Previous weeks high and low price level

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

  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

  1 2 3 4

  Timeframe(1 Week) Upper = highest[1](high) Lower = lowest [1](low) return Upper,lower

  

  blackwing

  Participant

  Topics: 5

  Replies: 16

  Been thanked: 2 times
  06/20/2022 at 7:23 PM #195677
  JS

  Previous Week High Low

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

  1 2 3 4 5 6 7

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

  1 user thanked author for this post.

  blackwing

  

  JS

  Participant

  Topics: 22

  Replies: 1421

  Been thanked: 556 times
  06/20/2022 at 10:05 PM #195681
  JS

  Previous High Low System

  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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

  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…

   

  1 user thanked author for this post.

  blackwing

  

  JS

  Participant

  Topics: 22

  Replies: 1421

  Been thanked: 556 times
  06/21/2022 at 4:55 PM #195772
  blackwing

  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

   

  

  blackwing

  Participant

  Topics: 5

  Replies: 16

  Been thanked: 2 times
  06/21/2022 at 5:45 PM #195777
  JS

  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

  1 user thanked author for this post.

  blackwing

  

  JS

  Participant

  Topics: 22

  Replies: 1421

  Been thanked: 556 times
  06/22/2022 at 10:05 AM #195825
  phoentzs

  I like the code and its simplicity. Unfortunately, the strategy is on the market almost all the time.

  

  phoentzs

  Participant

  Topics: 84

  Replies: 915

  Been thanked: 169 times
• Author
  Posts