RSI and IBS based EA

• 11/23/2017 at 11:59 AM #53719
  Marc

  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

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  //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

   

  

  Marc

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  11/23/2017 at 2:02 PM #53733
  victormork

  l1 = l1 and IBS >= IBSLONGTRIGGER l1 = l1 and IBS[1] <= IBSLONGTRIGGER[1] l1 = l1 and RSI2 >= RSILONGTRIGGER l1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]

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  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.

  1 user thanked author for this post.

  Marc

  

  victormork

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  11/23/2017 at 2:28 PM #53735
  Marc

  victormork wrote:

  l1 = l1 and IBS >= IBSLONGTRIGGER<br /><br /> l1 = l1 and IBS[1] <= IBSLONGTRIGGER[1]<br /><br /> l1 = l1 and RSI2 >= RSILONGTRIGGER<br /><br /> l1 = l1 and RSI2[1] <= RSILONGTRIGGER[1]

  1 2 3 4

  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

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  //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

   

   

  

  Marc

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  11/23/2017 at 3:19 PM #53736
  Marc

  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

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  //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

   

  

  Marc

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  11/23/2017 at 4:31 PM #53741
  Marc

  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

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  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

   

  

  Marc

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  11/24/2017 at 8:51 AM #53796
  jebus89

  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

  1 2	// 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 🙂

  

  jebus89

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  11/24/2017 at 8:59 AM #53797
  JC_Bywan

  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! <<

  1 user thanked author for this post.

  Marc

  

  JC_Bywan

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  11/24/2017 at 12:12 PM #53842
  Marc

  jebus89 wrote:

  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?

   

  RSI IBS

  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

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  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

   

  

  Marc

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  11/24/2017 at 2:42 PM #53860
  victormork

  CumulateOrders = True? Should it not be set to false? You wanted 1 position only right?

  

  victormork

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  11/24/2017 at 4:02 PM #53865
  Marc

  I play with several combination of parameters. Feel free to play with this and every parameter. 🙂

  

  Marc

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