New strategy template

nonetheless · Sat, 15 May 2021 09:39:08 +0000

I’ve been working on a strategy template and thought I’d post it here in case anyone finds it useful. The idea is to include as many common features as possible, most of them being switchable so you can easily opt out of the bits you don’t want. It also includes typical optimization parameters so they don’t have to be entered again and again – just build or insert a strategy and most of the other stuff will already be there with provisional values. Most of what’s here are snippets created by various people – namely Nicolas, Vonasi, Roberto and Paul among others – that i’ve picked up along the way and found useful. I’m hoping the overall package can be improved and it would be great to hear suggestions for anything else you feel should be included (as well as checking for errors that may have crept into the coding). There’s a choice of 3 different trailing stops, and I thought of doing the same for MoneyManagement options but, as this seems to be quite a personal choice, I only included the one that I normally use. You can swap it out for whichever you prefer, as long as it produces a value for ‘positionsize’. This version has some aspects specific to the DAX: spread, minimum positionsize, minimum stop distance (for ATR TS), and certain MoneyManagement details. These have to be altered if you want to use it with other instruments. DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 10000 //Money Management DAX MM = 0 // 0 = level stakes for optimization if MM = 0 then positionsize= 1 ELSIF MM then ONCE startpositionsize = 0.5 ONCE factor = f // adjust for speed of change, higher = slower. factor of 10 means margin will increase/decrease by 10% of strategy profit; factor 20 = 5% etc ONCE margin = (close*.05) //IG tier 1 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE margin2 = (close*.05)//IG tier 2 margin value of 1 contract in instrument currency; change decimal according to available leverage ONCE tier1 = 105 // IG first tier margin limit ONCE maxpositionsize = 1050 // IG tier 2 margin limit ONCE minpositionsize = 0.5 // IG 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 once tradetype = 1 // [1] long/short [2]long [3]short once closeonreversal = 0 // if tradetype=2 or tradetype=3, close position when opposite conditions obtain Tradetime = time >=h1 and time <h2 //active hours for entering trades //Tradetime = 1 // 24 hour trading //Strategy************************************************************************* ***Insert all the funky stuff*** CBUY = Tradetime and (tradetype=1 or tradetype=2) and (CONDITIONS) CSELL = Tradetime and (tradetype=1 or tradetype=3) and (CONDITIONS) // Conditions to enter long positions IF NOT LongOnMarket AND CBUY THEN BUY positionsize CONTRACTS AT MARKET ENDIF // Conditions to exit long positions If LongOnMarket AND (CONDITIONS) THEN SELL AT MARKET ENDIF if closeonreversal and tradetype=2 and CSELL then sell at market endif // Conditions to enter short positions IF NOT ShortOnMarket AND CSELL THEN SELLSHORT positionsize CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortOnMarket AND (CONDITIONS) THEN EXITSHORT AT MARKET ENDIF if closeonreversal and tradetype=3 and CBUY then EXITSHORT at market endif // partial close once partialclose = 0 If partialclose then ONCE PerCent = pcc //0.1 = 10% positions to close ONCE PerCentGain = pcg //0.005 = 0.5% gain ONCE MinLotSize = 0.5 //IG minimum ExitQuantity = abs(CountOfPosition) * PerCent LeftQty = max(MinLotSize,abs(CountOfPosition) - ExitQuantity) CloseQuantity = abs(CountOfPosition) - LeftQty IF Not OnMarket THEN Flag = 1 ENDIF IF partialclose AND LongOnMarket and close >= (PositionPrice * (1 + PerCentGain)) AND Flag THEN SELL CloseQuantity Contracts AT Market Flag = 0 endif IF partialclose AND ShortOnMarket and close <= (PositionPrice * (1 - PerCentGain)) AND Flag THEN exitshort CloseQuantity Contracts AT Market Flag = 0 endif endif // Stops and targets DONCHIANSTOP = 0 if DONCHIANSTOP then Upper = Highest[DC](high) Lower = Lowest[DC](low) if longonmarket then laststop = Lower[1] endif if shortonmarket then laststop = Upper[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif endif if LongOnMarket and not DONCHIANSTOP then SET STOP %LOSS sl ENDIF if ShortOnMarket and not DONCHIANSTOP then SET STOP %LOSS sls ENDIF If LongOnMarket THEN SET TARGET %PROFIT tp ENDIF If ShortOnMarket THEN SET TARGET %PROFIT tps ENDIF //EXIT ZOMBIE TRADE, closes long-running unprofitable trades after specified number of bars EZT = 0 if EZT then IF longonmarket and barindex-tradeindex(1)<= z1 and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex(1)>= z2 and close>positionprice then exitshort at market endif endif //trailing stop once trailingstopPC = 1 // Percentage TS, includes break even function once enableBreakEven = 0 //Break even, can be used in conjunction with ATR TS once trailingstopATR = 0 //ATR TS once trailingstopRTS = 0 //RobertoGozzi trailing stop // Percentage trailing stop function incl. cumulative positions if trailingstopPC then trailingpercentlong = tsl // % trailingpercentshort = tss // % once acceleratorlong = a1 // always > 0 (typically TSL/10) once acceleratorshort= a2 // always > 0 (typically TSS/10) ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== 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*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 // break even stop incl. cumulative positions if enableBreakEven then //==================== once besg = be //% break even stop gain once besl = bes //% break even stop level (+ or -) besensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then benewsl=0 mypositionpricebe = 0 endif positioncountbe = abs(countofposition) if benewsl > 0 then if positioncountbe > positioncountbe[1] then if longonmarket then benewsl = max(benewsl,positionprice * benewsl / mypositionpricebe) else benewsl = min(benewsl,positionprice * benewsl / mypositionpricebe) endif endif endif if besensitivity=1 then besensitivitylong=close besensitivityshort=close elsif besensitivity=2 then besensitivitylong=high besensitivityshort=low elsif besensitivity=3 then besensitivitylong=low besensitivityshort=high endif if longonmarket then if besensitivitylong-positionprice>=((positionprice/100)*besg)*pointsize then benewsl=positionprice+((positionprice/100)*besl)*pointsize endif endif if shortonmarket then if positionprice-besensitivityshort>=((positionprice/100)*besg)*pointsize then benewsl=positionprice-((positionprice/100)*besl)*pointsize endif endif if barindex-tradeindex>1 then if longonmarket then if benewsl>0 then sell at benewsl stop endif if benewsl>0 then if low crosses under benewsl then sell at market endif endif endif if shortonmarket then if benewsl>0 then exitshort at benewsl stop endif if benewsl>0 then if high crosses over benewsl then exitshort at market endif endif endif endif mypositionpricebe = positionprice endif // trailing atr stop incl. cumulative positions if trailingstopATR = 1 then //==================== once tsincrements = tsi // set to 0 to ignore tsincrements once tsminatrdist = tsm once tsatrperiod = 14 // atr parameter once tsminstop = 5 // IG minimum stop distance: DAX = 5, DJ = 12, NAS = 4, SP500 = 1 tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (do not use once) //==================== if barindex=tradeindex then trailingstoplong = ATRL // ts atr distance trailingstopshort = ATRS // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl*pointsize then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs*pointsize then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif //RobertoGozzi TS with cumulative orders IF trailingstopRTS then ONCE UseCLOSE = 0 //1=use CLOSE, 0=use High/Low srcH = close //defaults to CLOSE srcL = close //defaults to CLOSE IF UseCLOSE = 0 THEN srcH = high srcL = low ENDIF ONCE UsePerCentage = 1 //0=use Pips (default), 1=use Percentages ONCE UseEquity = 0 //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity) MyEquity = 1000 DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // when NOT OnMarket or thare's been a change in direction, reset values to their default settings StartPerCent = pc //0.25 = 0.25% movement to trigger Trailing Stop (when UsePerCentage=1) StepPerCent = spc //50 = 50% (of the 0.25% above) as a Trailing Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) TrailStart = 30 //30 Start trailing profits from this point (when UsePerCentage=0) MinStart = 10 //10 Minimum value for TrailStart (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative) IF UsePerCentage THEN TrailStart = (close / PipSize) * StartPerCent / 100 //use current price (CLOSE) for calculations IF UseEquity THEN //alternative calculations using EQUITY TrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100) //MyEquity is the variable (feel free to use a different name) retaining your current equity ENDIF ENDIF // BasePerCent = bpc //0.08 - 0.2 Profit percentage to keep when setting BerakEven StepSize = ss //5 - 15 Pip chunks to increase Percentage IF UsePerCentage THEN StepSize = TrailStart * StepPerCent / 100 ENDIF PerCentInc = pci //0.06 - 0.14 PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 5 * pipsize //broker's minimum distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value //PositionCount = 0 SellPrice = 0 SellPriceX = 0 ExitPrice = 9999999 ExitPriceX = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1 = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1 = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent) //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (srcH - PositionPrice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND srcL < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - srcL) / pipsize //convert price to pips IF x2 >= TrailStart THEN // go ahead only if N+ pips Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF //------------------------------------------------------------------------------ // manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (y1 * pipsize)) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = min(ExitPrice,PositionPrice - (y2 * pipsize)) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF ENDIF

This topic has 35 replies, 10 voices, and was last updated 3 years ago by Chrisinobi.

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02/22/2022 at 7:08 PM #188682

LaurentBZH35

Hi nonetheless,

I would like to know if the v5 are the last template you are using to build code.

Thanks for this job

LaurentBZH35

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02/22/2022 at 7:19 PM #188683

nonetheless

yes, apart from changing the MM which I added here: #185916

2 users thanked author for this post.

Chrisinobi,

LaurentBZH35

nonetheless

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02/23/2022 at 3:17 PM #188711

Chrisinobi

Hello Nonetheless
I am a huge admirer of their work and have been following them for a long time, my question is about the various stop functions, can you put all the break even and trailing stops in one strategy and then just toggle on and off as needed???? Could you tell me the lines where I can switch functions on or off??? With some functions it is written behind it, but sometimes where nothing is written, I’m not sure. Thank you and bear with me, I still have some learning to do.

Chrisinobi

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02/23/2022 at 5:17 PM #188718

nonetheless

You can duplicate the template and insert your strategy, then just turn the other functions on or off to test whether you want to use it.

You can leave unused code in the algo, but if it’s of no use to you, probably better to delete it.

The trailing stops can be selected in these lines, 1 = on, 0 = off

//trailing stop
once trailingstopPC = 1  // Percentage TS, includes break even function
once enableBreakEven = 0 //Break even, can be used in conjunction with ATR TS
once trailingstopATR  = 0 //ATR TS
once trailingstopRTS = 0 //RobertoGozzi trailing stop

//trailing stop

once trailingstopPC = 1 // Percentage TS, includes break even function

once enableBreakEven = 0 //Break even, can be used in conjunction with ATR TS

once trailingstopATR = 0 //ATR TS

once trailingstopRTS = 0 //RobertoGozzi trailing stop

trailingstopRTS and trailingstopPC both include a breakeven function, so the separate breakeven is only to be used with the ATR

All the separate functions are switched off to start, eg:

DONCHIANSTOP = 0
if DONCHIANSTOP then

1 2	DONCHIANSTOP = 0 if DONCHIANSTOP then

you have to change that to a 1 if you want to test it.

hope that helps!

nonetheless

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02/23/2022 at 7:34 PM #188725

Chrisinobi

<span class="Y2IQFc" lang="en">Yes thank you very much, you helped me a lot, because I think that the trail stop is the most important thing in a strategy to make short term breakouts reasonably profitable. I don't need CFD for long-term trend, there are better instruments. I'm looking forward to something interesting from you again. Maybe the Holy Grail. (-:</span>

<span class="Y2IQFc" lang="en">Yes thank you very much, you helped me a lot, because I think that the trail stop is the most important thing in a strategy to make short term breakouts reasonably profitable. I don't need CFD for long-term trend, there are better instruments. I'm looking forward to something interesting from you again. Maybe the Holy Grail. (-:</span>

Chrisinobi

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02/23/2022 at 7:40 PM #188726

Chrisinobi

Yes thank you very much, you helped me a lot, because I think that the trail stop is the most important thing in a strategy to make short term breakouts reasonably profitable. I don’t need CFD for long-term trend, there are better instruments. I’m looking forward to something interesting from you again. Maybe the Holy Grail. (-:

Chrisinobi

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Replies: 24

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