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

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

TimeFrame(daily)

Return Upper[1], Lower[1]
```
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Schermafbeelding-2022-06-20-om-20.21.26.jpg
06/20/2022 at 10:05 PM #195681 quote
JS
Participant

Master
```
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…

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Schermafbeelding-2022-06-20-om-23.03.49.png
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

Master

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

Previous-week-High-Low.itf

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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