RSI and IBS based EA

• 11/23/2017 at 10:32 AM #53697
  Marc

  Hi together,

  I’d like to share my code with you and want to know if there is any mistake within this code?

  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:

  //INDICATOR
  IBS = (Close-Low) / (HIGH-LOW) * 100
  RSI2 = RSI[2](close)

  //SIGNAL
  IBSLONGTRIGGER = 50
  IBSSHORTTRIGGER = 50

  RSILONGTRIGGER = 10
  RSILONGEXIT = 80
  RSISHORTTRIGGER = 90
  RSISHORTEXIT = 20

  //ENTRY CONDITION
  l1 = not LongOnMarket
  l1 = l1 and IBS[1] >= IBSLONGTRIGGER[1] and IBS[2] <= IBSLONGTRIGGER[2] and RSI2[1] >= RSILONGTRIGGER[1] and RSI2[2] <= RSILONGTRIGGER[2]

  b1 = not ShortOnMarket
  b1 = b1 and IBS[1] <= IBSSHORTTRIGGER[1] and IBS[2]>= IBSSHORTTRIGGER[2] and RSI2[1] <= RSISHORTTRIGGER[1] and RSI2[2] >= RSISHORTTRIGGER[2]

  //EXIT CONDITION
  l2 = LongOnMarket
  l2 = RSI2[1] >= RSILONGEXIT[1]

  b2 = ShortOnMarket
  b2 = RSI2[1] <= RSISHORTEXIT[1]

  //LONG ENTRY
  IF NOT LongOnMarket AND l1 THEN
  BUY 1 CONTRACTS AT MARKET NextBarOPen
  ENDIF

  //LONG EXIT
  If LongOnMarket AND l2 THEN
  SELL AT MARKET NextBarOpen
  ENDIF

  //SHORT ENRTRY
  IF NOT ShortOnMarket AND b1 THEN
  SELLSHORT 1 CONTRACTS AT MARKET NextBarOpen
  ENDIF

  //SHORT EXIT
  IF ShortOnMarket AND b2 THEN
  EXITSHORT AT MARKET NextBarOpen
  ENDIF

  

  Marc

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  11/23/2017 at 11:03 AM #53699
  Marc

  Code amended…

   

  //INDICATOR
  IBS = (Close-Low) / (HIGH-LOW) * 100
  RSI2 = RSI[2](close)

  //SIGNAL
  IBSLONGTRIGGER = 50
  IBSSHORTTRIGGER = 50

  RSILONGTRIGGER = 10
  RSILONGEXIT = 80
  RSISHORTTRIGGER = 90
  RSISHORTEXIT = 20

  //ENTRY CONDITION
  l1 = not LongOnMarket
  l1 = 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 ShortOnMarket
  b1 = 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 CONDITION
  l2 = LongOnMarket
  l2 = l2 and RSI2[1] >= RSILONGEXIT[1]

  b2 = ShortOnMarket
  b2 = b2 and RSI2[1] <= RSISHORTEXIT[1]

  //LONG ENTRY
  IF l1 THEN
  BUY 1 CONTRACTS AT MARKET NextBarOpen
  ENDIF

  //LONG EXIT
  If l2 THEN
  SELL AT MARKET NextBarOpen
  ENDIF

  //SHORT ENRTRY
  IF b1 THEN
  SELLSHORT 1 CONTRACTS AT MARKET NextBarOpen
  ENDIF

  //SHORT EXIT
  IF b2 THEN
  EXITSHORT AT MARKET NextBarOpen
  ENDIF

  

  Marc

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  11/23/2017 at 11:41 AM #53715
  Despair

  Deutsch im deutschen Forum, englisch im englischen Forum. 🙂

  

  Despair

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  11/23/2017 at 11:56 AM #53718
  Marc

  okay…danke für die Info…

  

  Marc

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  11/23/2017 at 6:35 PM #53761
  mr blue

  für welches finanzinstrument möchtest du diese strategie anwenden – ausserdem noch interessant in welchem zeitfenster soll es laufen?

  

  mr blue

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  11/23/2017 at 8:56 PM #53772
  Derek

  Hey Mast,

  folgendes ist mir aufgefallen:

  //ENTRY CONDITION l1 = not LongOnMarket l2 = l1 and IBS[1] >= IBSLONGTRIGGER[1] l3 = l2 and IBS[2] <= IBSLONGTRIGGER[2] l4 = l3 and RSI2[1] >= RSILONGTRIGGER[1] l5 = l4 and RSI2[2] <= RSILONGTRIGGER[2] [...]

  1 2 3 4 5 6 7 8

  //ENTRY CONDITION l1 = not LongOnMarket l2 = l1 and IBS[1] >= IBSLONGTRIGGER[1] l3 = l2 and IBS[2] <= IBSLONGTRIGGER[2] l4 = l3 and RSI2[1] >= RSILONGTRIGGER[1] l5 = l4 and RSI2[2] <= RSILONGTRIGGER[2]   [...]

  Meinst Du soetwas?

  

  Derek

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  11/23/2017 at 9:36 PM #53775
  Marc

  Hallo zusammen, also natürlich möchte ich möglichst beliebige Instrumente handeln. Den TF sehe ich bei 1h, 4h und 1D, wobei es interessant wäre dies auch unter 2h zu testen. 

  Sicher würde es, je nach Instrument dann auch Sinn machen Zeiten fest zu legen wann gehandelt werden soll.

  Aktuell nutze ich eine Demo mit EOD Daten und wollte mal die 14 Tage Version nutzen um eben kleinere TF zu testen.

  bzgl des codeschnipsels muss ich mich mal rein denken…habe gestern erst angefangen mich mit prorealcode zu befassen.

   

  vg marc

  

  Marc

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  11/24/2017 at 8:50 AM #53795
  Marc

  Ich habe übrigens den Code ein wenig geändert…

  Hier ist nun ein MA-Filter drin:

  //INDICATOR
  IBS = (Close-Low) / (HIGH-LOW) * 100
  RSI2 = RSI[2](close)
  MA = average[maperiod](close)

  //CONTRACTSIZE
  X = 10

  //MOVING AVERAGE PERIOD
  maperiod = 144

  //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 12:21 PM #53846
  Marc

   

  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

   

  1 user thanked author for this post.

  Derek

  

  Marc

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  11/24/2017 at 7:28 PM #53876
  axmichi

  Hi Maste 

   

  habs mal im dow im m1 durchgezogen

  PF 1,16

  TQ 70 %

  6000 Trades aber crv 1:2,  4€ GW : 9,5, € verlust

   

  im H1 PF 0,6

  crv von 1:4 

   

  Gruß

  

  axmichi

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  11/28/2017 at 10:34 AM #54236
  Marc

  Hallo axmichi,

  Berauschend ist das nicht…wahrscheinlich ist 1 Minute klein als TF um da wirklich aussagekräftige Ergebnisse zu bekommen. Im Dax lief es beim Taily TF ganz gut mit einem ordentlichen PF von 3,96.

  ich habe mal die trialversiob mit Echtzeitdaten bzw. den untertägigen Daten freischalten lassen und teste es mal heute selber aus.

  Das Grundgerüst dieses Systems beruht auf der Idee von Larry Williams RSI2a-Strategie.

   

  vg Marc 

  

  Marc

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  11/28/2017 at 11:09 AM #54244
  axmichi

  Du weißt das du traillingstops usw, nicht mehr verwenden brauchst, da sie nicht mehr greifen, akzeptiert werden. Thema garantierte Stops

  

  axmichi

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  11/28/2017 at 1:53 PM #54259
  Marc

  axmichi wrote:

  Du weißt das du traillingstops usw, nicht mehr verwenden brauchst, da sie nicht mehr greifen, akzeptiert werden. Thema garantierte Stops

  Auf Stopps habe ich mich seltenst verlassen dürfen. Ich benutze da lieber valide Signale…wie im o.g. System

  

  Marc

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  07/26/2018 at 3:56 PM #76827
  Marc

  Gedächtnisstütze:
  Einige Parameter angepasst:
  RSI Close mit HA-Berechnung

  DEFPARAM CumulateOrders = false //INDICATOR IBS = (close-Low) / (HIGH-LOW) * 100 RSI2 = RSI[2]((open+close+low+high)/4) MA = average[maperiod](close) //CONTRACTSIZE X = 1 //MOVING AVERAGE PERIOD maperiod = 200 //SIGNAL IBSLONGTRIGGER = 50 IBSSHORTTRIGGER = 50 RSILONGTRIGGER = 10 RSILONGEXIT = 80 RSISHORTTRIGGER = 95 RSISHORTEXIT = 50 //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 = false //INDICATOR IBS = (close-Low) / (HIGH-LOW) * 100 RSI2 = RSI[2]((open+close+low+high)/4) MA = average[maperiod](close)   //CONTRACTSIZE X = 1   //MOVING AVERAGE PERIOD maperiod = 200   //SIGNAL IBSLONGTRIGGER = 50 IBSSHORTTRIGGER = 50   RSILONGTRIGGER = 10 RSILONGEXIT = 80 RSISHORTTRIGGER = 95 RSISHORTEXIT = 50   //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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  08/08/2018 at 3:42 PM #77781
  Marc

  here antoher code with some variables for testing.

  DEFPARAM CumulateOrders = false //INDICATOR IBS = (close-Low) / (HIGH-LOW) * 100 RSI2 = RSI[RSIPeriod]((open+close+low+high)/4) MA = average[MAPeriod](close) //CONTRACTSIZE X = 1 //SIGNAL IBSLONGTRIGGER = 50 IBSSHORTTRIGGER = 50 RSILONGTRIGGER = RSILT RSILONGEXIT = RSILE RSISHORTTRIGGER = RSIST RSISHORTEXIT = RSISE //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 = false //INDICATOR IBS = (close-Low) / (HIGH-LOW) * 100 RSI2 = RSI[RSIPeriod]((open+close+low+high)/4) MA = average[MAPeriod](close)   //CONTRACTSIZE X = 1   //SIGNAL IBSLONGTRIGGER = 50 IBSSHORTTRIGGER = 50   RSILONGTRIGGER = RSILT RSILONGEXIT = RSILE RSISHORTTRIGGER = RSIST RSISHORTEXIT = RSISE   //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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