Pivot Line Strategy

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  • 12/19/2022 at 9:23 PM #206039 quote
    nick147
    Participant
    New

    I’m trying to write a Probacktest script for an intraday (1 minute timeframe) to use the Daily Timeframe Pivot Point Line. However when I define the Daily Pivot Line with the syntax below as the level to Enter a Long Position the actual Entry Level used seems to be completely random.

    Pivt  = (DHigh[1] + DLow[1] + DClose[1])/3         // – Pivot

    Is this the correct syntax to use for the DAILY Pivot Line when using a 1 minute intraday timeframe.

    Any advice would be greatly appreciated.

    12/20/2022 at 7:54 AM #206061 quote
    robertogozzi
    Moderator
    Master

    Check that you have at least 3000 units displayed, because 1 day=1440 minutes and 2 days are needed to be able to make it work (at 11pm it’s almost 2 days, to refer to the prior day).

    12/20/2022 at 1:49 PM #206091 quote
    nick147
    Participant
    New

    Thank you so much Roberto

    That has really helped me understand what was going wrong.

    I have another question about the price level that Probacktest uses to Enter a Long Position.

    What function can be used to Enter a Long Position at the ACTUAL price level specified for example at the Resistance 1 Pivot Line (R1).

    For example R1 on the GBP/USD currency pair is at 12310.2 on Tuesday 13th December 2022 and the 13:30GMT 1 minute bar has a Low of 12291.7 and a High of 12396.8 making it over 100 pips long.

    Instead of Entering a Long Position at R1, Probacktest uses the open of the next bar at 12388.7 which misses 78.5 pips of the trade.

    I did this trade for real and got an entry price almost at R1 so there must be a way for Probacktest to use a more realistic entry price?

    Any advice would be greatly appreciated.

    01/13/2023 at 12:04 PM #207338 quote
    robertogozzi
    Moderator
    Master

    You need to use LIMIT or STOP pending orders (the attached pic shows when using either of them):

    BUY       1 CONTRACT AT pricelevel LIMIT  //or STOP (Long orders)
SELLSHORT 1 CONTRACT AT pricelevel LIMIT  //or STOP (Short orders)

    Pending orders only last 1 bar. If you still need them you will have to place them again and again each bar.
    Be warned that you must ensure there’s enough distance from the current price (i.e. CLOSE) and the PRICELVEL you choose, to abide by the broker’s requirements (which are different for each instrument and may change intraday).

    Pending-STOP-LIMIT-Orders-Ordini-Pendenti.jpg Pending-STOP-LIMIT-Orders-Ordini-Pendenti.jpg
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Pivot Line Strategy


ProOrder: Automated Strategies & Backtesting

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nick147 @nick147 Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by robertogozzi
3 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/19/2022
Status: Active
Attachments: 1 files
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