Pivot strategy backtest

• 02/10/2020 at 8:27 AM #119133
  Stocks008

  Good day,

  I would like to backtest a strategy with pivots but have no idea how to code an instruction that lets me enter on pivot after a break of pivot.

  My strategy :(long scenario)

  When price breaks through the 4H pivot and closes above, enter if price pulls back and touches pivot with stoploss 10  points below pivot, target is R3.

  Can you please help?

  thank you,

  kind regards,

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  juanj

  

  Stocks008

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  02/10/2020 at 10:10 AM #119144
  robertogozzi

  I tried this on DAX, 4h:

  DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars = 10000 // TIMEFRAME(4 hour,UpdateOnClose) // // Pivot & Resistance & Support definitions // Pivt = (High[1] + Low[1] + Close[1])/3 // - Pivot Res3 = High[1]+(2*(Pivt-Low[1])) //Res3 //Res2 = Pivt+(High[1]-Low[1]) //Res2 //Res1 = (2*Pivt) - Low[1] //Res1 //Sup1 = (2*Pivt) - High[1] //Sup1 //Sup2 = Pivt-(High[1]-Low[1]) //Sup2 //Sup3 = High[1]+(2*(Pivt-Low[1])) //Sup3 // TIMEFRAME(default) // ONCE LookBackBars = 5 c1 = low <= Pivt AND close > Pivt //Price has touched PIVOT, but closes above it c2 = summation[LookBackBars](close > Pivt) > 0 //Make sure within the last LOOKBACK bars price had broken PIVOT IF c1 AND c2 AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET TP = abs(Res3 - close) //Target Profit at R3 SL = abs(close - (Pivt - (10 * pipsize))) //Stop Loss 10 pips below PIVOT SET TARGET PROFIT TP SET STOP LOSS SL ENDIF

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  DEFPARAM CumulateOrders = false DEFPARAM PreLoadBars    = 10000 // TIMEFRAME(4 hour,UpdateOnClose) // // Pivot & Resistance & Support definitions // Pivt  = (High[1] + Low[1] + Close[1])/3         // - Pivot Res3  = High[1]+(2*(Pivt-Low[1]))               //Res3 //Res2  = Pivt+(High[1]-Low[1])                 //Res2 //Res1  = (2*Pivt) - Low[1]                     //Res1 //Sup1  = (2*Pivt) - High[1]                    //Sup1 //Sup2  = Pivt-(High[1]-Low[1])                 //Sup2 //Sup3  = High[1]+(2*(Pivt-Low[1]))             //Sup3 // TIMEFRAME(default) // ONCE LookBackBars = 5 c1 = low <= Pivt AND close > Pivt               //Price has touched PIVOT, but closes above it c2 = summation[LookBackBars](close > Pivt) > 0  //Make sure within the last LOOKBACK bars price had broken PIVOT IF c1 AND c2 AND Not OnMarket THEN    BUY 1 CONTRACT AT MARKET    TP = abs(Res3 - close)                       //Target Profit at R3    SL = abs(close - (Pivt - (10 * pipsize)))    //Stop Loss 10 pips below PIVOT    SET TARGET PROFIT TP    SET STOP   LOSS   SL ENDIF

  Lines with unused variables are commented out, but I left them in case you need them in the future.

  I set a LOOKBACK number of bars to 5, you can change it to whatever number you prefer.

  I used the MTF support to make sure pivots are ALWAYS calculated on a 4 hour-TF, but you can run it on any lower TF provided 4H is a multiple of it  (2 hours, 1 hour, 30-20-15-10-5-3-2-1 minute, but not 3 hours). I used 4h TF as default, which means I did not take advantage of the MTF support, which could be useful to trail stop loss.

   

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  Stocks008

  

  robertogozzi

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  02/11/2020 at 6:45 PM #119334
  juanj

  Here is also some code to save you some time going forward. I also use pivots in most of my strategies.

  Timeframe(Monthly) MOpen = open[1] MHigh = high[1] MClose = close[1] MLow = low[1] MPivot = (MHigh + MLow + MClose)/3 //Monthly Pivot Calculation MR1 = MPivot*2-MLow MS1 = MPivot*2-MHigh MR2 = MPivot+(MHigh-MLow) MS2 = MPivot-(MHigh-MLow) MR3 = MHigh+(2*(MPivot-MLow)) MS3 = MLow-(2*(MHigh-MPivot)) Timeframe(Weekly) WOpen = open[1] WHigh = high[1] WClose = close[1] WLow = low[1] WPivot = (WHigh + WLow + WClose)/3 //Weekly Pivot Calculation WR1 = WPivot*2-WLow WS1 = WPivot*2-WHigh WR2 = WPivot+(WHigh-WLow) WS2 = WPivot-(WHigh-WLow) WR3 = WHigh+(2*(WPivot-WLow)) WS3 = WLow-(2*(WHigh-WPivot)) TImeframe(Default) //lower than daily //Daily pivots can be calculated natively on intraday timeframes If dayofweek = 1 Then //neccesary to avoid Sunday bars DPivot = (DHigh(2) + DLow(2) + DClose(2))/3 //Daily Pivot Calculation DR1 = DPivot*2-Dlow(2) DS1 = DPivot*2-DHigh(2) DR2 = DPivot+(DHigh(2)-DLow(2)) DS2 = DPivot-(DHigh(2)-DLow(2)) DR3 = DHigh(2)+(2*(DPivot-DLow(2))) DS3 = DLow(2)-(2*(DHigh(2)-DPivot)) Else DPivot = (DHigh(1) + DLow(1) + DClose(1))/3 //Daily Pivot Calculation DR1 = DPivot*2-Dlow(1) DS1 = DPivot*2-DHigh(1) DR2 = DPivot+(DHigh(1)-DLow(1)) DS2 = DPivot-(DHigh(1)-DLow(1)) DR3 = DHigh(1)+(2*(DPivot-DLow(1))) DS3 = DLow(1)-(2*(DHigh(1)-DPivot)) EndIf

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  Timeframe(Monthly)   MOpen = open[1] MHigh = high[1] MClose = close[1] MLow = low[1]   MPivot = (MHigh + MLow + MClose)/3 //Monthly Pivot Calculation   MR1 = MPivot*2-MLow MS1 = MPivot*2-MHigh MR2 = MPivot+(MHigh-MLow) MS2 = MPivot-(MHigh-MLow) MR3 = MHigh+(2*(MPivot-MLow)) MS3 = MLow-(2*(MHigh-MPivot))   Timeframe(Weekly)   WOpen = open[1] WHigh = high[1] WClose = close[1] WLow = low[1]   WPivot = (WHigh + WLow + WClose)/3 //Weekly Pivot Calculation   WR1 = WPivot*2-WLow WS1 = WPivot*2-WHigh WR2 = WPivot+(WHigh-WLow) WS2 = WPivot-(WHigh-WLow) WR3 = WHigh+(2*(WPivot-WLow)) WS3 = WLow-(2*(WHigh-WPivot))   TImeframe(Default) //lower than daily   //Daily pivots can be calculated natively on intraday timeframes   If dayofweek = 1 Then //neccesary to avoid Sunday bars   DPivot = (DHigh(2) + DLow(2) + DClose(2))/3 //Daily Pivot Calculation   DR1 = DPivot*2-Dlow(2) DS1 = DPivot*2-DHigh(2) DR2 = DPivot+(DHigh(2)-DLow(2)) DS2 = DPivot-(DHigh(2)-DLow(2)) DR3 = DHigh(2)+(2*(DPivot-DLow(2))) DS3 = DLow(2)-(2*(DHigh(2)-DPivot))   Else   DPivot = (DHigh(1) + DLow(1) + DClose(1))/3 //Daily Pivot Calculation   DR1 = DPivot*2-Dlow(1) DS1 = DPivot*2-DHigh(1) DR2 = DPivot+(DHigh(1)-DLow(1)) DS2 = DPivot-(DHigh(1)-DLow(1)) DR3 = DHigh(1)+(2*(DPivot-DLow(1))) DS3 = DLow(1)-(2*(DHigh(1)-DPivot)) EndIf

   

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  juanj

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