Hello everyone
First, I wanted to apologize for mistakes in my English.
I have been to adapt the RSI 2 strategy of Larry Connors.
Already managed to introduce change the parameters I wanted, but,
the problem is the market orders.
Often in illiquid markets, buy or sell “at the market” will not work very well at the opening of that day.
As the opening orders and closing positions are always given in the session early the next day, sometimes it will not work well.
I would like to find a solution:
Any suggestion:
Perhaps the introduction of a limit order instead of the market, in order to protect from unforeseen or illiquidity.
Here is my code
DEFPARAM CumulateOrders = False
// Conditions pour ouvrir une position acheteuse
MM5 = Average[5](close)
RSI2 = RSI[2](close)
c1 = close < MM5
c2 = RSI2 < 5
IF c1 AND c2 THEN
BUY 10000 CASH AT MARKET
ENDIF
// Conditions pour fermer une position acheteuse
c3 = close > MM5
IF c3 THEN
SELL AT MARKET
ENDIF
// Conditions pour ouvrir une position en vente à découvert
c1v = close > MM5
c2v = RSI2 > 95
IF c1v AND c2v THEN
SELLSHORT 10000 CASH AT MARKET
ENDIF
// Conditions pour fermer une position en vente à découvert
c3v = close < MM5
IF c3v THEN
EXITSHORT AT MARKET
ENDIF
// Stops and targets
SET STOP %LOSS 5
Thank you for any help
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Thank you for sharing this strategy.
We could change the “at market” orders to “limit” ones, but it involves to set them at a precise price, so what price do you got in mind for setting them up?
thanks for the reply
the idea is to keep the setup but avoid buying without knowing at what price.
just might be a good idea to place a limit order to allow maximum variation of 0.2% to the opening price.
For example
Rsi2 below 5 next day buy opening. we could replace the market order with a limit order That allow X % positive variation
thank you for any help
Could explain it with a little screenshot please? Are you sure about “LIMIT” order?
right now I’m on the phone, which makes it more difficult to illustrate with pictures.
I know my English is not helping …
I know the difference between limit and stop orders
I do not know is to code a limit order that to run the entire position at the opening price ensuring that may not cause me a great variation due to an order to the market.
for example, a stock makes a buy signal. the next day I shall go long at the opening price.
I want to buy ensuring that do not buy more expensive than 0.2% from the opening price.
maybe the code is simple, but I’m just taking the first steps in the PRT coding
thank you for your concern
Another example: if the stock opens at 10 euros, I tolerate buy 10, 02 euros or less.
I do not want to buy is too expensive due to the lack of liquidity in the order book that is often at the opening. That can happen in a order “at market”
Ok so you want to buy at a higher price than the open, so you need a STOP order. But how much time do this pending order must remain active?
Nicolas, i am not sure you are understanding what i mean.
I want to buy as cheaply as possible. if possible at the opening price, or lower. I just dont want to use orders at market . I want to set a limit .
I admit pay maximum 0.2 % more than the opening price to ensure that I can get into position.
if I put a stop order I will pay 0.3%, 0.5 or more !!!! the entry will always happen above that.
About pending orders, i would like them take place as soon as possible but without time limit.
Ok that’s more clear now 🙂 Sorry for misunderstanding!
How much points from the current price would you like to put the limit order then? (at day open).
Then I assume this limit order will move accordingly to the price within that points difference until it triggers. (but it will be only active if price is not above 0.2% from the day open). Am I right this time? With a picture it would be easier to understand I guess 🙂
Nicolas thank you for your patience.
in fact, my inicial idea wasnt so elaborate as yours.
It does not have to be an order that moves… But…
but that might be a very good idea.
can you help me, Nicolas? Please?
If you want to set a pending order, we must precise its trigger price, at least, the first time we set it. So imagine the daily open is 4200, at what price should we set the limit order? According to your experience with this strategy?
Well, now with the screshoot (daily chart)
please take a look.
My strategy is RSI <5 or <95 on day close: went long / short
But i dont want market orders because, Often They Go buy / sell ridiculous prices. first second opening already happened to me, the order “at market” trigger 1% above, and Then the price stabilize at opening price 1 minute later.
I want to prevent this.
You already understand that I want to buy / sell at the best price.
But …
lets look to the screenshot…
I dont know what price the market will open next day … I want to buy anyway …
conditions are:
maximum 0.2% more expensive than next day opening price or better than that.
We can not encode this spread as a percentage, taking the opening price as a reference?
(As you asked, price values for this example: 14 December, opening at $ 741.79
$ 741.79 + 0.2% = $ 743.27)
I want to buy bellow $743,27 as possible.
Ideally would be … near $ 725 like the example.
The order could remain until it triggers during all day session
I am very grateful for your help
Hello
For me a way to improve this strategy; it is to look at price action at lower time frame than this daily strategy.
For example on the dax last days, the market was close to Connors conditions but afterwards.
A trade could be opened in the middle of nowever. Finally it ended up well, but the entry could be improved.
Is there a way to convert RSI[2](Daily) in H4? and to add extra condition.
(I recognize that these market condition might be extreme)
PS there was an other post
Looking to set up automated trading of Larry Connors RSI 2 system
Hello Yannick,
I just trade on the daily …
I did not know this strategy by the name Larry Connors, and really, is not quite the same.
I learned this strategy in a brasilian forum, and I use it for several years, always on the daily chart. However, manual orders are tiring and boring … and involve a lot of work. I’m trying to improve into a system in pro-order in PRT.
This is only one of the setups I usually use.
In my opinion, this setup does not work well on índices. That is not important to me because I only trade stocks.
Perhaps you can successfully adapt the system to another timeframe as you want. If that work well, please let me know.
Hello,
1/ so if you don’t want to buy at the very open price and to wait some times for the price to stabilize, why do we not use time between the first candlestick of the day and a market order at time[0]+x bars ? Because LIMIT orders need price to be set and this price could never be reached!
2/ Another option would be to set a STOP Order at opening price + 0.2%, if price goes up and it triggers that’s ok. If price goes down, we can move the stop order to follow price at x points from it to get a better price if the price goes up afterwards. This stop order could only remain until close of the daily candlestick.
