PP4h Opinion and optimization

• 10/21/2020 at 2:30 PM #147999
  Tanou

  Hello every one ! 😀

   

  I wanted to try something with the PP4H. I’ve done this code, I think it is quite nice but not long of backtest so…!

   

  This code is simply the entry of position on the 4h pp between 9:05 and 12:50. By the close(2) crossing it for the first time of the day with a trailing stop 🙂

   

  Tell me what you think about it and if you think that something should be change/optimize 😉

   

  
  @Paul, maybe this could interest you as I think you like this kind of code 🙂

   

  PP4H

  //------------------------------------------------------------------------- // Code principal : PP4h avec trailing stop //------------------------------------------------------------------------- // Définition des paramètres du code // Cumul des positions désactivé DEFPARAM CumulateOrders = False DEFPARAM PRELOADBARS = 100000000 //************************************************************************ //Horaires de trading // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 090000 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 173000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 090500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 125000 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 //************************************************************************ // Calcul Points Pivots 4h Int = (OpenTime[1] < 010000 AND OpenTime > 010000) OR (OpenTime[1] < 050000 AND OpenTime > 050000) OR (OpenTime[1] < 090000 AND OpenTime > 090000) OR (OpenTime[1] < 130000 AND OpenTime > 130000) OR (OpenTime[1] < 170000 AND OpenTime > 170000) OR (OpenTime[1] < 210000 AND OpenTime > 210000) OR (Openday <> Openday[1] AND DayOfWeek < DayOfWeek[1]) IF (OpenTime Mod 40000 = 10000) OR Int THEN myLastHigh = myHigh myLastLow = myLow myLastClose = Close[1] myHigh = High myLow = Low Premierpassage=0 ELSE myHigh = Max(myHigh, High) myLow = Min(myLow, Low) ENDIF PP = (myLastHigh + myLastLow + myLastClose) / 3 // Conditions pour ouvrir une position acheteuse c1 = (close[2] CROSSES UNDER pp) IF c1 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET Premierpassage=1 SET STOP pLOSS 40 ENDIF // Conditions pour ouvrir une position en vente à découvert c2 = (close[2] CROSSES OVER pp) IF c2 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET Premierpassage=1 SET STOP pLOSS 40 ENDIF //************************************************************************ //trailing stop function trailingstart = 5 //trailing will start @trailinstart points profit trailingstep = 1 //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 THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101

  //------------------------------------------------------------------------- // Code principal : PP4h avec trailing stop //------------------------------------------------------------------------- // Définition des paramètres du code // Cumul des positions désactivé DEFPARAM CumulateOrders = False DEFPARAM PRELOADBARS = 100000000 //************************************************************************   //Horaires de trading // Annule tous les ordres en attente et ferme toutes les positions à 0:00, puis empêche toute création d'ordre avant l'heure "FLATBEFORE". DEFPARAM FLATBEFORE = 090000 // Annule tous les ordres en attente et ferme toutes les positions à l'heure "FLATAFTER" DEFPARAM FLATAFTER = 173000 // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position avant l'heure spécifiée noEntryBeforeTime = 090500 timeEnterBefore = time >= noEntryBeforeTime // Empêche le système de placer des ordres pour entrer sur le marché ou augmenter la taille d'une position après l'heure spécifiée noEntryAfterTime = 125000 timeEnterAfter = time < noEntryAfterTime // Empêche le système de placer de nouveaux ordres sur les jours de la semaine spécifiés daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   //************************************************************************ // Calcul Points Pivots 4h Int = (OpenTime[1] < 010000 AND OpenTime > 010000) OR (OpenTime[1] < 050000 AND OpenTime > 050000) OR (OpenTime[1] < 090000 AND OpenTime > 090000) OR (OpenTime[1] < 130000 AND OpenTime > 130000) OR (OpenTime[1] < 170000 AND OpenTime > 170000) OR (OpenTime[1] < 210000 AND OpenTime > 210000) OR (Openday <> Openday[1] AND DayOfWeek < DayOfWeek[1]) IF (OpenTime Mod 40000 = 10000) OR Int THEN myLastHigh = myHigh myLastLow = myLow myLastClose = Close[1] myHigh = High myLow = Low Premierpassage=0 ELSE myHigh = Max(myHigh, High) myLow = Min(myLow, Low) ENDIF     PP = (myLastHigh + myLastLow + myLastClose) / 3     // Conditions pour ouvrir une position acheteuse c1 = (close[2] CROSSES UNDER pp)   IF c1 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET Premierpassage=1 SET STOP pLOSS 40 ENDIF   // Conditions pour ouvrir une position en vente à découvert c2 = (close[2] CROSSES OVER pp)   IF c2 AND timeEnterBefore AND timeEnterAfter AND Premierpassage=0 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET Premierpassage=1 SET STOP pLOSS 40 ENDIF     //************************************************************************   //trailing stop function trailingstart = 5 //trailing will start @trailinstart points profit trailingstep = 1 //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 THEN newSL = tradeprice(1)+trailingstep ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep THEN newSL = newSL+trailingstep ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart THEN newSL = tradeprice(1)-trailingstep ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep THEN newSL = newSL-trailingstep ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

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  BobOgden

  

  Tanou

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  10/21/2020 at 5:47 PM #148023
  GraHal

  What does Line 27 in your code (copied below) mean / achieve please?

  Mod / Modulo is the remainder after a division?

  OpenTime Mod 40000 = 10000

  1	OpenTime Mod 40000 = 10000

   

   

  

  GraHal

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  10/21/2020 at 5:53 PM #148025
  Tanou

  Exactly @GraHal! 🙂

   

  It’s the way of calculation of this PP that I found to be the most accurate and effective 🙂

  

  Tanou

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  10/21/2020 at 7:48 PM #148028
  Paul

  Hi Tanou

  Can you provide a screenshot of backtest/chart with this?

   

  

  Paul

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  10/22/2020 at 9:24 AM #148059
  Tanou

  Here it is @Paul 🙂

   

  I don’t know if it is possible to ask PRT to get more historical data on this UT

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  Paul

  

  Tanou

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  10/23/2020 at 2:39 PM #148246
  Paul

  Thnx, I’ve found that “int” parameter doesn’t make a change if it’s added or not. Could be different today. But the limited data and the number of trades doesn’t make things easy to test. Maybe put it in demo and let’s see how it works out.

  

  Paul

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  10/23/2020 at 7:13 PM #148277
  Tanou

  That’s exactly what I’ve done @Paul 😉

  

  Tanou

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  10/29/2020 at 10:21 PM #148944
  BobOgden

  Hey Tanou,

  I’ve tried using your calculation code for 4h PP but I still find some discrepancies now and again. For example, today, October 29th, the real 4h PP from 9 to 13 is supposed to be 26 756.9 on DJI. Your algo found 26 752.07.

  Would you have any idea as to why?

   

  

  BobOgden

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