Need help with automatic a strategy for DAX and SA40

• 08/28/2019 at 6:06 PM #105772
  Paul

  Hi Lombard974

  Doesn’t exactly work the way I wanted, it takes one position based on high/low from 15min bar after crossing, on the next bar, with only 1 trade a day between 9.00-9.15

  Lines display the high/low from the 15min candle 845-0900. You also see your stoploss and the trailing-stops.

  Your second option isn’t implemented and is perhaps not suitable for this code.

  The code is a bit long, it the layout I work with. Focus on the main criteria part for adjustment and time settings.

  Tested on DAX30 1 minute.

   

  // common rules defparam cumulateorders = false defparam preloadbars = 10000 TIMEFRAME (default) // on/off once enablesl = 1 // stoploss once enablept = 1 // profit target once enablets = 1 // trailing stop once enablebe = 0 // breakeven stop //activate graph(onprice); maximum 5 lines active ! once displaysl = 1 // stop loss [1 line] once displaypt = 0 // profit target [1 line] once displayts = 1 // trailing stop [3 lines] once displaybe = 0 // breakeven stop [1 line] once displaydim = 0 // days in market [1 line] once displaypp = 0 // position performance [1 line] positionsize = 1 sl = 1 // % stoploss pt = 1 // % profit target // trailingstop exit activates when positionperformance (pp) ts1=0.35 // is greater then this percentage then use trailingstop ts1 switch=0.45 // is greater then this percentage then use trailingstop ts2 ts2=0.25 switch2=0.60 // is greater then this percentage then use trailingstop ts3 ts3=0.20 // breakeven exit besg = 0.30 // % break even stop gain besl = 0.05 // % break even stop level // used for sl/pt/ (not used for ts); not to be optimized! // forex use 0.01; securities use 1, index use 100 // profittargets and stoploss have to match the lines with displaysl/tp/ts set to 1 underlaying=100 // day & time once entertime = 090000 once lasttime = 091500 once closetime = 210000 // greater then 23.59 means it continues position overnight once closetimefr = 180000 tradetime = (time >= entertime and time < lasttime) // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 tradecounter=0 endif // [pc] position criteria (also set a limit to the number of trades a day) (or set high for no impact) pclong = countoflongshares < 1 and longtradecounter < 1 and tradecounter < 1 pcshort = countofshortshares < 1 and shorttradecounter < 1 and tradecounter < 1 //[mc] main criteria TIMEFRAME (15 minutes, updateonclose) if intradaybarindex=35 then //0845-0900 on 15 min MaxPrice = high MinPrice = low else MaxPrice = 0 MinPrice = 0 ENDIF graphonprice MaxPrice coloured(0,200,0) as "MaxPrice" graphonprice MinPrice coloured(200,200,0) as "MinPrice" TIMEFRAME (default) if intradaybarindex=0 then mclong=0 mcshort=0 endif if close crosses over MaxPrice then mclong=1 endif if close crosses under MinPrice then mcshort=1 endif // long & short entry if tradetime then if pclong and mclong then buy positionsize contract at MaxPrice stop longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif pcshort and mcshort then sellshort positionsize contract at MinPrice stop shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif // pp=(positionperf*100) // trailing stop if enablets then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if onmarket then if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif // setup long if longonmarket then maxprice1=max(maxprice1,close) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2)*pointsize then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3)*pointsize then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1)*pointsize then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2)*pointsize then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3)*pointsize then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif // exit long if longonmarket and priceexit1>0 then sell at priceexit1 stop endif if longonmarket and priceexit2>0 then sell at priceexit2 stop endif if longonmarket and priceexit3>0 then sell at priceexit3 stop endif // exit short if shortonmarket and priceexit1>0 then exitshort at priceexit1 stop endif if shortonmarket and priceexit2>0 then exitshort at priceexit2 stop endif if shortonmarket and priceexit3>0 then exitshort at priceexit3 stop endif if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif // break even stop if enablebe then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displaybe then //graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif // set stoploss if enablesl then if not onmarket then sloss=0 elsif longonmarket then sloss=tradeprice(1)-((tradeprice(1)*sl)/underlaying)*pointsize elsif shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*sl)/underlaying)*pointsize endif set stop %loss sl if displaysl then graphonprice sloss coloured(255,0,0,255) as "stoploss" sloss=sloss endif endif // to display profittarget if enablept then if not onmarket then ptarget=0 elsif longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*pt)/underlaying)*pointsize elsif shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*pt)/underlaying)*pointsize endif set target %profit pt if displaypt then //graphonprice ptarget coloured(121,141,35,255) as "profittarget" ptarget=ptarget endif endif // exit at closetime if onmarket then if time >= closetime or (currentdayofweek=5 and time>=closetimefr) then sell at open stop exitshort at open stop endif endif // display days in market if displaydim then if not onmarket then dim=0 endif if (onmarket and not onmarket[1]) or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then dim=1 endif if not (dayofweek=1 and hour = 1) then if onmarket then if openday <> openday[1] then dim = dim + 1 endif endif endif //graph dim coloured(121,141,35,255) as "days in market" endif if displaypp then //graph pp coloured(0,0,0,255) as "positionperformance" endif //for trading all graph & graphonprice have to be comment out //for backtesting and to have a visual idea of exits or pp //uncomment and set displaysl and/or displaypt and/or displayts to 1 //maximum of 5 can be used to display lines (graph & graphonprice combined)

  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 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298

  // common rules defparam cumulateorders = false defparam preloadbars = 10000   TIMEFRAME (default) // on/off once enablesl = 1     // stoploss once enablept = 1     // profit target once enablets = 1     // trailing stop once enablebe = 0     // breakeven stop   //activate graph(onprice); maximum 5 lines active ! once displaysl  = 1   // stop loss [1 line] once displaypt  = 0   // profit target [1 line] once displayts  = 1   // trailing stop [3 lines] once displaybe  = 0   // breakeven stop [1 line] once displaydim = 0   // days in market [1 line] once displaypp  = 0   // position performance [1 line]   positionsize = 1   sl = 1 // % stoploss pt = 1 // % profit target   // trailingstop exit activates when positionperformance (pp) ts1=0.35     // is greater then this percentage then use trailingstop ts1   switch=0.45   // is greater then this percentage then use trailingstop ts2 ts2=0.25 switch2=0.60  // is greater then this percentage then use trailingstop ts3 ts3=0.20   // breakeven exit besg = 0.30 // % break even stop gain besl = 0.05 // % break even stop level   // used for sl/pt/ (not used for ts); not to be optimized! // forex use 0.01; securities use 1, index use 100 // profittargets and stoploss have to match the lines with displaysl/tp/ts set to 1 underlaying=100   // day & time once entertime   = 090000 once lasttime    = 091500 once closetime   = 210000 // greater then 23.59 means it continues position overnight once closetimefr = 180000   tradetime = (time >= entertime and time < lasttime)   // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 tradecounter=0 endif   // [pc] position criteria (also set a limit to the number of trades a day) (or set high for no impact) pclong = countoflongshares  < 1 and longtradecounter   < 1 and tradecounter < 1 pcshort = countofshortshares < 1 and shorttradecounter < 1 and tradecounter < 1   //[mc] main criteria TIMEFRAME (15 minutes, updateonclose)   if intradaybarindex=35 then //0845-0900 on 15 min MaxPrice = high MinPrice = low else MaxPrice = 0 MinPrice = 0 ENDIF graphonprice MaxPrice coloured(0,200,0) as "MaxPrice" graphonprice MinPrice coloured(200,200,0) as "MinPrice"   TIMEFRAME (default)   if intradaybarindex=0 then mclong=0 mcshort=0 endif   if close crosses over MaxPrice then mclong=1 endif if close crosses under MinPrice then mcshort=1 endif   // long & short entry if tradetime then if pclong and mclong then buy positionsize contract at MaxPrice stop longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif pcshort and mcshort then sellshort positionsize contract at MinPrice stop shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif   // pp=(positionperf*100)   // trailing stop if enablets then trailingstop1 = (tradeprice(1)/100)*ts1 trailingstop2 = (tradeprice(1)/100)*ts2 trailingstop3 = (tradeprice(1)/100)*ts3 if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice1=0 minprice1=close priceexit1=0 maxprice2=0 minprice2=close priceexit2=0 maxprice3=0 minprice3=close priceexit3=0 a1=0 a2=0 a3=0 pp=0 endif if onmarket then if pp>=ts1 then a1=1 endif if pp>=switch then a2=1 endif if pp>=switch2 then a3=1 endif endif // setup long if longonmarket then maxprice1=max(maxprice1,close) maxprice2=max(maxprice2,high) maxprice3=max(maxprice3,high) if a1 then if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if maxprice2-tradeprice(1)>=(trailingstop2)*pointsize then priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if maxprice3-tradeprice(1)>=(trailingstop3)*pointsize then priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize endif endif endif // setup short if shortonmarket then minprice1=min(minprice1,close) minprice2=min(minprice2,low) minprice3=min(minprice3,low) if a1 then if tradeprice(1)-minprice1>=(trailingstop1)*pointsize then priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize endif endif if a2 then if tradeprice(1)-minprice2>=(trailingstop2)*pointsize then priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize endif endif if a3 then if tradeprice(1)-minprice3>=(trailingstop3)*pointsize then priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize endif endif endif // exit long if longonmarket and priceexit1>0 then sell at priceexit1 stop endif if longonmarket and priceexit2>0 then sell at priceexit2 stop endif if longonmarket and priceexit3>0 then sell at priceexit3 stop endif // exit short if shortonmarket and priceexit1>0 then exitshort at priceexit1 stop endif if shortonmarket and priceexit2>0 then exitshort at priceexit2 stop endif if shortonmarket and priceexit3>0 then exitshort at priceexit3 stop endif if displayts then graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1" graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2" graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3" endif endif   // break even stop if enablebe then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displaybe then //graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif   // set stoploss if enablesl then if not onmarket then sloss=0 elsif longonmarket then sloss=tradeprice(1)-((tradeprice(1)*sl)/underlaying)*pointsize elsif shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*sl)/underlaying)*pointsize endif set stop %loss sl if displaysl then graphonprice sloss coloured(255,0,0,255) as "stoploss" sloss=sloss endif endif   // to display profittarget if enablept then if not onmarket then ptarget=0 elsif longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*pt)/underlaying)*pointsize elsif shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*pt)/underlaying)*pointsize endif set target %profit pt if displaypt then //graphonprice ptarget coloured(121,141,35,255) as "profittarget" ptarget=ptarget endif endif   // exit at closetime if onmarket then if time >= closetime or (currentdayofweek=5 and time>=closetimefr) then sell at open stop exitshort at open stop endif endif   // display days in market if displaydim then if not onmarket then dim=0 endif if (onmarket and not onmarket[1]) or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then dim=1 endif if  not (dayofweek=1 and hour = 1) then if onmarket then if openday <> openday[1] then dim = dim + 1 endif endif endif //graph dim coloured(121,141,35,255) as "days in market" endif   if displaypp then //graph pp  coloured(0,0,0,255) as "positionperformance" endif   //for trading all graph & graphonprice have to be comment out //for backtesting and to have a visual idea of exits or pp //uncomment and set displaysl and/or displaypt and/or displayts to 1 //maximum of 5 can be used to display lines (graph & graphonprice combined)

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  08/28/2019 at 6:13 PM #105773
  Paul

  Here’s a pic with 200k bars 1 min and spread 1.

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
• Author
  Posts