Parabolic Short/Long Strategy

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  • #211550

    Hi everyone, after taking a break for a while, I’m back to jot down a few more ideas during my free time. Since I’m a bit rusty, I would like some help in converting some elements into a code that I will then assemble and share with you if it’s decent.

    First code: Identify an increase/decrease of x percent in a stock during the past y days;

    Second code: Enter short during the breakdown of the opening range low if the candle is red/Enter long during the breakout of the opening range high if the candle is green;

    Third code: Open a position when the price, after crossing over or under the VWAP, fails and bounces back.

    Thanks!

    #211567
    JS

    Hi @Francesco,

    Here is the first code…

    1 user thanked author for this post.
    #211568
    JS
    If (Close Close[y]) / Close[y] * 100 >= x then
    Increase = 1
    ElsIf (Close Close[y]) / Close[y] * 100 <= x then
    Decrease = 1
    EndIf
    #211577

    I suggest to modify the code as follows, to make sure both variables are always different:

    1 user thanked author for this post.
    #211592

    Thank you guys!

    For the second request, could something like this work? (the time refers to NASDAQ opening hours)

     

    #211593

    Seems not to work properly… i’ll explain better with the attached image, an example of a long setup.

    Is this possible to code?

     

    #211603
    JS

    When I use Time >=153000 the high and Low of the previous candle is used, hence Time >= 153500…

    1 user thanked author for this post.
    #211613

    It seems to open the positions correctly now! But i’m still missing on how to put the stop loss on the high/low of the entry candle.

    Also in your example @js the postion should be closed at 15:55 after crossing under the low of the entry candle.

    Any suggestion? Current code version below:

     

    #211647

    I implemented the following code and it seems that i’m getting closer

    But as you can see in the image attached, the position is closed when crossing the high of the opening range candle and not when crossing the high of the candle where the position was opened

    #211666

    Ok i think i managed to solve the issue changing with:

    But looking at the backtests, putting the stop loss on the high/low of the opening range candle (so at the daily high/low) instead of the candle where the position was opened (as i wanted to during last posts) seems more effective for gains.

    Below the first version of the system (i’m still figuring out if it’s necessary to implement the VWAP condition) on NASDAQ 5M – 1.5 Contracts (939€ atm)

    Few details about the system:

    • Entirely based on price action
    • Pretty easy to optimize (just 1 value to edit)
    • No optimization needed for stop loss, just play with the trailing stop
    • Running just the Long version drastically decreases drawdown but generates less gains

     

    Please find attached a 10y backtest; feel free to give your contribution

Viewing 10 posts - 1 through 10 (of 10 total)

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