MultiTimeFrame simple conditions

• 01/28/2019 at 4:37 PM #89845
  Leo

  Ahhh.. I got it. Thanks

  

  Leo

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  01/28/2019 at 9:57 PM #89865
  jebus89

  I heard an episode of the podcast “better system trader” with a “mean reversion expert”, i cant remember name or episode tho, its one of the older ones. he talks alot about how he uses the RSI in 4 hour and 1 hour (mtf) to create good strategies. Im working on RSI in mtf now and seeing some interesting results, nothing amazing so far tho, pic includes the latest im working on, first algo ive seen working in EU stox so im kinda happy with that, but yea no amazing results so far but im gonna optimize it now and see what happens..

   

  Its long and short, i like to optimize the long and short seperatly to increase the speed of the optimization. As long as i already know that it will not affect the other long/short strategy i figured that should be safe and fine to do, and it saves me a ton of time either optimizing long or short 1 at a time or optimizing them together which could take hours..

   

   

  1 user thanked author for this post.

  GraHal

  

  jebus89

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  01/28/2019 at 10:01 PM #89867
  Leo

  Hi all,

  Here I upload my version…

  I like this concept, I called it: MULTI-SIMPLICITY TYPE A

   

  // MULTI-SIMPLICITY TYPE A

  // MULTI-SIMPLICITY TYPE A DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PreLoadBars = 1000 //cargar informacion //Parameters to be optimized //Pentry1=6 //Kprofit=1.5 ontime=1 IF hour <= 2 or hour >= 22 then ontime=0 ELSIF DayOfWeek <= 1 and hour <= 4 then ontime=0 ELSIF DayOfWeek >= 5 and hour >= 20 then ontime=0 ENDIF MetaRange=max(pipsize,pipsize*round(average[34](average[21](average[13](average[8](average[5](round(range/pipsize)))))))) /////////// LEO CHANNEL ////////////////// PXentry1=max (2, round(0.6*Pentry1) ) highest1=highest[Pentry1](high) IF highest1 = highest1[PXentry1] then Re1=highest1 ENDIF IF high > Re1 then Re1=high ENDIF lowest1=lowest[Pentry1](low) IF lowest1 = lowest1[PXentry1] then S1=lowest1 ENDIF If low < S1 then S1=low ENDIF ConditionLong00001= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00001= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(15 minutes,updateonclose) ConditionLong00002= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00002= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(30 minutes,updateonclose) ConditionLong00003= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00003= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(60 minutes,updateonclose) ConditionLong00004= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00004= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(120 minutes,updateonclose) ConditionLong00005= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00005= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(240 minutes,updateonclose) ConditionLong00006= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00006= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(default) ConditionLong = ConditionLong00001 + ConditionLong00002 + ConditionLong00003 + ConditionLong00004 + ConditionLong00005 + ConditionLong00006 ConditionShort = ConditionShort00001 +ConditionShort00002+ ConditionShort00003+ConditionShort00004+ConditionShort00005+ConditionShort00006 //---------------------------------------------------------- // >>>>>>>>>>>>>> ENTRY POSITIONS <<<<<<<<<<<<<<<<<< //---------------------------------------------------------- // ---> LONG POSITIONS IF NOT LongOnMarket and ontime=1 THEN IF ConditionLong > 2 THEN stoplosslong= (close-S1)/pipsize+2*MetaRange/pipsize//in pips targetprofitlong=stoplosslong*Kprofit //in pips BUY 1 CONTRACTS AT MARKET SET STOP pLOSS stoplosslong SET TARGET pPROFIT targetprofitlong ENDIF ENDIF // ---> SHORT POSITIONS IF NOT ShortOnMarket and ontime=1 THEN IF ConditionShort > 2 THEN StopLossShort=(Re1-close)/pipsize+2*MetaRange/pipsize // in pips targetprofitshort=StopLossShort*Kprofit // in pips SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS StopLossShort SET TARGET pPROFIT targetprofitshort ENDIF ENDIF //--------------------------------------------------------- //>>>>>>>>>>>>>>>>>> EXIT POSITIONS <<<<<<<<<<<<<<<<<< //--------------------------------------------------------- If LongOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE //////////////// //If close > TRADEPRICE+targetprofitlong*pipsize THEN //SELL AT MARKET //ENDIF //IF close < TRADEPRICE-stoplosslong*pipsize THEN //SELL AT MARKET //ENDIF IF highest[BARINDEX-TRADEINDEX+1](high) > TRADEPRICE+0.75*stoplosslong*pipsize and (BARINDEX-TRADEINDEX)>=2 THEN Kexit=((TRADEPRICE+targetprofitlong*pipsize)-highest[BARINDEX-TRADEINDEX+1](high)) / ( (TRADEPRICE+targetprofitlong*pipsize) - (TRADEPRICE+0.75*stoplosslong*pipsize)) IF low < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize and close < typicalprice then SELL AT MARKET ELSIF close < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize THEN SELL AT MARKET ENDIF ENDIF //////////////////////////// IF CLOSE < S1[1] THEN SELL AT MARKET ENDIF IF high > TRADEPRICE + 0.75*stoplosslong*pipsize THEN SET STOP pLOSS 0.01 ENDIF IF TIME > 214500 and DayOfWeek=5 then SELL AT MARKET ENDIF ENDIF // Bedingungen zum Ausstieg aus Short-Positionen IF ShortOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE //////////////// //IF close < TRADEPRICE-targetprofitshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF //IF close > TRADEPRICE+stoplossshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF IF lowest[BARINDEX-TRADEINDEX+1](low) < TRADEPRICE-0.75*stoplossshort*pipsize and (BARINDEX-TRADEINDEX)>=2THEN Kexit=(lowest[BARINDEX-TRADEINDEX+1](low)-(TRADEPRICE-TargetProfitShort*pipsize) ) / ( (TRADEPRICE-0.75*stoplossshort*pipsize)-(TRADEPRICE-TargetProfitShort*pipsize)) IF high > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize and close > typicalprice THEN EXITSHORT AT MARKET ELSIF close > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize THEN EXITSHORT AT MARKET ENDIF ENDIF //////////////////////////////// IF CLOSE > Re1[1] THEN EXITSHORT AT MARKET ENDIF IF low < TRADEPRICE - 0.75*stoplossshort*pipsize THEN SET STOP pLOSS 0.01 ENDIF IF TIME > 214500 and DayOfWeek=5 then EXITSHORT AT MARKET ENDIF ENDIF

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  // MULTI-SIMPLICITY TYPE A DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PreLoadBars = 1000 //cargar informacion   //Parameters to be optimized //Pentry1=6 //Kprofit=1.5     ontime=1 IF hour <= 2 or hour >= 22 then ontime=0 ELSIF DayOfWeek <= 1 and hour <= 4 then ontime=0 ELSIF DayOfWeek >= 5 and hour >= 20 then ontime=0 ENDIF   MetaRange=max(pipsize,pipsize*round(average[34](average[21](average[13](average[8](average[5](round(range/pipsize))))))))   /////////// LEO CHANNEL  ////////////////// PXentry1=max (2, round(0.6*Pentry1) ) highest1=highest[Pentry1](high) IF highest1 = highest1[PXentry1] then Re1=highest1 ENDIF IF high > Re1 then Re1=high ENDIF lowest1=lowest[Pentry1](low) IF lowest1 = lowest1[PXentry1] then S1=lowest1 ENDIF If low < S1 then S1=low ENDIF   ConditionLong00001= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00001= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(15 minutes,updateonclose) ConditionLong00002= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00002= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close)   timeframe(30 minutes,updateonclose) ConditionLong00003= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00003= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(60 minutes,updateonclose) ConditionLong00004= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00004= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(120 minutes,updateonclose) ConditionLong00005= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00005= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close) timeframe(240 minutes,updateonclose) ConditionLong00006= close>average[20](close) and average[20](Close[1])>average[20](Close) and lowest[5](low) > average[200](Close) and average[200](Close[1])<average[200](Close) ConditionShort00006= close<average[20](close) and average[20](Close[1])<average[20](Close) and highest[5](high) < average[200](Close) and average[200](Close[1])>average[200](Close)   timeframe(default) ConditionLong = ConditionLong00001 + ConditionLong00002 + ConditionLong00003 + ConditionLong00004  + ConditionLong00005  + ConditionLong00006 ConditionShort = ConditionShort00001 +ConditionShort00002+ ConditionShort00003+ConditionShort00004+ConditionShort00005+ConditionShort00006   //---------------------------------------------------------- //   >>>>>>>>>>>>>>   ENTRY POSITIONS    <<<<<<<<<<<<<<<<<< //----------------------------------------------------------   //  ---> LONG POSITIONS IF NOT LongOnMarket and ontime=1 THEN IF ConditionLong > 2 THEN stoplosslong= (close-S1)/pipsize+2*MetaRange/pipsize//in pips targetprofitlong=stoplosslong*Kprofit //in pips BUY 1 CONTRACTS AT MARKET SET STOP pLOSS stoplosslong SET TARGET pPROFIT targetprofitlong ENDIF ENDIF   //  ---> SHORT POSITIONS IF NOT ShortOnMarket and ontime=1 THEN IF ConditionShort > 2 THEN StopLossShort=(Re1-close)/pipsize+2*MetaRange/pipsize // in pips targetprofitshort=StopLossShort*Kprofit // in pips SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS  StopLossShort SET TARGET pPROFIT targetprofitshort ENDIF ENDIF   //--------------------------------------------------------- //>>>>>>>>>>>>>>>>>>   EXIT POSITIONS    <<<<<<<<<<<<<<<<<< //--------------------------------------------------------- If LongOnMarket THEN   //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE  //////////////// //If close > TRADEPRICE+targetprofitlong*pipsize THEN //SELL  AT MARKET //ENDIF //IF close  <  TRADEPRICE-stoplosslong*pipsize THEN //SELL  AT MARKET //ENDIF IF highest[BARINDEX-TRADEINDEX+1](high) > TRADEPRICE+0.75*stoplosslong*pipsize and (BARINDEX-TRADEINDEX)>=2 THEN Kexit=((TRADEPRICE+targetprofitlong*pipsize)-highest[BARINDEX-TRADEINDEX+1](high)) / ( (TRADEPRICE+targetprofitlong*pipsize) - (TRADEPRICE+0.75*stoplosslong*pipsize)) IF low < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize and close < typicalprice  then SELL AT MARKET ELSIF close < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize THEN SELL AT MARKET ENDIF ENDIF   ////////////////////////////   IF CLOSE < S1[1] THEN SELL AT MARKET ENDIF   IF high > TRADEPRICE + 0.75*stoplosslong*pipsize THEN SET STOP pLOSS 0.01 ENDIF   IF TIME > 214500 and DayOfWeek=5 then SELL AT MARKET ENDIF ENDIF   // Bedingungen zum Ausstieg aus Short-Positionen IF ShortOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE  //////////////// //IF close < TRADEPRICE-targetprofitshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF //IF close > TRADEPRICE+stoplossshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF IF lowest[BARINDEX-TRADEINDEX+1](low) < TRADEPRICE-0.75*stoplossshort*pipsize  and (BARINDEX-TRADEINDEX)>=2THEN Kexit=(lowest[BARINDEX-TRADEINDEX+1](low)-(TRADEPRICE-TargetProfitShort*pipsize) ) / ( (TRADEPRICE-0.75*stoplossshort*pipsize)-(TRADEPRICE-TargetProfitShort*pipsize)) IF high > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize and close > typicalprice THEN EXITSHORT AT MARKET ELSIF close > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize THEN EXITSHORT AT MARKET ENDIF ENDIF   ////////////////////////////////   IF CLOSE > Re1[1] THEN EXITSHORT AT MARKET ENDIF   IF low < TRADEPRICE - 0.75*stoplossshort*pipsize THEN SET STOP pLOSS 0.01 ENDIF   IF TIME > 214500 and DayOfWeek=5 then EXITSHORT AT MARKET ENDIF   ENDIF

   

   

   

  

  Leo

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  01/28/2019 at 10:07 PM #89869
  Leo

  Jebus89… It looks very nice.

  Can you share the conditions… I have several ideas about RSI as well like

  ConditionLong00001=RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<30

  1	ConditionLong00001=RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<30

   

  

  Leo

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  01/28/2019 at 10:09 PM #89870
  Leo

  Leo wrote:

  I like this concept, I called it: MULTI-SIMPLICITY TYPE A

  Here the walk forward

  

  Leo

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  01/28/2019 at 10:29 PM #89875
  jebus89

  its nothing atm just trying out something like:

  (this is short, reverse for long)

  timeframe daily: rsi 2 > 95

  timeframe 4 hours: rsi 2 > 95

  timeframe 1 hour: rsi crosses under 95

   

  Sell at daily timeframe when rsi 2 crosses under 30

   

  I think its very easy to curvefit something like this so im very sceptical but honestly it also looks applicable in different markets.

  

  jebus89

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  01/28/2019 at 10:36 PM #89877
  jebus89

  then again if its easy to curvefit, maybe some reoptimizing every x month might work wonders… gonna walk it forward and see what happens, obviously no stop, no traget, no trailing, no filter has been added..

  

  jebus89

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  Topics: 118

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  01/28/2019 at 10:52 PM #89880
  Leo

  I just made  something with RSI, looks very nice as well

  // MULTI-SIMPLICITY TYPE A DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PreLoadBars = 1000 //cargar informacion //Parameters to be optimized //Pentry1=6 //Kprofit=1.5 //Krsi=30 ontime=1 IF hour <= 2 or hour >= 22 then ontime=0 ELSIF DayOfWeek <= 1 and hour <= 4 then ontime=0 ELSIF DayOfWeek >= 5 and hour >= 20 then ontime=0 ENDIF MetaRange=max(pipsize,pipsize*round(average[34](average[21](average[13](average[8](average[5](round(range/pipsize)))))))) /////////// LEO CHANNEL ////////////////// PXentry1=max (2, round(0.6*Pentry1) ) highest1=highest[Pentry1](high) IF highest1 = highest1[PXentry1] then Re1=highest1 ENDIF IF high > Re1 then Re1=high ENDIF lowest1=lowest[Pentry1](low) IF lowest1 = lowest1[PXentry1] then S1=lowest1 ENDIF If low < S1 then S1=low ENDIF ConditionLong00001= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00001= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(15 minutes,updateonclose) ConditionLong00002= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00002= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(30 minutes,updateonclose) ConditionLong00003= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00003= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(60 minutes,updateonclose) ConditionLong00004= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00004= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(120 minutes,updateonclose) ConditionLong00005= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00005= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(240 minutes,updateonclose) ConditionLong00006= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00006= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(default) ConditionLong = ConditionLong00001 + ConditionLong00002 + ConditionLong00003 + ConditionLong00004 + ConditionLong00005 + ConditionLong00006 ConditionShort = ConditionShort00001 +ConditionShort00002+ ConditionShort00003+ConditionShort00004+ConditionShort00005+ConditionShort00006 //---------------------------------------------------------- // >>>>>>>>>>>>>> ENTRY POSITIONS <<<<<<<<<<<<<<<<<< //---------------------------------------------------------- // ---> LONG POSITIONS IF NOT LongOnMarket and ontime=1 THEN IF ConditionLong > 2 THEN stoplosslong= (close-S1)/pipsize+2*MetaRange/pipsize//in pips targetprofitlong=stoplosslong*Kprofit //in pips BUY 1 CONTRACTS AT MARKET SET STOP pLOSS stoplosslong SET TARGET pPROFIT targetprofitlong ENDIF ENDIF // ---> SHORT POSITIONS IF NOT ShortOnMarket and ontime=1 THEN IF ConditionShort > 2 THEN StopLossShort=(Re1-close)/pipsize+2*MetaRange/pipsize // in pips targetprofitshort=StopLossShort*Kprofit // in pips SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS StopLossShort SET TARGET pPROFIT targetprofitshort ENDIF ENDIF //--------------------------------------------------------- //>>>>>>>>>>>>>>>>>> EXIT POSITIONS <<<<<<<<<<<<<<<<<< //--------------------------------------------------------- If LongOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE //////////////// //If close > TRADEPRICE+targetprofitlong*pipsize THEN //SELL AT MARKET //ENDIF //IF close < TRADEPRICE-stoplosslong*pipsize THEN //SELL AT MARKET //ENDIF IF highest[BARINDEX-TRADEINDEX+1](high) > TRADEPRICE+0.75*stoplosslong*pipsize and (BARINDEX-TRADEINDEX)>=2 THEN Kexit=((TRADEPRICE+targetprofitlong*pipsize)-highest[BARINDEX-TRADEINDEX+1](high)) / ( (TRADEPRICE+targetprofitlong*pipsize) - (TRADEPRICE+0.75*stoplosslong*pipsize)) IF low < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize and close < typicalprice then SELL AT MARKET ELSIF close < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize THEN SELL AT MARKET ENDIF ENDIF //////////////////////////// IF CLOSE < S1[1] THEN SELL AT MARKET ENDIF IF high > TRADEPRICE + 0.75*stoplosslong*pipsize THEN SET STOP pLOSS 0.01 ENDIF IF TIME > 214500 and DayOfWeek=5 then SELL AT MARKET ENDIF ENDIF // Bedingungen zum Ausstieg aus Short-Positionen IF ShortOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE //////////////// //IF close < TRADEPRICE-targetprofitshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF //IF close > TRADEPRICE+stoplossshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF IF lowest[BARINDEX-TRADEINDEX+1](low) < TRADEPRICE-0.75*stoplossshort*pipsize and (BARINDEX-TRADEINDEX)>=2THEN Kexit=(lowest[BARINDEX-TRADEINDEX+1](low)-(TRADEPRICE-TargetProfitShort*pipsize) ) / ( (TRADEPRICE-0.75*stoplossshort*pipsize)-(TRADEPRICE-TargetProfitShort*pipsize)) IF high > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize and close > typicalprice THEN EXITSHORT AT MARKET ELSIF close > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize THEN EXITSHORT AT MARKET ENDIF ENDIF //////////////////////////////// IF CLOSE > Re1[1] THEN EXITSHORT AT MARKET ENDIF IF low < TRADEPRICE - 0.75*stoplossshort*pipsize THEN SET STOP pLOSS 0.01 ENDIF IF TIME > 214500 and DayOfWeek=5 then EXITSHORT AT MARKET ENDIF ENDIF

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  // MULTI-SIMPLICITY TYPE A DEFPARAM CumulateOrders = false // Cumulating positions DEFPARAM PreLoadBars = 1000 //cargar informacion   //Parameters to be optimized //Pentry1=6 //Kprofit=1.5 //Krsi=30     ontime=1 IF hour <= 2 or hour >= 22 then ontime=0 ELSIF DayOfWeek <= 1 and hour <= 4 then ontime=0 ELSIF DayOfWeek >= 5 and hour >= 20 then ontime=0 ENDIF   MetaRange=max(pipsize,pipsize*round(average[34](average[21](average[13](average[8](average[5](round(range/pipsize))))))))   /////////// LEO CHANNEL  ////////////////// PXentry1=max (2, round(0.6*Pentry1) ) highest1=highest[Pentry1](high) IF highest1 = highest1[PXentry1] then Re1=highest1 ENDIF IF high > Re1 then Re1=high ENDIF lowest1=lowest[Pentry1](low) IF lowest1 = lowest1[PXentry1] then S1=lowest1 ENDIF If low < S1 then S1=low ENDIF   ConditionLong00001= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00001= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(15 minutes,updateonclose) ConditionLong00002= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00002= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(30 minutes,updateonclose) ConditionLong00003= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00003= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(60 minutes,updateonclose) ConditionLong00004= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00004= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(120 minutes,updateonclose) ConditionLong00005= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00005= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(240 minutes,updateonclose) ConditionLong00006= RSI[14](close) > average[14](RSI[14](close)) and lowest[7](RSI[14](close))<Krsi ConditionShort00006= RSI[14](close) < average[14](RSI[14](close)) and Highest[7](RSI[14](close))>100-Krsi timeframe(default) ConditionLong = ConditionLong00001 + ConditionLong00002 + ConditionLong00003 + ConditionLong00004  + ConditionLong00005  + ConditionLong00006 ConditionShort = ConditionShort00001 +ConditionShort00002+ ConditionShort00003+ConditionShort00004+ConditionShort00005+ConditionShort00006   //---------------------------------------------------------- //   >>>>>>>>>>>>>>   ENTRY POSITIONS    <<<<<<<<<<<<<<<<<< //----------------------------------------------------------   //  ---> LONG POSITIONS IF NOT LongOnMarket and ontime=1 THEN IF ConditionLong > 2 THEN stoplosslong= (close-S1)/pipsize+2*MetaRange/pipsize//in pips targetprofitlong=stoplosslong*Kprofit //in pips BUY 1 CONTRACTS AT MARKET SET STOP pLOSS stoplosslong SET TARGET pPROFIT targetprofitlong ENDIF ENDIF   //  ---> SHORT POSITIONS IF NOT ShortOnMarket and ontime=1 THEN IF ConditionShort > 2 THEN StopLossShort=(Re1-close)/pipsize+2*MetaRange/pipsize // in pips targetprofitshort=StopLossShort*Kprofit // in pips SELLSHORT 1 CONTRACTS AT MARKET SET STOP pLOSS  StopLossShort SET TARGET pPROFIT targetprofitshort ENDIF ENDIF   //--------------------------------------------------------- //>>>>>>>>>>>>>>>>>>   EXIT POSITIONS    <<<<<<<<<<<<<<<<<< //--------------------------------------------------------- If LongOnMarket THEN   //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE  //////////////// //If close > TRADEPRICE+targetprofitlong*pipsize THEN //SELL  AT MARKET //ENDIF //IF close  <  TRADEPRICE-stoplosslong*pipsize THEN //SELL  AT MARKET //ENDIF IF highest[BARINDEX-TRADEINDEX+1](high) > TRADEPRICE+0.75*stoplosslong*pipsize and (BARINDEX-TRADEINDEX)>=2 THEN Kexit=((TRADEPRICE+targetprofitlong*pipsize)-highest[BARINDEX-TRADEINDEX+1](high)) / ( (TRADEPRICE+targetprofitlong*pipsize) - (TRADEPRICE+0.75*stoplosslong*pipsize)) IF low < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize and close < typicalprice  then SELL AT MARKET ELSIF close < highest[BARINDEX-TRADEINDEX+1](high)-Kexit*0.75*stoplosslong*pipsize THEN SELL AT MARKET ENDIF ENDIF   ////////////////////////////   IF CLOSE < S1[1] THEN SELL AT MARKET ENDIF   IF high > TRADEPRICE + 0.75*stoplosslong*pipsize THEN SET STOP pLOSS 0.01 ENDIF   IF TIME > 214500 and DayOfWeek=5 then SELL AT MARKET ENDIF ENDIF   // Bedingungen zum Ausstieg aus Short-Positionen IF ShortOnMarket THEN //////////////// UNTIL PARTIAL CLOSURE OF POSITION IS ACTIVE  //////////////// //IF close < TRADEPRICE-targetprofitshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF //IF close > TRADEPRICE+stoplossshort*pipsize THEN //EXITSHORT AT MARKET //ENDIF IF lowest[BARINDEX-TRADEINDEX+1](low) < TRADEPRICE-0.75*stoplossshort*pipsize  and (BARINDEX-TRADEINDEX)>=2THEN Kexit=(lowest[BARINDEX-TRADEINDEX+1](low)-(TRADEPRICE-TargetProfitShort*pipsize) ) / ( (TRADEPRICE-0.75*stoplossshort*pipsize)-(TRADEPRICE-TargetProfitShort*pipsize)) IF high > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize and close > typicalprice THEN EXITSHORT AT MARKET ELSIF close > lowest[BARINDEX-TRADEINDEX+1](low) + Kexit*0.75*stoplossshort*pipsize THEN EXITSHORT AT MARKET ENDIF ENDIF   ////////////////////////////////   IF CLOSE > Re1[1] THEN EXITSHORT AT MARKET ENDIF   IF low < TRADEPRICE - 0.75*stoplossshort*pipsize THEN SET STOP pLOSS 0.01 ENDIF   IF TIME > 214500 and DayOfWeek=5 then EXITSHORT AT MARKET ENDIF   ENDIF

   

  

  Leo

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  01/28/2019 at 11:24 PM #89885
  Vonasi

  I’ve had an RSI MTF strategy based on four time frames running on forward test on demo since the 22 August. Not many trades but profitable.

  

  

  …and this is the in sample that is still available for back test.

  

  

  The long only strategy has a simple daily market sentiment indicator that stops entry in major down markets. It enters if the fast RSI on all four time frames is below a certain level and exits if all four time frame RSI ‘s are over a certain level. It will also check once every 24 hours and if the trade is in profit it will also exit.

  There is some light money management in there but it is very light. I worry about the market sentiment filter being over optimized but otherwise it so far seems pretty robust. Very few trades to give confidence yet though.

  

  Vonasi

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  01/28/2019 at 11:25 PM #89890
  jebus89

  I think mtf is going from 2d to 3d. theres infinite shit to do.. im going kinda crazy just thinking about it.

  Still havnt found a rly good way to take advantage just yet tbh, but i think it could help alot with the setup of the trade. Like saying “where the price has been before your entry” in multiple timeframes to better sort out at what “level” the price is on (high, low, mid range compared to X)

  

  jebus89

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  01/28/2019 at 11:34 PM #89893
  jebus89

  Looks sexy @Vonasi, could u share the “check if profitable every 24h and exit if profitable`” code?

  

  jebus89

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  01/28/2019 at 11:35 PM #89894
  Vonasi

  The trouble with MTF is that as we bore down to faster time frames we lose data to test on. I go to bed at night dreaming of PRT offering me 35 years of data on all time frames. Sure back testing would be horrendously slow but I’d put up with that for the other benefits!

  

  Vonasi

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  01/28/2019 at 11:39 PM #89895
  Vonasi

  jebus89 wrote:

  could u share the “check if profitable every 24h and exit if profitable`” code?

  No rocket science involved.

  timeframe (default) if not onmarket and (my conditions) then buy positionsize contracts at market tme = time endif if onmarket and close > positionprice and time = tme then sell at market endif

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  timeframe (default)   if not onmarket and (my conditions) then buy positionsize contracts at market tme = time endif   if onmarket and close > positionprice  and time = tme then sell at market endif

   

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  Midlanddave

  

  Vonasi

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  01/28/2019 at 11:43 PM #89896
  jebus89

  haha 35 years ye 😛

  Thanks for the code, any chance ur willing to share what ur “disaster filter” is here?

  “has a simple daily market sentiment indicator that stops entry in major down markets”

  Are we talking like a moving average or an actual indicator? Any chance ud share? my long only systems might want this lol

  

  jebus89

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  01/28/2019 at 11:55 PM #89897
  Vonasi

  jebus89 wrote:

  any chance ur willing to share what ur “disaster filter” is here?

  It is nothing special – just a look back to check that price is higher than it was a while back. Hence my concern that it is over fitted. As far as I am aware it has not been triggered yet in the forward test and wasn’t in the back test. It is just there to shut the strategy down in a big downturn. probably too late but better than nothing.

  I am still searching for the ‘holy grail’ market sentiment filter that fits multiple markets and have not found it yet despite sometimes thinking that I am close. This last year indices have done all they can to disprove all previous ideas and so proving that history does not repeat itself – well at least not when we want it to!

  

  Vonasi

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