29/2020 at 2:42 PM #137511
  Steveaw

  Will do

   

  

  Steveaw

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  06/29/2020 at 4:55 PM #137529
  Steveaw

  Hi Roberto – I’ve used USD/JPY with a set point at 10691 just to get an entry

  Regards

  Steve

  

  Steveaw

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  06/29/2020 at 5:52 PM #137538
  robertogozzi

  Sorry, buy I don’t jave thet instrument and can’t replicate your trades.

  I have Spot UsdJpy, or IG’s CFD.

   

   

  

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