Range breakout strategy

• 04/23/2023 at 11:19 PM #213642
  kg6450

  Hi there, I am trying to code a strategy that involves collecting the highest high price and the lowest low of a particular time range in the morning. After this time, there is another period of 2 hour where if the price closes above this range, a long is opened with a stop loss at the lowest low point; and vice versa if close is below the lowest low.

  Additionally, if the trade is stopped out; then an opposing trade is opened in the opposite direction, with the stop set again at the opposing end of the range.

  I have tried several different ways of coding the entry but no matter what no trades are opened; or if they are, they are very inconsistent and do not conform to the rules and appear to be random and I cannot figure out which part of the code is incorrect and was hoping someone may be able to suggest what I am doing wrong?

  Thank you

  // Variables DEFPARAM CumulateOrders = False // Disable accumulation of positions targetPoints = 50 // Set global target price to 50 points tradeStart = 1100 // Set start time for entering trades tradeEnd = 1300 // Set end time for entering trades sessionEnd = 1800 // Set end time for closing open positions rangeStart = 0900 // Define range start time rangeEnd = 1100 // Define range end time If IntraDayBarIndex = 0 then highestPrice = 0 lowestPrice = 999999 endif // Calculate highest and lowest prices between 00:00 and 07:00 IF time >= rangeStart AND time <= rangeEnd THEN highestPrice = max(high,highestPrice) lowestPrice = min(low,lowestPrice) ENDIF // Long entry condition IF time >= tradeStart AND time <= tradeEnd AND close > highestPrice THEN buy at market SET STOP stopLossLong Limit SET TARGET PROFIT targetPoints ENDIF // Short entry condition IF time >= tradeStart AND time <= tradeEnd AND close < lowestPrice THEN sellshort at market SET STOP stopLossShort limit SET TARGET PROFIT targetPoints ENDIF // Stop loss and target for long positions IF LONGONMARKET THEN sell at stopLossLong stop sell at targetPoints limit IF barindex - tradeindex = 1 AND low[1] <= stopLossLong THEN sellshort at market stopLossShort = highestPrice SET TARGET PROFIT targetPoints ENDIF ENDIF // Stop loss and target for short positions IF SHORTONMARKET THEN exitshort at stopLossShort stop exitshort at targetPoints limit IF barindex - tradeindex = 1 AND high[1] >= stopLossShort THEN buy at market stopLossLong = lowestPrice SET TARGET PROFIT targetPoints ENDIF ENDIF IF time >= sessionEnd THEN sell at market exitshort at market ENDIF

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  // Variables DEFPARAM CumulateOrders = False // Disable accumulation of positions targetPoints = 50 // Set global target price to 50 points tradeStart = 1100 // Set start time for entering trades tradeEnd = 1300 // Set end time for entering trades sessionEnd = 1800 // Set end time for closing open positions   rangeStart = 0900 // Define range start time rangeEnd = 1100 // Define range end time   If IntraDayBarIndex = 0 then highestPrice = 0 lowestPrice = 999999 endif   // Calculate highest and lowest prices between 00:00 and 07:00 IF time >= rangeStart AND time <= rangeEnd THEN highestPrice = max(high,highestPrice) lowestPrice = min(low,lowestPrice) ENDIF   // Long entry condition IF time >= tradeStart AND time <= tradeEnd AND close > highestPrice THEN buy at market SET STOP stopLossLong Limit SET TARGET PROFIT targetPoints ENDIF   // Short entry condition IF time >= tradeStart AND time <= tradeEnd AND close < lowestPrice THEN sellshort at market SET STOP stopLossShort limit SET TARGET PROFIT targetPoints ENDIF   // Stop loss and target for long positions IF LONGONMARKET THEN sell at stopLossLong stop sell at targetPoints limit IF barindex - tradeindex = 1 AND low[1] <= stopLossLong THEN sellshort at market stopLossShort = highestPrice SET TARGET PROFIT targetPoints ENDIF ENDIF   // Stop loss and target for short positions IF SHORTONMARKET THEN exitshort at stopLossShort stop exitshort at targetPoints limit IF barindex - tradeindex = 1 AND high[1] >= stopLossShort THEN buy at market stopLossLong = lowestPrice SET TARGET PROFIT targetPoints ENDIF ENDIF   IF time >= sessionEnd THEN sell at market exitshort at market ENDIF

   

   

   

  

  kg6450

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  04/24/2023 at 1:14 AM #213643
  phoentzs

  Your times are wrong. 9:00 a.m. is written as 090000.

  

  phoentzs

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  04/24/2023 at 12:35 PM #213673
  kg6450

  Hi, thank you for your response, I have corrected all the time but no trades are still opening. Is there anything else wrong with the logic that you can see?

  

  kg6450

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  04/24/2023 at 3:12 PM #213680
  GraHal

  kg6450 wrote:

  no matter what no trades are opened;

  Have you checked Closed Trades in the Detailed Report?  You may be opening and closing trades in the same bar and so they do not show under the equity curve?

  Also, try replacing Line 25 and Line 32 with Set Stop pLoss x and also comment out Line 36 to the end … just to get it going / taking trades.

  You can then uncomment back in to see which part of the code is stopping the strategy working correctly.

  Also include below at the end of your code to see when it is True.

  GRAPH other variables & conditions to see how the code is / is not working.

  A few ideas to try anyway, hope they help?

  GRAPH close > highestPrice

  1	GRAPH close > highestPrice

   

  

  GraHal

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  04/25/2023 at 12:07 PM #213712
  ZeroCafeine

  @kg6450

  Maybe my topic will interest you because they use more or less the same idea with a condition that exceeds the highest and in a certain time interval

  You can go directly to the last message even if I haven’t finished yet, it might help you

  

  ZeroCafeine

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