Need help with MTF breakout Nasdaq

phoentzs · Sat, 20 Nov 2021 03:09:53 +0000

It’s getting late … that’s probably why I don’t see the error. The following problem with this test system: I created it as a breakout MTF, breakout from the M15 chart with the data from the M30 chart. So far it works according to my ideas. But … if I switch to the M3 chart now to add a trailing stop … my breakouts will no longer work. Unfortunately I cannot find the error. Can someone help me please? //================================================ DEFPARAM CUMULATEORDERS = false defparam preloadbars = 5000 //daysForbiddenEntry = OpenDayOfWeek = 5 and time >= ti //Risk Management PositionSize=1 //timeframe(4hour, updateonclose) ////MACDLiniex = MACDline[12,26,9](close) > 0 //MAxx = Average[15,1](typicalprice) //mylongx = MAxx > MAxx[1] timeframe(30minute, updateonclose) //MA25 = Average[25,1](close) //Exponential MA50 = Average[50,1](close) //Exponential MA100 = Average[100,1](close) //Exponential MA150 = Average[150,1](close) //Exponential MA180 = Average[180,1](close) //Exponential //timeframe(30minute, updateonclose) ////MACDLiniex = MACDline[12,26,9](close) > 0 //MAxx = Average[100,1](close) //typicalprice //mylongx = MAxx > MAxx[1] //timeframe(15minute, updateonclose) per = 200 //20 200 MA = Average[per,1](close) //close typicalprice //MA150 = Average[150,1](close) //Exponential //MA180 = Average[180,1](close) //Exponential MA5 = Average[5,1](close) //Exponential MA10 = Average[10,1](close) //Exponential MA21 = Average[21,1](close) //Exponential MA34 = Average[34,1](close) //Exponential MA55 = Average[55,1](close) //Exponential MA89 = Average[89,1](close) //Exponential mylong = MA > MA[1] mylong2 = MA100 > MA150 and MA150 > MA180 and MA50 > MA100 //and MA25 > MA50 mylong3 = MA21 > MA34 mylong4 = MA34 > MA55 mylong5 = MA55 > MA89 mylong6 = close > MA5 mylong7 = MA5 > MA10 and MA10 > MA21 and MA21 > MA21[1] and MA10 > MA10[1] mylong8 = close > MA //Volaititätfilter AvgRange = average[20,0](range) TradeOFF = range > (AvgRange * 3) //no trading if the current range > twice its average //3 //Breakout Hoch = highest[10](high) //8 timeframe(15minute, updateonclose) Breakout = close crosses over Hoch[1] //and close[1] > Hoch[2] // trading window ONCE BuyTime = 50000 ONCE SellTime = 210000 // position management IF Time >= BuyTime AND Time <= SellTime THEN If Breakout and mylong3 and mylong4 and mylong5 Then Buy PositionSize CONTRACTS AT MARKET SET STOP %LOSS 0.9 SET TARGET %PROFIT 1 ENDIF endif timeframe(default) //////////////////////////////////////////////////// //// %trailing stop function incl. cumulative positions //once trailingstoptype = 1 //if trailingstoptype then ////==================== //trailingpercentlong = start // % //trailingpercentshort = 0.2 // % //once acceleratorlong = step // typically tst*0.1 //once acceleratorshort= 0.05 // typically tss*0.1 //ts2sensitivity = 2 // [1] close [2] high/low [3] low/high [4] typicalprice ////==================== //once steppercentlong = (trailingpercentlong/10)*acceleratorlong //once steppercentshort = (trailingpercentshort/10)*acceleratorshort //if onmarket then //trailingstartlong = positionprice*(trailingpercentlong/100) //trailingstartshort = positionprice*(trailingpercentshort/100) //trailingsteplong = positionprice*(steppercentlong/100) //trailingstepshort = positionprice*(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=close //ts2sensitivityshort=close //elsif ts2sensitivity=2 then //ts2sensitivitylong=high //ts2sensitivityshort=low //elsif ts2sensitivity=3 then //ts2sensitivitylong=low //ts2sensitivityshort=high //elsif ts2sensitivity=4 then //ts2sensitivitylong=(typicalprice) //ts2sensitivityshort=(typicalprice) //endif //if longonmarket then //if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then //newsl = positionprice+trailingsteplong + 0.2 //endif //if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then //newsl = newsl+trailingsteplong //endif //endif //if shortonmarket then //if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then //newsl = positionprice-trailingstepshort //endif //if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then //newsl = newsl-trailingstepshort //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 // //if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then //if positioncount > positioncount[1] then //if longonmarket then //newsl = max(newsl,positionprice * newsl / mypositionprice) //endif //if shortonmarket then //newsl = min(newsl,positionprice * newsl / mypositionprice) //endif //endif //endif //////////////////////////////////////////////////////////////////

This topic has 30 replies, 7 voices, and was last updated 3 years ago by phoentzs.

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11/20/2021 at 1:38 PM #181943

phoentzs

Thank you JS. Mmh, but why? “Crosses over” is more precise than “>”. That’s why I prefer to use it.

phoentzs
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11/20/2021 at 1:52 PM #181944

nonetheless

phoentzs wrote:

The “Close” from M15 is faster than the “Close” from M30

Yes, but the 3m close will be 12 minutes faster than the 15m. You have no indicators on 15m, it’s not doing anything.

nonetheless
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11/20/2021 at 1:56 PM #181945

phoentzs

Is “highest [10] high” in the M30 actually the same as “highest [20] high” in the M15? Then that could be a solution.

But maybe the “Close” from M3 is too fast again and there are too many hidden entries?

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11/20/2021 at 2:38 PM #181948

JS

When I look at a point in time for example 19 nov. 2021 19:00 and I look at the close in the different timeframes then I see that they are different.

Close in TF3 (19 nov. 19:00) 16.596,2

Close in TF15 (19 nov. 19:00) 16.601,4

Only the OPEN’s are the same (19 nov. 19:00)

JS
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11/20/2021 at 3:10 PM #181950

JS

When the Close “changes” in other Timeframes it is possible that your conditions are not (all) met when shifting between timeframes?

JS
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11/20/2021 at 3:53 PM #181951

phoentzs

Unfortunately I won’t get to work on it on the laptop until next week. Basically nothing should speak against simply taking the “Close” out of TF M3 and working with it. Or M5 … I did the same with my H4-Break M5. There’s already a topic for this. works great and is already running live for me. In order to prevent hidden entrances, which there are a lot of low TFs, I built in the function 1 trade per 4 hours. I don’t have this option here with this system. Hence the M15 entry. Because in principle this system is very promising, especially when it comes to filtering the trend in the M30. By the way, again with standard values.

phoentzs
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11/24/2021 at 3:46 AM #182173

phoentzs

I’ve now written the logic of the system like my Break-H4 system. We are trending the breakout of highest (20) in the M15-TF. The close comes from the M3-TF. The logic works well in the long term if you switch to higher TFs.
Only with the Tradecounter am I not sure whether it works like that. A maximum of 1 trade should be allowed every 4 hours. At least I thought that was a good idea.
However, if I try to get more out of the trailing code, the results will be worse. With pure TP / SL seems better here. Still no idea why.
Maybe someone can still try it?

phoentzs
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11/24/2021 at 6:14 AM #182177

murre87

Some of the coders here can see and improve tje code just by looking at the code. Therefore i think it easyer to get help if u publish ur code i text here. “Insert prt-code”

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11/24/2021 at 7:35 AM #182178

JS

Report start mid 2013

JS
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11/24/2021 at 9:02 AM #182182

phoentzs

@JS: Did you change something? Continuously good. 😁 But why does the trailing not bring any improvement here?

phoentzs
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11/24/2021 at 9:06 AM #182183

phoentzs

Maybe just a money management?

phoentzs
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11/24/2021 at 12:48 PM #182213

JS

@phoentzs nothing changed, just backtest from mid 2013.

JS
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11/24/2021 at 12:53 PM #182214

phoentzs

Well, with these settings it’s definitely a winner.

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11/28/2021 at 12:36 PM #182435

murre87

Would it be possble to inverse all values to make a short version?

Time frame 4. Close < low and so on

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11/28/2021 at 1:42 PM #182436

phoentzs

Of course its possible.

phoentzs
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