MarcParticipant
Average
Hi together,
I’d like to share my code with you and want to know if there is any mistake within this code?
Thank you in advance
Here are the rules for this system:
Enter Long when:
- When RSI with Period 2 is below or equal 10 on previous periods close
- When RSI with Period 2 is above or equal 10 at close of current periods close
- When IBS is below or equal 50 on previous periods close
- When IBS is above or equal 50 at close of current period
- Open Long at next bar open
Exit Long when:
- RSI rises above 80 at close of previous period, close position at next bar open
Enter Short when:
- When RSI with Period 2 is above or equal 90 on previous periods close
- When RSI with Period 2 is below or equal 90 at close of current periods close
- When IBS is above or equal 50 on previous periods close
- When IBS is below or equal 50 at close of current period
- Open Short at next bar open
Exit Short when:
- RSI falls below 20 at close of previous period, close position at next bar open
Here is the code:
//INDICATORIBS = (Close-Low) / (HIGH-LOW) * 100RSI2 = RSI[2](close)
//SIGNALIBSLONGTRIGGER = 50IBSSHORTTRIGGER = 50
RSILONGTRIGGER = 10RSILONGEXIT = 80RSISHORTTRIGGER = 90RSISHORTEXIT = 20
//ENTRY CONDITIONl1 = not LongOnMarketl1 = l1 and IBS[1] >= IBSLONGTRIGGER[1]l1 = l1 and IBS[2] <= IBSLONGTRIGGER[2]l1 = l1 and RSI2[1] >= RSILONGTRIGGER[1]l1 = l1 and RSI2[2] <= RSILONGTRIGGER[2]
b1 = not ShortOnMarketb1 = b1 and IBS[1] <= IBSSHORTTRIGGER[1]b1 = b1 and IBS[2]>= IBSSHORTTRIGGER[2]b1 = b1 and RSI2[1] <= RSISHORTTRIGGER[1]b1 = b1 and RSI2[2] >= RSISHORTTRIGGER[2]
//EXIT CONDITIONl2 = LongOnMarketl2 = l2 and RSI2[1] >= RSILONGEXIT[1]
b2 = ShortOnMarketb2 = b2 and RSI2[1] <= RSISHORTEXIT[1]
//LONG ENTRYIF l1 THENBUY 1 CONTRACTS AT MARKET NextBarOpenENDIF
//LONG EXITIf l2 THENSELL AT MARKET NextBarOpenENDIF
//SHORT ENRTRYIF b1 THENSELLSHORT 1 CONTRACTS AT MARKET NextBarOpenENDIF
//SHORT EXITIF b2 THENEXITSHORT AT MARKET NextBarOpenENDIF
l1 = l1 and IBS >= IBSLONGTRIGGER
l1 = l1 and IBS[1] <= IBSLONGTRIGGER[1]
l1 = l1 and RSI2 >= RSILONGTRIGGER
l1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]
You should use [1] for previous period and no additional number for current period.
MarcParticipant
Average
|
|
l1 = l1 and IBS >= IBSLONGTRIGGER
l1 = l1 and IBS[1] <= IBSLONGTRIGGER[1]
l1 = l1 and RSI2 >= RSILONGTRIGGER
l1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]
|
You should use [1] for previous period and no additional number for current period.
Hi victormork,
thank you very much for your help.
Currently I’m testing this system manual und hope that this will work constantly on other timeframes…
To enter additional Orders when entry rules are met here is the amended code:
//INDICATORIBS = (Close-Low) / (HIGH-LOW) * 100RSI2 = RSI[2](close)
//SIGNALIBSLONGTRIGGER = 50IBSSHORTTRIGGER = 50
RSILONGTRIGGER = 10RSILONGEXIT = 80RSISHORTTRIGGER = 90RSISHORTEXIT = 20
//ENTRY CONDITION
l1 = IBS >= IBSLONGTRIGGERl1 = l1 and IBS[1] <= IBSLONGTRIGGER[1]l1 = l1 and RSI2 >= RSILONGTRIGGERl1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]
b1 = IBS <= IBSSHORTTRIGGERb1 = b1 and IBS[1]>= IBSSHORTTRIGGER[1]b1 = b1 and RSI2 <= RSISHORTTRIGGERb1 = b1 and RSI2[1] >= RSISHORTTRIGGER[1]
//EXIT CONDITIONl2 = LongOnMarketl2 = l2 and RSI2[1] > RSILONGEXIT[1]
b2 = ShortOnMarketb2 = b2 and RSI2[1] < RSISHORTEXIT[1]
//LONG ENTRYIF l1 THENBUY 1 CONTRACTS AT MARKET NextBarOpenENDIF
//LONG EXITIf l2 THENSELL AT MARKET NextBarOpenENDIF
//SHORT ENRTRYIF b1 THENSELLSHORT 1 CONTRACTS AT MARKET NextBarOpenENDIF
//SHORT EXITIF b2 THENEXITSHORT AT MARKET NextBarOpenENDIF
MarcParticipant
Average
another improvement:
//INDICATORIBS = (Close-Low) / (HIGH-LOW) * 100RSI2 = RSI[2](close)
//CONTRACTSIZEX = 3
//SIGNALIBSLONGTRIGGER = 50IBSSHORTTRIGGER = 50
RSILONGTRIGGER = 10RSILONGEXIT = 80RSISHORTTRIGGER = 90RSISHORTEXIT = 20
//ENTRY CONDITIONl1 = NOT LongOnMarketl1 = IBS >= IBSLONGTRIGGERl1 = l1 and IBS[1] <= IBSLONGTRIGGER[1]l1 = l1 and RSI2 >= RSILONGTRIGGERl1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]
b1 = NOT ShortOnMarketb1 = IBS <= IBSSHORTTRIGGERb1 = b1 and IBS[1]>= IBSSHORTTRIGGER[1]b1 = b1 and RSI2 <= RSISHORTTRIGGERb1 = b1 and RSI2[1] >= RSISHORTTRIGGER[1]
//EXIT CONDITIONl2 = LongOnMarketl2 = RSI2 > RSILONGEXIT
b2 = ShortOnMarketb2 = RSI2 < RSISHORTEXIT
//LONG ENTRYIF l1 THENBUY X CONTRACTS AT MARKET NextBarOpenENDIF
//LONG EXITIf l2 THENSELL X CONTRACTS AT MARKET NextBarOpenENDIF
//SHORT ENTRYIF b1 THENSELLSHORT X CONTRACTS AT MARKET NextBarOpenENDIF
//SHORT EXITIF b2 THENEXITSHORT AT MARKET NextBarOpenENDIF
MarcParticipant
Average
Now with MA as filter….
INDICATORIBS = (Close-Low) / (HIGH-LOW) * 100
RSI2 = RSI[2](close)
MA = average[maperiod](close)
CONTRACTSIZEX = 10
//MOVING AVERAGE PERIOD
maperiod = 144
SIGNALIBSLONGTRIGGER = 50
IBSSHORTTRIGGER = 50
RSILONGTRIGGER = 10
RSILONGEXIT = 80
RSISHORTTRIGGER = 90
RSISHORTEXIT = 20
//ENTRY CONDITION
l1 = NOT LongOnMarket
l1 = l1 and IBS > IBSLONGTRIGGER
l1 = IBS[1] < IBSLONGTRIGGER[1]
l1 = l1 and RSI2 > RSILONGTRIGGER
l1 = RSI2[1] < RSILONGTRIGGER[1]
l1 = l1 and low[1] > MA
b1 = NOT ShortOnMarket
b1 = b1 and IBS < IBSSHORTTRIGGER
b1 = IBS[1] > IBSSHORTTRIGGER[1]
b1 = b1 and RSI2 < RSISHORTTRIGGER
b1 = RSI2[1] > RSISHORTTRIGGER[1]
b1 = b1 and high [1] < MA
//EXIT CONDITION
l2 = LongOnMarketl2 = RSI2 > RSILONGEXIT
b2 = ShortOnMarketb2 = RSI2 < RSISHORTEXIT
//LONG ENTRY
IF l1 THEN
BUY X CONTRACTS AT MARKET NextBarOpen
ENDIF
//LONG EXIT
If l2 THEN
SELL X CONTRACTS AT MARKET NextBarOpen
ENDIF
//SHORT ENTRY
IF b1 THEN
SELLSHORT X CONTRACTS AT MARKET NextBarOpen
ENDIF
//SHORT EXIT
IF b2 THEN
EXITSHORT AT MARKET NextBarOpen
ENDIF
What timeframe and what market are you planning this strategy on?
Interesting results but i would definitly use
// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
If not youre getting an INSANE amount of trades 😛 Even without that its basicly in the market at all times. With 5 min timeframe on the dax i get an avg 18 trades pr day hehe.Its not that crazy bad though, 6258 trades in totalt (INSANE and not very good imo) 4000 wins and 2000 loss. Should indicate that its either superlucky, or actually might have a decent entry 🙂
Hi,
>> For clarity of messages on ProRealCode’s forums, please use the “<> (insert PRT code)” button in the message editor to separate the text part from the code part! Thank you! <<
MarcParticipant
Average
What timeframe and what market are you planning this strategy on? Interesting results but i would definitly use // Definition of code parametersDEFPARAM CumulateOrders = False // Cumulating positions deactivated If not youre getting an INSANE amount of trades 
Even without that its basicly in the market at all times. With 5 min timeframe on the dax i get an avg 18 trades pr day hehe. Its not that crazy bad though, 6258 trades in totalt (INSANE and not very good imo) 4000 wins and 2000 loss. Should indicate that its either superlucky, or actually might have a decent entry 
Hi Jebus89,
the timeframes I’d use are 1H, 2H, 4H and Daily.
Thanks for your information regarding DEFPARAM. This makes it much more easier than to amend the parameters within the code.
How were the statistics in the test you made?
DEFPARAM CumulateOrders = True
//INDICATOR
IBS = (Close-Low) / (HIGH-LOW) * 100
RSI2 = RSI[2](close)
MA = average[maperiod](close)
//CONTRACTSIZE
X = 1
//MOVING AVERAGE PERIOD
maperiod = 200
//SIGNAL
IBSLONGTRIGGER = 50
IBSSHORTTRIGGER = 50
RSILONGTRIGGER = 10
RSILONGEXIT = 80
RSISHORTTRIGGER = 90
RSISHORTEXIT = 20
//ENTRY CONDITION
l1 = NOT LongOnMarket
l1 = l1 and IBS > IBSLONGTRIGGER
l1 = IBS[1] < IBSLONGTRIGGER[1]
l1 = l1 and RSI2 > RSILONGTRIGGER
l1 = RSI2[1] < RSILONGTRIGGER[1]
l1 = l1 and low[1] > MA
b1 = NOT ShortOnMarket
b1 = b1 and IBS < IBSSHORTTRIGGER
b1 = IBS[1] > IBSSHORTTRIGGER[1]
b1 = b1 and RSI2 < RSISHORTTRIGGER
b1 = RSI2[1] > RSISHORTTRIGGER[1]
b1 = b1 and high [1] < MA
//EXIT CONDITION
l2 = LongOnMarket
l2 = RSI2 > RSILONGEXIT
b2 = ShortOnMarket
b2 = RSI2 < RSISHORTEXIT
//LONG ENTRY
IF l1 THEN
BUY X CONTRACTS AT MARKET NextBarOpen
ENDIF
//LONG EXIT
If l2 THEN
SELL X CONTRACTS AT MARKET NextBarOpen
ENDIF
//SHORT ENTRY
IF b1 THEN
SELLSHORT X CONTRACTS AT MARKET NextBarOpen
ENDIF
//SHORT EXIT
IF b2 THEN
EXITSHORT AT MARKET NextBarOpen
ENDIF
CumulateOrders = True? Should it not be set to false? You wanted 1 position only right?
MarcParticipant
Average
I play with several combination of parameters. Feel free to play with this and every parameter. 🙂
