Problem with “Trading the strategy profit curve”

• 05/02/2021 at 10:45 AM #168558
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  I am trying to adapt this Nicolas Money management system to my strategy.

  The problem is that I can’t get that when the strategy profit falls below the equity curve the system stops operating.

   

  So far what I have is this:

  //variables equitycurve = undefined curveperiod = 17280 once mydays = 1 once olddate = 0 //indicators equitycurve = average[curveperiod](strategyprofit) //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

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  //variables equitycurve = undefined curveperiod = 17280 once mydays = 1 once olddate = 0 //indicators equitycurve = average[curveperiod](strategyprofit) //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF   //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

   

   

  

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  05/02/2021 at 10:51 AM #168560
  GraHal

  Have you tried with Line 2 commented out, Rem’d out?

  Also the CurvePeriod is very large, how did you arrive at 17280?

  Just a few thoughts.

  

  GraHal

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  05/02/2021 at 11:10 AM #168561
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  17280 is 60 days of trading on 5 minutes bars.

  3 montes.

  

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  05/02/2021 at 11:14 AM #168562
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  This is the link of Nicolás strategy.

   

  https://www.prorealcode.com/blog/trading-strategy-profit-curve/

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  GraHal

  

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  05/02/2021 at 11:22 AM #168563
  GraHal

  From the link you posted, it states the code was written for PRT v10.2 so maybe it does not wotk correctly on v11.

  Just more thoughts from me, but hopefully a coding wizard will be along to help you.

  

  GraHal

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  05/02/2021 at 11:44 AM #168564
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  My versión es 10.2 or 10.3.

   

   

  

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  05/02/2021 at 11:45 AM #168565
  robertogozzi

  Lines 48-50 do the job:

  //variables ONCE equitycurve = 0 curveperiod = 17280 once mydays = 1 once olddate = 0 //indicators equitycurve = average[curveperiod](strategyprofit) //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif CONDBUY = close crosses over average[200,0](close) //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF IF StrategyProfit CROSSES UNDER equitycurve THEN QUIT ENDIF GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

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  //variables ONCE equitycurve = 0 curveperiod = 17280 once mydays = 1 once olddate = 0 //indicators equitycurve = average[curveperiod](strategyprofit) //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif CONDBUY = close crosses over average[200,0](close) //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF   IF StrategyProfit CROSSES UNDER equitycurve THEN QUIT ENDIF   GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

   

  

  robertogozzi

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  05/02/2021 at 12:00 PM #168566
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  Ok Roberto.

   

  But isnt “QUIT”.

   

  Is pause trading only.

  

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  05/02/2021 at 12:12 PM #168567
  robertogozzi

  You wrote “system stops operating“. Indeed pausing it makes no sense, since it’s almost like QUIT if you don’t add any condition to resume operations, but… there you go:

  //variables ONCE equitycurve = 0 curveperiod = 17280 once mydays = 1 once olddate = 0 //indicators equitycurve = average[curveperiod](strategyprofit) ONCE TradeON = 1 IF StrategyProfit CROSSES UNDER equitycurve THEN TradeON = 0 ENDIF //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif CONDBUY = close crosses over average[200,0](close) AND TradeON //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

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  //variables ONCE equitycurve = 0 curveperiod = 17280 once mydays = 1 once olddate = 0   //indicators equitycurve = average[curveperiod](strategyprofit)   ONCE TradeON = 1 IF StrategyProfit CROSSES UNDER equitycurve THEN TradeON = 0 ENDIF //mydays variable incrementing to let the average curve build over time if date > olddate then mydays=mydays+1 olddate = date endif CONDBUY = close crosses over average[200,0](close) AND TradeON //first trades while the average profit curve is building IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit <= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF //first trades while the average profit curve is building IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND mydays<curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ELSE //trades when the curve has built IF CONDBUY and Strategyprofit >= 20000 and NOT LongOnMarket AND strategyprofit>=equitycurve AND mydays>curveperiod THEN ONCE Positionsize = 0.5 buy positionsize contract at market SET TARGET %PROFIT 2 SET STOP %LOSS 1.5 ENDIF ENDIF GRAPH equitycurve coloured(255,0,0) as "equity curve" GRAPH strategyprofit as "strategy profit"

  I added lines 10-13, then added TradeON to CONDBUY at line 19.

  

  robertogozzi

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  05/02/2021 at 12:15 PM #168568
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  Ok Roberto.

   

  This afternoon i see.

   

  Thanks!

  

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  05/02/2021 at 1:02 PM #168570
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  With this code the system stops operating when the profit strategy falls below the equity curve.

  It is about operating again when the profit strategy crosses up the equity curve again.

  

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  05/02/2021 at 1:08 PM #168572
  robertogozzi

  How can the curve go up again if trading is paused?

  Try adding this AFTER line 13:

  IF StrategyProfit CROSSES OVER equitycurve THEN TradeON = 1 ENDIF

  1 2 3

  IF StrategyProfit CROSSES OVER equitycurve THEN     TradeON = 1 ENDIF

   

  

  robertogozzi

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  05/02/2021 at 1:17 PM #168573
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  No function.

   

  🙁

  

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  05/02/2021 at 1:46 PM #168574
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  https://www.prorealcode.com/topic/equity-curve-average-filter/

   

  This Code thats OK!!!!!!!!!!!!!!

   

  🙂

  

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  05/02/2021 at 2:00 PM #168577
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  It does something, but this code doesn’t work well either.

  It should stop operating but continues to operate.

  

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