Prova di scrittura codice

• 09/30/2023 at 9:27 AM #221857
  Ciccarelli Franco

  Roberto buongiorno,

  dopo aver bazzicato per 2 anni in PRT , ho provato a trasformare in codice una mia idea e cioè ; se ci sono due candele ascendenti si va long se il segnale è confermato da un indicatore, ho messo poi un filtro con volume e stop loss / profit /thrilling (in allegato).

  La mia domanda è se il su codice ha una sua logicità, lo sto provando su EUR/USD TF 1 Spread 0,2 ora e mi da dei discreti risultati.

  DEFPARAM CumulateOrders = False // Posizioni cumulate disattiva
  TradingTime=Time>=090000and Time<=210000

  td = opendayofweek >= 1 and opendayofweek <= 5
  //condizioni per entrata long
  indicator1 = Volume
  indicator2 = ExponentialAverage[14](Volume)
  c3 = (indicator1 >= indicator2)

  ONCE c1 = 0
  ONCE c2 = 0

  IF c1 = 0 AND Not OnMarket THEN
  c1 = ( close > open and close[1] > open[1] )
  ENDIF
  indicator3 = CALL “PRC_Adjustible CoRa_Wave”[20, 2, 1, 1](close)
  IF c2 = 0 AND Not OnMarket THEN
  c2 = (close >= indicator3)
  ENDIF
  IF c1 AND c2 AND td and c3 and TradingTime THEN
  BUY 1 CONTRACT AT MARKET
  c1 = 0
  c2 = 0
  ENDIF

   

  SET STOP LOSS l*AverageTrueRange[10](close)
  SET TARGET PROFIT p*AverageTrueRange[12](close)

  //SET STOP PLOSS l
  //SET TARGET PPROFIT p

  //************************************************************************
  //trailing stop
  trailingstop = tra

  //resetting variables when no trades are on market
  if not onmarket then
  MAXPRICE = 0
  MINPRICE = close
  priceexit = 0
  endif

  //case SHORT order
  if shortonmarket then
  MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade
  if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
  priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level
  endif
  endif

  //case LONG order
  if longonmarket then
  MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade
  if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then
  priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE – trailing stop price level
  endif
  endif

  Grazie

   

  

  Ciccarelli Franco

  Participant

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  Replies: 188

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  09/30/2023 at 10:19 AM #221863
  robertogozzi

  All’inizio ho dovuto aggiungere le tre variabili mancanti, in quanto tule hai nell’ottimizzatore del backtest,mailCopia & Incolla non le copia.

  Ho aggiunto in fondo 3 righe che mancavano nel trailing stop, cioè l’USCITA, quindi NON usciva mai in trailing stop:

  IF PriceExit > 0 THEN SET STOP PRICE PriceExit ENDIF

  1 2 3

  IF PriceExit > 0 THEN    SET STOP PRICE PriceExit ENDIF

  Ho spostato SET STOP LOSS e SET TARGET PROFIT all’interno del blocco IF…ENDIF dove c’è BUY, perché altrimenti ti vanificano il trailing stop.

  Ho spostato la condizione AND Not OnMarket sulla riga IF dell’entrata, èinutile metterla su ogni condizione, c1, c2 ecc…

  Ho inserito il Multi Time Frame, per cui le condizioni e l’entrate le verifica ed entra sul TF di 1 ora, mentre il trailing stop lo fa su 1 minuto (ma puoi anche provarlo sul 5 minuti):

  DEFPARAM CumulateOrders = False // Posizioni cumulate disattiva // timeframe(default) TradingTime=Time>=090000and Time<=210000 l = 0.8 p = 1.0 tra = 13 // Timeframe(1h,UpdateOnClose) td = opendayofweek >= 1 and opendayofweek <= 5 //condizioni per entrata long indicator1 = Volume indicator2 = ExponentialAverage[14](Volume) c3 = (indicator1 >= indicator2) ONCE c1 = 0 ONCE c2 = 0 c1 = ( close > open and close[1] > open[1] ) indicator3 = CALL "PRC_Adjustible CoRa_Wave"[20, 2, 1, 1](close) c2 = (close >= indicator3) IF c1 AND c2 AND td and c3 and TradingTime AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET c1 = 0 c2 = 0 SET STOP LOSS l*AverageTrueRange[10](close) SET TARGET PROFIT p*AverageTrueRange[12](close) ENDIF //SET STOP PLOSS l //SET TARGET PPROFIT p // timeframe(default) //************************************************************************ //trailing stop trailingstop = tra //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif IF PriceExit > 0 THEN SET STOP PRICE PriceExit 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

  DEFPARAM CumulateOrders = False // Posizioni cumulate disattiva // timeframe(default) TradingTime=Time>=090000and Time<=210000   l   = 0.8 p   = 1.0 tra = 13 // Timeframe(1h,UpdateOnClose) td = opendayofweek >= 1 and opendayofweek <= 5 //condizioni per entrata long indicator1 = Volume indicator2 = ExponentialAverage[14](Volume) c3 = (indicator1 >= indicator2)   ONCE c1 = 0 ONCE c2 = 0   c1 = ( close > open and close[1] > open[1] )   indicator3 = CALL "PRC_Adjustible CoRa_Wave"[20, 2, 1, 1](close)   c2 = (close >= indicator3)   IF c1 AND c2 AND td and c3 and TradingTime AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET c1 = 0 c2 = 0 SET STOP LOSS l*AverageTrueRange[10](close) SET TARGET PROFIT p*AverageTrueRange[12](close) ENDIF   //SET STOP PLOSS l //SET TARGET PPROFIT p // timeframe(default) //************************************************************************ //trailing stop trailingstop = tra   //resetting variables when no trades are on market if not onmarket then MAXPRICE  = 0 MINPRICE  = close priceexit = 0 endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif IF PriceExit > 0 THEN SET STOP PRICE PriceExit ENDIF

  l’ho provato con 200K barre ed è profittevole, ma devi testarlo per vari mesi prima di poterlo utilizzare, perché operare sulle medie spesso porta a risultati disastrosi a causa della sovraottimizzazione.

   

   

   

   

  

  robertogozzi

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  09/30/2023 at 11:32 AM #221865
  Ciccarelli Franco

  Grazie veramente tanto gentile, il thrilling stop a 1 minuto mi sembra troppo stretto, come faccio a portarlo a 5 minuti.

  Grazie

  

  Ciccarelli Franco

  Participant

  Topics: 83

  Replies: 188

  Been thanked: 4 times
  09/30/2023 at 7:16 PM #221873
  robertogozzi

  Basta che sostituisci la riga 37 con:

  Timeframe(5mn,UpdateOnClose)

  1	Timeframe(5mn,UpdateOnClose)

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16510

  Been thanked: 3662 times
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