Previous weeks high and low price level

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  • 06/20/2022 at 5:58 PM #195672 quote
    blackwing
    Participant
    New

    Can somebody help me with this. I am trying to return a Donchian like indicator that shows a channel with the last weeks high and low overlaid on a daily chart. Not a Donchian because I want the price levels for the previous week to stick for the entire current week before updating on the Monday.

    This is what I have tried but it doesn’t work, but I don’t know why. Apologies in advance for the basic question.

    Timeframe(1 Week)
Upper = highest[1](high)
Lower = lowest [1](low)
return Upper,lower
    06/20/2022 at 7:23 PM #195677 quote
    JS
    Participant
    Senior
    TimeFrame(1 week, UpdateOnClose)
Upper = Highest[1](High)
Lower = Lowest[1](Low)

TimeFrame(daily)

Return Upper[1], Lower[1]
    blackwing thanked this post
    06/20/2022 at 10:05 PM #195681 quote
    JS
    Participant
    Senior
    DefParam CumulateOrders = False

TimeFrame(1 week, UpdateOnClose)
Upper = Highest[1](High)
Lower = Lowest[1](Low)

TimeFrame(daily)
PositionSize = STRATEGYPROFIT / (Close * MargePerc)

If PositionSize < MinPosition then
PositionSize = MinPosition
EndIf

If PositionSize > MaxPosition then
PositionSize = MaxPosition
EndIf
If close > Upper[xL] then
Buy PositionSize contract at market
ElsIf Close < Lower[xS] then
SellShort PositionSize contract at market
EndIf

    These kinds of simple systems where you compare the Close with a previous value, usually score well, both on robustness and performance…

    blackwing thanked this post
    06/21/2022 at 4:55 PM #195772 quote
    blackwing
    Participant
    New
    Thank you JS! I understand the UpdateOnClose now, and thank you for the system example. I am trying to develop a couple of super simple strategies along these lines. However simple ideas turn into complex code! Just starting out so every answer brings another question at the moment. Apologies. When I try and replicate your system I get nothing like your equity curve. Can you explain what the [xL] and [xS] are referring to. I think I understand the Money Mment but what is MargePerc
    06/21/2022 at 5:45 PM #195777 quote
    JS
    Participant
    Senior
    Hi @BlackWing xL (xLong) and xS (xShort) are the parameter I used to optimize. I think I had xL and xS optimized from 0 to 100 (step 5). MargePerc is Margin Percentage for example Dow Jones is MargePerc = 0.05 (5%) I will try to add the code as itf -file
    blackwing thanked this post
    06/22/2022 at 10:05 AM #195825 quote
    phoentzs
    Participant
    Master
    I like the code and its simplicity. Unfortunately, the strategy is on the market almost all the time.
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Previous weeks high and low price level


ProBuilder: Indicators & Custom Tools

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Author
author-avatar
blackwing @blackwing1 Participant
Summary

This topic contains 5 replies,
has 3 voices, and was last updated by phoentzs
3 years, 7 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 06/20/2022
Status: Active
Attachments: 3 files
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