//-------------------------------------------------------------------------
// Main code : DJ 1m HULL-SAR v7.5 L
//-------------------------------------------------------------------------
//-------------------------------------------------------------------------
// Main code : DJ 1m HULL-SAR v7.5 L
//-------------------------------------------------------------------------
// Definition of code parameters
DEFPARAM CumulateOrders = true // Cumulating positions deactivated
DEFPARAM preloadbars = 5000
//Money Management DJ
ONCE p1 = 80.0
ONCE st11 = 0.005
ONCE st12 = 0.01
ONCE st13 = 0.01
ONCE p2 = 14.0
ONCE st21 = 0.005
ONCE st22 = 0.015
ONCE st23 = 0.005
ONCE rsip = 14.0
ONCE stp = 17.0
ONCE stk = 7.0
ONCE p3 = 4.0
ONCE st31 = 0.02
ONCE st32 = 0.015
ONCE st33 = 0.015
MM = 0 // = 0 for optimization
if MM = 0 then
positionsize=0.3
ENDIF
if MM = 1 then
ONCE startpositionsize = .2
ONCE factor = 20 // factor of 10 means margin will increase/decrease @ 10% of strategy profit; factor 20 = 5% etc
ONCE margin = (close*.008) // tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE margin2 = (close*.01)// tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage
ONCE tier1 = 55 // IG first tier margin limit
ONCE maxpositionsize = 550 // IG tier 2 margin limit
ONCE minpositionsize = .2 // enter minimum position allowed
IF StrategyProfit <> StrategyProfit[1] THEN
positionsize = startpositionsize + Strategyprofit/(factor*margin)
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
IF startpositionsize + Strategyprofit/(factor*margin) > tier1 then
positionsize = (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 //incorporating tier 2 margin
ENDIF
IF StrategyProfit <> StrategyProfit[1] THEN
if startpositionsize + Strategyprofit/(factor*margin) < minpositionsize THEN
positionsize = minpositionsize //keeps positionsize from going below allowed minimum
ENDIF
IF (((startpositionsize + (Strategyprofit/(factor*margin))-tier1)*(factor*margin))/(factor*margin2)) + tier1 > maxpositionsize then
positionsize = maxpositionsize// keeps positionsize from going above IG tier 2 margin limit
ENDIF
ENDIF
ENDIF
ENDIF
Ctime = time >=153000 and time <220000
TIMEFRAME(15 minutes)
Period= p1 //105
inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)
HULLa = weightedaverage[round(sqrt(Period))](inner)
c1 = HULLa > HULLa[1] or HULLb > HULLa
c2 = HULLa < HULLa[1] or HULLb < HULLa
ST1 = SAR[st11,st12,st13] //0.01, 0.015, 0.015
c1a = (close > ST1)
c2a = (close < ST1)
TIMEFRAME(5 minutes)
Periodb= p2 //20
innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice)
HULLb = weightedaverage[round(sqrt(Periodb))](innerb)
c3 = HULLb > HULLb[1]
c4 = HULLb < HULLb[1]
c3b = HULLb > HULLb[1] and HULLb[1] < HULLb[2]
c4b = HULLb < HULLb[1] and HULLb[1] > HULLb[2]
ST2 = SAR[st21,st22,st23] // 0.005, 0.015, 0.005
c3a = (close > ST2)
c4a = (close < ST2)
//Stochastic RSI | indicator
lengthRSI = rsip //RSI period 15
lengthStoch = stp //Stochastic period 14
smoothK = stk //Smooth signal of stochastic RSI 7
smoothD = std //Smooth signal of smoothed stochastic RSI 3
myRSI = RSI[lengthRSI](close)
MinRSI = lowest[lengthStoch](myrsi)
MaxRSI = highest[lengthStoch](myrsi)
StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI)
K = average[smoothK](stochrsi)*100
D = average[smoothD](K)
c3c = K>D
c4c = K<D
TIMEFRAME(default)
Periodc= p3 //4
innerc = 2*weightedaverage[round( Periodc/2)](typicalprice)-weightedaverage[Periodc](typicalprice)
HULLc = weightedaverage[round(sqrt(Periodc))](innerc)
c5 = HULLc > HULLc[1] and HULLc[1] < HULLc[2]
c6 = HULLc < HULLc[1] and HULLc[1] > HULLc[2]
c5b = HULLc > HULLc[1]
c6b = HULLc < HULLc[1]
ST3 = SAR[st31,st32,st33] //0.02, 0.015, 0.015
c5a = (close > ST3)
c6a = (close < ST3)
Once MaxPositionsAllowed = 1*positionsize
// Conditions to enter long positions
IF not longonmarket and Ctime and c1 and c1a AND C3a and c3b and c3c AND C5a and c5b THEN
BUY positionsize CONTRACT AT MARKET
elsif longonmarket and Ctime and c1 and c1a and c3 and c3a and c5 and COUNTOFLONGSHARES < MaxPositionsAllowed then
BUY positionsize CONTRACT AT MARKET
SET STOP %LOSS 1.1
SET TARGET %PROFIT 1.6
ENDIF
// Conditions to enter short positions
IF not shortonmarket and Ctime and c2 and c2a AND C4a and c4b and c4c AND C6a and c6b THEN
sellshort positionsize*0 CONTRACT AT MARKET
elsif shortonmarket and Ctime and c2 and c2a and c4 and c4a and c6 and COUNTOFSHORTSHARES < MaxPositionsAllowed then
sellshort positionsize*0 CONTRACT AT MARKET
SET STOP %LOSS 1
SET TARGET %PROFIT 1.4
ENDIF
// %trailing stop function incl. cumulative positions
once trailingstoptype = 1
if trailingstoptype then
//====================
once trailingpercentlong = 0.35 // %
once trailingpercentshort = 0.38 // %
once accelerator = 0.03 // 1 = default; always > 0 (i.e. 0.5-3)
once accelerator2 = 0.1 // 1 = default; always > 0 (i.e. 0.5-3)
once ts2sensitivity = 0 // [0]close;[1]high/low;[2]low;high
//====================
once steppercentlong = (trailingpercentlong/10)*accelerator
once steppercentshort = (trailingpercentshort/10)*accelerator2
if onmarket then
trailingstartlong = positionprice[1]*(trailingpercentlong/100)
trailingstartshort = positionprice[1]*(trailingpercentshort/100)
trailingsteplong = positionprice[1]*(steppercentlong/100)
trailingstepshort = positionprice[1]*(steppercentshort/100)
endif
if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
newsl = 0
mypositionprice = 0
endif
positioncount = abs(countofposition)
if newsl > 0 then
if positioncount > positioncount[1] then
if longonmarket then
newsl = max(newsl,positionprice * newsl / mypositionprice)
else
newsl = min(newsl,positionprice * newsl / mypositionprice)
endif
endif
endif
if ts2sensitivity=1 then
ts2sensitivitylong=high
ts2sensitivityshort=low
elsif ts2sensitivity=2 then
ts2sensitivitylong=low
ts2sensitivityshort=high
else
ts2sensitivitylong=close
ts2sensitivityshort=close
endif
if longonmarket then
if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then
newsl = positionprice+trailingsteplong*pipsize
endif
if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then
newsl = newsl+trailingsteplong*pipsize
endif
endif
if shortonmarket then
if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then
newsl = positionprice-trailingstepshort*pipsize
endif
if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then
newsl = newsl-trailingstepshort*pipsize
endif
endif
if barindex-tradeindex>1 then
if longonmarket then
if newsl>0 then
sell at newsl stop
endif
if newsl>0 then
if low crosses under newsl then
sell at market
endif
endif
endif
if shortonmarket then
if newsl>0 then
exitshort at newsl stop
endif
if newsl>0 then
if high crosses over newsl then
exitshort at market
endif
endif
endif
endif
mypositionprice = positionprice
endif
.
