Pseudo triangle trading system 5 min using volume and volatity

• 10/06/2017 at 9:15 PM #48476
  Yannick

  Hello

  I found this system that could be basic and adptable to several instrument but I have difficulties to code it.

  This idea is to trade triangle pattern using volatity indicator and volume indicator. ( i know that it is difficult to detect trendline compression)

  During triangle , volatility and volumes are decreasing and a proper moving average is flat (according to the article in doc enclosed).

  Does someone has the idea how to code it? (specialy with decrease of volume and volatily)

  Volume decrease could be code with a decrease of the average of volume

  Volatily decrease could be code with a decrease of the average of volatily.

  If both are decreasing, a buy or sell stop order is generated at last low/high

  Triangle amplitude is equal to the highest(high)[x periods]-lowest(low)[x periods]

  Thanks

  

  Yannick

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  10/26/2017 at 5:36 PM #50636
  Leo

  Hi,

  I posted a method to find local maximums and minimums, maybe you can find a way to detects triangles based on that method

  https://www.prorealcode.com/topic/dobule-bottom-or-double-top

  Let us know if you get it

  

  Leo

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  10/26/2017 at 7:58 PM #50644
  Nicolas

  I made a triangle pattern detector in this topic if you find it useful: https://www.prorealcode.com/topic/trendline-une-approche-du-trading/

  

  Nicolas

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  10/26/2017 at 8:26 PM #50646
  Yannick

  Thanks I will try with wedge detector adding decrease as condition

  

  Yannick

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  10/27/2017 at 8:34 PM #50754
  Yannick

  Hello

  I modified your code of the screener to better understand it with some comments (you used a b c d for points and I use High1 High2 Low1 Low2).

  I am able to find compression lines with the screener

   

  Triangle and wedge screener

  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 50//4 //lookback //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif //Detection Low if low[cp] <= lowest[(cp)*2+1](low) then LLL = -1 else LLL = 0 endif //Value of last Low if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) risingwedge = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing fallingwedge = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ? SCREENER [risingwedge or triangle or fallingwedge] //triangle drawlinefuction //Volatility decrease //AverageVolatity //Volatilty //Previous trend detection : triangle should be continuation pattern //Previous trend detection : trend continuation wedge should a short term reversalpattern and long term continuation //close > average[X]

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  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 50//4 //lookback   //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif   //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif   //Detection Low   if low[cp] <= lowest[(cp)*2+1](low)  then LLL = -1 else LLL = 0 endif   //Value of last Low   if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif   // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) risingwedge = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing fallingwedge = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ?   SCREENER [risingwedge or triangle or fallingwedge]     //triangle drawlinefuction   //Volatility decrease //AverageVolatity //Volatilty   //Previous trend detection : triangle should be continuation pattern //Previous trend detection : trend continuation wedge should a short term reversalpattern and long term continuation //close > average[X]

   

  and for and indicator, but I have a problem with drawline function which drawlines in the indicator window and not inside pricewindow

   

  Triangle indicator

  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 10//4 //lookback //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif //Detection Low if low[cp] <= lowest[(cp)*2+1](low) then LLL = -1 else LLL = 0 endif //Value of last Low if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) c1 = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? c2 = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing c3 = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ? if c1 or c2 or c3 then DRAWLINE(Low1bar,Low1,Low2bar,Low2) DRAWLINE(High1bar,High1,High2bar,High2) endif Return //Volatility decrease //AverageVolatity //Volatilty

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  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 10//4 //lookback   //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif   //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif   //Detection Low   if low[cp] <= lowest[(cp)*2+1](low)  then LLL = -1 else LLL = 0 endif   //Value of last Low   if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif   // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) c1 = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? c2 = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing c3 = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ?     if c1 or c2 or c3 then DRAWLINE(Low1bar,Low1,Low2bar,Low2) DRAWLINE(High1bar,High1,High2bar,High2) endif Return   //Volatility decrease //AverageVolatity //Volatilty

   

  

  Yannick

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  10/27/2017 at 8:39 PM #50757
  Yannick

  I should use the drawsegment instruction instead of drawline..

  

  Yannick

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  10/28/2017 at 8:48 PM #50796
  Yannick

  Better like this

  Triangle detector with volatily dectector and drawlinefunction

  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 10//4 //lookback //volatilty HistVolatily=HistoricVolatility[300](close) //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif //Detection Low if low[cp] <= lowest[(cp)*2+1](low) then LLL = -1 else LLL = 0 endif //Value of last Low if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) risingwedge = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing fallingwedge = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ? if risingwedge or triangle or fallingwedge then DRAWsegment(Low1bar,Low1,Low2bar,Low2) DRAWsegment(High1bar,High1,High2bar,High2) //triangle drawlinefuction endif if triangle and HistVolatily< HistVolatily[300] then DRAWCANDLE(High1,high2,low2,low1) DRAWTEXT("fintriangle",low2bar,low2,SansSerif,Bold,16)coloured(153,153,0) DRAWTEXT("debuttriangle",low1bar,low1,SansSerif,Bold,16)coloured(153,153,0) endif //Volatility decrease in triangle lowest 300 period volatily //AverageVolatity //Volatilty //Previous trend detection : triangle should be continuation pattern //Previous trend detection : trend continuation wedge should a short term reversalpattern and long term continuation //close > average[X] Return

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  //PRC_Wedge pattern | screener //12.09.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // modified by Yannick //fractals cp = 10//4 //lookback //volatilty HistVolatily=HistoricVolatility[300](close) //Detection High if high[cp] >= highest[(cp)*2+1](high) then LLH = 1 else LLH = 0 endif   //Value of last High if LLH = 1 then High1 = High2[1] High1bar = High2bar[1] High2 = high[cp] High2bar = barindex[cp] endif   //Detection Low   if low[cp] <= lowest[(cp)*2+1](low)  then LLL = -1 else LLL = 0 endif   //Value of last Low   if LLL = -1 then Low1 = Low2[1] Low1bar = Low2bar[1] Low2 = low[cp] Low2bar = barindex[cp] endif   // condition of screening //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2)   risingwedge = High1<High2 and Low1<Low2 and abs(High1bar-High2bar)>abs(Low1bar-Low2bar) and abs(High1-High2)<abs(Low1-Low2) //Rising wedge? triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle condition contraction Low increasing and High decreasing fallingwedge = High1>High2 and Low1>Low2 and abs(High1bar-High2bar)<abs(Low1bar-Low2bar) and abs(High1-High2)>abs(Low1-Low2) //Falling weg ?     if risingwedge or triangle or fallingwedge then DRAWsegment(Low1bar,Low1,Low2bar,Low2) DRAWsegment(High1bar,High1,High2bar,High2) //triangle drawlinefuction endif   if triangle and HistVolatily< HistVolatily[300] then DRAWCANDLE(High1,high2,low2,low1) DRAWTEXT("fintriangle",low2bar,low2,SansSerif,Bold,16)coloured(153,153,0) DRAWTEXT("debuttriangle",low1bar,low1,SansSerif,Bold,16)coloured(153,153,0) endif //Volatility decrease in triangle lowest 300 period volatily   //AverageVolatity //Volatilty   //Previous trend detection : triangle should be continuation pattern //Previous trend detection : trend continuation wedge should a short term reversalpattern and long term continuation //close > average[X]     Return

   

  

  Yannick

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  10/28/2017 at 8:56 PM #50797
  Nicolas

  Good! Do you have screenshots of your indicator in its current state?

  

  Nicolas

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  10/29/2017 at 8:33 AM #50799
  Yannick

  Please find somescreenshots

  for daily , i look at 20 days volatilty and fractal cp=4

  for 5 minutes timeframe, I look at 300 bars volatily and fractal cp=10

   

  How can prt  draw directly in price window and not in indicator window?

  

  Yannick

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  10/29/2017 at 10:00 AM #50808
  Nicolas

  Yannick wrote:

  How can prt  draw directly in price window and not in indicator window?

  Just add your indicator on price with the wrench icon on the left upper side of your price chart.

  

  Nicolas

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  10/30/2017 at 9:12 PM #50970
  Yannick

  Thanks

  It is better like this

  I have to improve the logic by

  -filtering using stochastic oscillation which could give information on the period of fractal to control

  -control the angle of the triangle (more symetric triangle pattern),

  -preventing fake detection by measuring the time distance between Low1-Low2 and Hig1-High2

   

  I will try to use @juanj code from calculating diagonal trend line using trigonometry for trading of breakout of lines.

  Some picture of my manual trade on sugar that I am following, which is detected

  And other time frames

  2 users thanked author for this post.

  Despair, Nicolas

  

  Yannick

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  10/31/2017 at 2:43 PM #51078
  Nicolas

  Well done Yannick, great idea about stochastic oscillation, how many times overbought been met after an oversold and so on?

  

  Nicolas

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  10/31/2017 at 9:29 PM #51144
  Yannick

  I improved the quality of the triangle signal with some extra logic condition 3 and 4

  // condition of screening Triangle //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) //condition 3 triangle oscillation inside the triangle e.g. correct order of bars L/H/L/H or H/L/H/L //condition 4 triangle amplitude ratio control H1L1< 2 H2L2 triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle conditions 1+2 contraction Low increasing and High decreasing oscillationH1L1H2L2= High1bar< Low1bar and Low1bar< High2bar and High2bar<Low2bar //triangle condition 3 oscillation oscillationL1H1L2H2= Low1bar<High1bar and High1bar<Low2bar and Low2bar< High2bar //triangle condition 3 oscillation triangleamplitude=abs(High1-Low1)< 2* abs(High2-Low2) //2is value that could be improved

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  // condition of screening Triangle //condition 1 triangle compression contraction Lows are increasings and High are decreasing High1>High2 and Low1<Low2 //condition 2 compression of volatilty Initial swing High1Low1> Last Swing High2Low2 : abs(High1-Low1)> abs(High2-Low2) //condition 3 triangle oscillation inside the triangle e.g. correct order of bars L/H/L/H or H/L/H/L //condition 4 triangle amplitude ratio control H1L1< 2 H2L2   triangle = High1>High2 and Low1<Low2 and abs(High1-Low1)> abs(High2-Low2) //triangle conditions 1+2 contraction Low increasing and High decreasing   oscillationH1L1H2L2= High1bar< Low1bar and Low1bar< High2bar and High2bar<Low2bar  //triangle condition 3 oscillation   oscillationL1H1L2H2= Low1bar<High1bar and High1bar<Low2bar and Low2bar< High2bar //triangle condition 3 oscillation   triangleamplitude=abs(High1-Low1)< 2* abs(High2-Low2) //2is value that could be improved

  The next question is how to generate stop orders on lines that are calculated at each bar and has to stay valid for1 bar and is modified at each new bar , I need help.

  In this case x=0 current bar?

  positionsize=1 TP= min(High2-Low1, High1-Low2) SL = TP/2 //Equation of line y=ax+b // slope a= (yB-yA)/(xB-xA)= deltay/deltax // intercept b= yA-xA(YB-YA)/(xB-xA) //calculation of upperline equation and position yHigh for buystop //aH=(H2-H1)/(H2bar-H1bar) bH=High1-High1bar*(High2-High1)/(High2bar-High1bar) yHigh=bH//aH*???? //calculation of lowerline equation //aL=(L2-L1)/(L2bar-L1bar) bL=Low1-Low1bar*(Low2-Low1)/(Low2bar-Low1bar) yLow=bL//+aL*???? if triangle and triangleamplitude and oscillationH1L1H2L2 or triangle and triangleamplitude and oscillationL1H1L2H2 then orderloop=1 Endif for orderloop=1 to cp do buy positionsize lot at yHigh STOP Sell positionsize lot at yLow STOP next //buy stop at x=0 y=b ???? if onmarket then set target profit TP set stop loss SL orderloop=0 endif

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  positionsize=1 TP= min(High2-Low1, High1-Low2) SL = TP/2   //Equation of line y=ax+b // slope a= (yB-yA)/(xB-xA)= deltay/deltax // intercept b= yA-xA(YB-YA)/(xB-xA)   //calculation of upperline equation and position yHigh for buystop //aH=(H2-H1)/(H2bar-H1bar) bH=High1-High1bar*(High2-High1)/(High2bar-High1bar)   yHigh=bH//aH*????   //calculation of lowerline equation   //aL=(L2-L1)/(L2bar-L1bar) bL=Low1-Low1bar*(Low2-Low1)/(Low2bar-Low1bar)   yLow=bL//+aL*????   if triangle and triangleamplitude and oscillationH1L1H2L2 or triangle and triangleamplitude and oscillationL1H1L2H2 then orderloop=1 Endif   for orderloop=1 to cp do buy positionsize lot at yHigh STOP Sell positionsize lot at yLow STOP next //buy stop at x=0 y=b ???? if onmarket then set target profit TP set stop loss SL orderloop=0 endif

   

   

   

  

  Yannick

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  11/02/2017 at 11:36 AM #51287
  Nicolas

  Pending orders are only valid during 1 bar in any case, they expired at each new Close. So each time the code is read, the previous STOP order has already been deleted automatically by the broker.

  

  Nicolas

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  11/12/2017 at 4:17 PM #52442
  Yannick

  Thanks I modified the buying and sellingshort logic.

  I still have to

  -calculate better the buystop and sellstop limite with TP and SL

  -improving time limitation on the trade regarding

  -improve triangle detection

  Plenty of brain work

  if not onmarket and Tradetriangle=1 then yhigh=yhigh+aH yLow=yLow+aL buy positionsize contract at yHigh STOP Sellshort positionsize contract at yLow STOP Endif

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  if not onmarket and Tradetriangle=1  then yhigh=yhigh+aH yLow=yLow+aL buy positionsize contract at yHigh STOP Sellshort positionsize contract at yLow STOP Endif

   

  

  Yannick

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