Hey Guys / Girls

I have been playing around with a trading system based on range (High – Low) based on the SA 40 index (as I am South African I wanted to trade what I know).

The trading strategy is simple.

A Buy Stop is placed at 10% of “Yesterday’s” range above “Yesterday’s” high.

A Sellshort Stop is also placed at 10% of “Yesterday’s” range below “Yesterday’s” low.

The reason I placed Yesterday in quotations is that PRT evaluates the code at the end of each bar. Thus to determine “Yesterday’s” range we have to evaluate today’s Highs and Lows and place stop orders which activate at the start of the next Bar.

I have also added a trailing stop loss. The results look good, however I am a bit worried that PRT paints a rosy picture due to the backtest being on a Daily timeframe. It may be that in real time trading, the trailing stop loss causes the system to stop out prior the point indicated in the backtest.

I haven’t had a look at Backtesting on the DAX or FTSE just yet and will look into that in the next few weeks.

Opinions and comments are welcome.

//-------------------------------------------------------------------------
// Main code : UP DOWN Range(R10 Micro)(1d)
//-------------------------------------------------------------------------
DEFPARAM CUMULATEORDERS = false
//SET VARIABLES
STARTDAY = 1 //ONLY TRADE MONDAY TO FRIDAY
ENDDAY = 5
NoContracts = 2 //START WITH 2 NUMBER CONTRACTS
MAXLOSS = 75 //MAXIMUM POINT LOSS
UPM = 0.1 //MULTIPLIER TO RANGE FOR LIMIT ORDERS
DNM = 0.1 //MULTIPLIER TO RANGE FOR LIMIT ORDERS
//SET LEVEL FOR LIMIT ORDERS
IF DAYOFWEEK > STARTDAY AND DAYOFWEEK <= ENDDAY THEN //ON DAYS THAT ARE NOT MONDAY
PREVRANGE = HIGH-LOW
LIMITPRICE = MAX(OPEN,CLOSE) + (UPM*PREVRANGE)
SHORTPRICE = MIN(OPEN,CLOSE) - (DNM*PREVRANGE)
UPTREND = CLOSE > OPEN //DETERMINE IF IN AN UPTREND
DNTREND = CLOSE < OPEN //DETERMINE IF IN AN DOWNTREND
ELSIF DAYOFWEEK = STARTDAY THEN //ON MONDAY LOOK AT FRIDAY
PREVRANGEMON = HIGH[1]-LOW[1]
LIMITPRICE = MAX(OPEN[1],CLOSE[1]) + (UPM*PREVRANGEMON)
SHORTPRICE = MIN(OPEN[1],CLOSE[1]) - (DNM*PREVRANGEMON)
UPTREND = CLOSE[1] > OPEN[1] //DETERMINE IF IN AN UPTREND
DNTREND = CLOSE[1] < OPEN[1] //DETERMINE IF IN AN DOWNTREND
ENDIF
//ENTERING TRADES
IF DAYOFWEEK >= STARTDAY AND DAYOFWEEK <=ENDDAY THEN
//SET ORDER FOR LONG POSITIONS
IF NOT LONGONMARKET AND UPTREND THEN
BUY NOCONTRACTS CONTRACTS AT LIMITPRICE STOP
ENDIF
//SET ORDER FOR SHORT POSITIONS
IF NOT SHORTONMARKET AND DNTREND THEN
SELLSHORT NOCONTRACTS CONTRACTS AT SHORTPRICE STOP
ENDIF
// STOPS AND TARGETS
SET STOP $TRAILING (NoCONTRACTS*MAXLOSS*POINTVALUE)
//SET TARGET PPROFIT 7*MAXLOSS
ENDIF

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