Hi Francesco,

Thanks. I am attaching the code:

//crude oil 15 min strategy
 
DEFPARAM cumulateOrders = False

// Dias de la semana
IF DayOfWeek = 0 OR Dayofweek = 6 THEN
tradeok = 0
ELSE
tradeok = 1
ENDIF
// Friday 22:00 Close ALL operations.
IF DayOfWeek = 5 AND time = 220000 THEN
SELL      AT MARKET
EXITSHORT AT MARKET
ENDIF

Fridaynight = Dayofweek = 5 AND time>220000

//parameter definition
period = 6
fastav = average[4](close)
slowav = average[50](close)
maoscillator = fastav-slowav
 
fullness = (Dclose(0)-Dopen(0))/abs(Dhigh(0)-Dlow(0))
avfullness = summation[period](fullness)/period
avfullnessthreshold = 0.38

enrojoalcista= (tradeprice(1)-close)>35*pipsize
enrojobajista= (close-tradeprice(1))>35*pipsize

cl = maoscillator>0
cl = cl and avfullness < -avfullnessthreshold

cs = maoscillator<0
cs = cs and avfullness > avfullnessthreshold


// Largos
IF NOT ONMARKET AND cl AND tradeok=1 AND NOT Fridaynight THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Cortos
IF NOT ONMARKET AND cs AND tradeok=1 AND NOT Fridaynight THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Salida Largos
IF LONGONMARKET AND enrojoalcista  AND (open-close)>=30*pipsize AND open>close THEN
SELL AT MARKET
ENDIF


// Salida cortos
IF SHORTONMARKET AND enrojobajista AND (close-open)>=30*pipsize AND open<close THEN
EXITSHORT AT MARKET
ENDIF

////trailing stop function
trailingstart = 25 //trailing will start @trailinstart points profit
trailingstep = 30 //trailing step to move the "stoploss"

//reset the stoploss value
IF NOT ONMARKET THEN
newSL=0
ENDIF

//manage long positions
IF LONGONMARKET THEN
//first move (breakeven)
IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN
newSL = tradeprice(1)+trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN
newSL = newSL+trailingstep*pipsize
ENDIF
ENDIF

//manage short positions
IF SHORTONMARKET THEN
//first move (breakeven)
IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN
newSL = tradeprice(1)-trailingstep*pipsize
ENDIF
//next moves
IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN
newSL = newSL-trailingstep*pipsize
ENDIF
ENDIF

//stop order to exit the positions
IF newSL>0 and tradeok=1 THEN
SELL AT newSL STOP
EXITSHORT AT newSL STOP
ENDIF
//************************************************************************


//set target pprofit 30
set stop ploss 90

As you can see in the code, the parameters trailingstart: 25 and trailingstep: 30 determine the following:

Trailing start is the first profit locked. Once 25 is secure, the trailing will be securing profits after every 30 pips (trailing step). You can play with these two parameters and decide which one fits you better.

I hope it can be useful. I already mentioned, but I am a big fan of your hammer-negated and mean-reverting, so I have taken the liberty to customised both codes.

I am trying to see if mean-reverting is adaptable to any other instruments (Indexes, Forex, etc).

Best,

Juan.

@visctormork,

Hi, actually, the exit is defined by the trailing-start and trailing-step.

These two paragraphs in Spanish salida largos/Exit long and salida cortos=exit short are somehow something I thought it would help to mitigate the losses. I shouldn’t have labeled it as exit long/short.

In this sense, what I have tried to code is that because the Stop Loss is 90, I wanted to avoid to reach 90 in cases when is clear the operation is going to be negative. Example: when a LONG operation is losing by 35 points (enrojoalcista) and on top of that we see we have a long short candle of more than 30 pips, we sell at market. The market is showing a clear SHORT tendency, so why wait??. It is a little simple but it works in most of the cases. When operating in manual, if you see this clear short tendency, you would cut the losses. The same way, I wanted to create these two conditions to avoid reaching the stop loss of 90. In some cases, I am sure the operation would turn around and would close in positive, but are IMO the least.

I hope it clarify these two paragraphs,

Thanks,

Juan

P.S.- If any of you have tried this code in other values, it would be nice to share. I think Francesco did a wonderful job with hammer-negated and mean-reverting and we should try to explote these codes in other values and TFs.

It is so annoying that we have so little data for oil. There is plenty for several other raws but on Oil one has to go up to daily timeframe to get more data. 🙁

Hi Victor,

Thanks. I will try on US Crude 1h and will see the results. In any case thanks for Francesco’s and your understanding. I just got into PRC three months ago and learning everyday from all of you guys.

BTW, I am seeing the expressions “curve fitted” a lot, and although I know is about the equity curve, I don’t know exactly the meaning of the expression when it comes to the performance of the EC. Any explanation would be greatly appreciated.

Thanks,

Juan

Hi Despair,

Thanks for the explanation. I am afraid that I did what you said with some of the strategies, and when I put them on DEMO I noticed some discrepancies with the performance of my previous backtest, so I thought that I have adapted the code to create a clean curve on the backtest. You just confirmed my original idea, but I had no idea that it was labeled with the expression “curve fitted”. Besides the name, it is good to know that when working on strategies and adapting other systems is not about constructing the perfect curve.

Thanks,

Juan