Pivot points trend for automatic trading

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  • 08/07/2021 at 9:35 PM #174884 quote
    eckaw
    Participant
    Veteran

    Hi all

    I’m looking to integrate pivot points as a trend filter in my algo trading and I haven’t yet managed to find out best take advantage of this.

    looking at Vonasi’s sentiment analysis:

    Pivot Line Analysis Market Sentiment of Every Candle

    Anyone got any ideas on how to successfully implement this in an automatic strategy in order to filter our bullish / bearish trends and avoid ranging markets? I’ve tried Vonasis code but struggling to get good results.

    I’m hoping it could work as a universal trend indicator along different markets without needing to optimise parameters which may cause further overfitting. Is that a viable approach?

    My idea is to use this on a higher timeframe (e.I. 1h or 4h) and use lower time for entry points based on momentum indicators, in the direction of the trend and to avoid ranging markets.

    08/08/2021 at 10:45 AM #174917 quote
    robertogozzi
    Moderator
    Master

    This one will enter when the indicator (embedded into the strategy, instead of calling it and using only the Trending code, UP and DOWN) signals an UP or DOWN condition + CLOSE crosses a SMA (either UPwards or DOWNwards) and it may reverse:

    DEFPARAM CumulateOrders = FALSE
H1      = High[0]//High
L1      = Low[0]//Low
C       = Close[0]//Close
HH1     = High[1]//High
LL1     = Low[1]//Low
CC      = Close[1]//Close
Pivot1  = (HH1 + LL1 + CC) / 3
R11     = 2*((HH1 + LL1 + CC) / 3)- LL1
S11     = 2*((HH1 + LL1 + CC) / 3)- HH1
Pivot   = (H1 + L1 + C) / 3
R1      = 2*((H1 + L1 + C) / 3)- L1
S1      = 2*((H1 + L1 + C) / 3)- H1
Flag    = 0
//Up Pivot
IF R1 > R11 and S1 > S11 THEN
   Flag = 1
ENDIF
//Down Pivot
IF R1 < R11 and S1 < S11 THEN
   Flag = -1
ENDIF
////////////////////////////////////////////////////
LongCond  = close > average[200,0](close) AND Not LongOnMarket  AND Flag = 1
ShortCond = close < average[200,0](close) AND Not ShortOnMarket AND Flag = -1
////////////////////////////////////////////////////
IF LongCond THEN
   BUY AT Market
ELSIF ShortCond THEN
   SELLSHORT AT Market
ENDIF
SET STOP   pLOSS   100
SET TARGET pPROFIT 300
    eckaw and Midlanddave thanked this post
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Pivot points trend for automatic trading


ProOrder: Automated Strategies & Backtesting

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eckaw @eckaw Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by robertogozzi
4 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/07/2021
Status: Active
Attachments: No files
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