Hello All,
I am new here and that is my first post. I am going through a lot of blogs and strategies for the last week and I am very impressed by the effort you guys put in this platform. I see you are are very dedicated to find profitable strategies, effective indicators, screeners etc. and help one another.
Quickly to myself. I have a demo account at IG and do some manual and automatic trading there. I want to test one of my strategies with backtest but due to my limited coding abilities, I stuck at several points. I hope some of you guys can help me.
Now to a part of my little strategy:
I want to trade the breakout of a range (usually on a 5min chart).
Rangetime: 7am-8am UK time (I have already problems to set the range constant, used a method by nicolas but unforunately works only as an indicator)
Breakout: at toplevel +10% of Range or lowlevel – 10% of range
Stoploss: Range/2
Take profit: Range
The first advice I need is to set the Range constant in the period 7am to 8am without having to call my own little created indicator.
Second advice I need is, instead of taking profit, do a trailing stop. In case we are Long, set stop on previous low. In case we are short, set stop on previous high.
Thank you in advance
Oliver
// Open Range Breakout DAX 5 Min
ONCE Start = 070000
ONCE End = 080000
// trading window
ONCE BuyTime = 080000
ONCE SellTime = 163000
// money management
Capital = 10000
Risk = 0.01
equity = Capital + StrategyProfit
maxrisk = round(equity*Risk)
Distance=0.1
PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize)
// calculate high/low and sl/tp
if time >= start and time <=end or intradaybarindex =0 then
DAYSTARTINDEX = INTRADAYBARINDEX
HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH)
LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW)
Area=highlevel-lowlevel
TP=area-area*distance
RR=area/2+area*distance
endif
// position management
IF Time >= BuyTime AND Time <= SellTime THEN
// Long
IF Not longonmarket and not shortonmarket THEN
IF close < highlevel and close > lowlevel THEN
BUY PositionSize CONTRACT AT highlevel+area*distance stop
ENDIF
ENDIF
// short
IF Not shortonmarket and not longonmarket THEN
IF close < highlevel and close > lowlevel THEN
SELLSHORT PositionSize CONTRACT AT lowlevel-area*distance Stop
ENDIF
ENDIF
// close positions
IF Time = SellTime THEN
IF LONGONMARKET THEN
SELL AT MARKET
ENDIF
IF SHORTONMARKET AND Time = SellTime THEN
EXITSHORT AT MARKET
ENDIF
endif
set target profit TP
set stop loss RR
ENDIF
Sorry for my code, I dont know why the syntax colors are not shown.
Just for your information: here the indicator code I used to set the range top and bottom level.
start=70000
end=80000
if time >= start and time <=end or intradaybarindex =0 then
DAYSTARTINDEX = INTRADAYBARINDEX
HIGHLEVEL = HIGHEST[INTRADAYBARINDEX - DAYSTARTINDEX+12](HIGH)
LOWLEVEL = LOWEST [INTRADAYBARINDEX - DAYSTARTINDEX+12](LOW)
endif
return highlevel, lowlevel
What is the code of mine you tried to find the highest/lowest values of the range?
Did you try to GRAPH your variables to see how they were calculated and to find if they are correct?
There are a lot of nested conditions, I think it could be reduce to less lines, there may be some conditions not correctly tested somewhere.
Hi Nicolas,
Yes I want to find the highest/lowest in the range.
I think I managed what I planned to do. But I had to use the function highest high and lowest low for the last 12 bars in a 5min chart.
I think there is a smarter idea with intradaybarindex, where you can test the strategy throughout all timeframes without changing the code. That is why I tried to use your code unfortunately without success.
I mangaged to reduce the code as well a bit.
Here my new code.
// Open Range Breakout DAX 5 Min
ONCE Start = 070000
ONCE End = 080000
// trading window
ONCE BuyTime = 080000
ONCE SellTime = 163000
// money management
//Capital = 10000
//Risk = 0.01
//equity = Capital + StrategyProfit
//maxrisk = round(equity*Risk)
//PositionSize = abs(round((maxrisk/RR)/PointValue)*pipsize)
positionsize=1
Distance=0.1
// calculate high/low and sl/tp
if time >= start and time <=end then
top= highest[12](high)
bottom= lowest[12](low)
Area=top-bottom
TP=area-area*distance
RR=area/2+area*distance
endif
// position management
IF Time >= BuyTime AND Time <= SellTime THEN
// Long
IF Not onmarket and close < top THEN
BUY PositionSize CONTRACT AT top+area*distance stop
ENDIF
// short
IF Not onmarket and close >bottom THEN
SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop
ENDIF
set target profit TP
set stop loss RR
ENDIF
I modify the code with my own breakout box code, seems to work correctly I think. Please review it.
// Open Range Breakout DAX 5 Min
ONCE Start = 070000
ONCE End = 080000
// trading window
ONCE BuyTime = 080000
ONCE SellTime = 163000
positionsize=1
Distance=0.1
if intradaybarindex=0 then
top=0
bottom=close*100
endif
tcondition = time>Start and time<=End
if tcondition then
top = max(top,high)
bottom = min(bottom,low)
Area=top-bottom
TP=area-area*distance
RR=area/2+area*distance
endif
// position management
IF Time >= BuyTime AND Time <= SellTime THEN
// Long
IF Not onmarket and close < top THEN
BUY PositionSize CONTRACT AT top+area*distance stop
ENDIF
// short
IF Not onmarket and close >bottom THEN
SELLSHORT PositionSize CONTRACT AT bottom-area*distance Stop
ENDIF
set target profit TP
set stop loss RR
ENDIF
Hello guys,
I picked up my old topic as I had some time.
For the range breakout before the official trading hours I used now a trailing stop approach which got posted once by Nicolas.
Furthermore I skipped the hours around lunch and included a ADX indicator.
It looks not as bad as I expected actually.
If you have time, let me know what you are thinking and whether you have some ideas of improvement.
Kind regards
Thanks a lot for feedback on your strategy. I made my own test and result is attached. Maybe it would benefit from the trailing stop calculated and triggered on a lowest timeframe with the new MTF capabilities.
