SA 40 Long + Short Strategy

• 01/17/2019 at 4:08 PM #88898
  Vicari0us

  Hey all,

  Uploading my first strategy to the community.

  I know there is a lot of work still to be done on this one, but here is what I have so far.

  It performs really well in my local market with a spread of 35 Points on the H1 timeframe.

  Performance is trash when going back further than 2 years. The disgusting chop zone between 2014 and 2016 is a killer. (see attachment)

  Anyway, credit to Casenova for his wisper long strategy and to Nicolas for his trailing stop function.

  SA40 Long + Short H1

  //------------------------------------------------------------------------- // Main code : H1 Buy and Sell on SA 40 //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated //daysForbiddenEntry = OpenDayOfWeek = 1 //OR OpenDayOfWeek = 0 // Money Management atr = AverageTrueRange[14](close) accountbalance = 10000 //Starting acc balance liveaccountbalance = accountbalance + strategyprofit lotsize = max(2,round(((liveaccountbalance * 0.1) / (atr * 1.2)) /4)) //====================================================================================// // Conditions to enter long positions c1 = (close[3] <= high[4]) c2 = (close[3] >= low[4]) c3 = (close[2] <= high[3]) c4 = (close[2] >= low[3]) c5 = (close[1] <= high[2]) c6 = (close[1] >= low[2]) c2HLong = close >= trend2H // Work Out the Highs if high[4] > high[3] then ath = high[4] else ath = high[3] endif if high[2] > ath then ath = high[2] else ath = ath endif if high[1] > ath then ath = high[1] else ath = ath endif c7 = (close > ath) buycondition = c1 AND c2 AND c3 AND c4 AND c5 AND c6 and c7 and c2hlong //and c10 //and c9 IF buycondition then//and not daysForbiddenEntry THEN buy lotsize CONTRACT AT MARKET set stop ploss 270 ENDIF //====================================================================================// // Conditions to enter short positions ARDOWN = AroonDown[14] ARUP = AroonUp[14] c1 = (ardown CROSSES OVER arup) timeframe (2H) trend2H = supertrend[7.4,17] c2HShort = close <= trend2H timeframe (default) IF c1 and c2HShort then //and not daysForbiddenEntry then //and c2 and c3 and c4 THEN SELLSHORT lotsize CONTRACT AT MARKET SET STOP pLOSS 225 ENDIF //====================================================================================// //trailing stop function trailingstart = 70 //trailing will start @trailinstart points profit trailingstep = 60 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*4 THEN newSL = tradeprice(1)+trailingstep*4 ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*4 THEN newSL = newSL+trailingstep*4 ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*4 THEN newSL = tradeprice(1)-trailingstep*4 ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*4 THEN newSL = newSL-trailingstep*4 ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************ GRAPH newSL as "trailing"

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  //------------------------------------------------------------------------- // Main code : H1 Buy and Sell on SA 40 //------------------------------------------------------------------------- // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated //daysForbiddenEntry = OpenDayOfWeek = 1 //OR OpenDayOfWeek = 0   // Money Management atr = AverageTrueRange[14](close) accountbalance = 10000 //Starting acc balance liveaccountbalance = accountbalance + strategyprofit lotsize = max(2,round(((liveaccountbalance * 0.1) / (atr * 1.2)) /4))     //====================================================================================//   // Conditions to enter long positions c1 = (close[3] <= high[4]) c2 = (close[3] >= low[4]) c3 = (close[2] <= high[3]) c4 = (close[2] >= low[3]) c5 = (close[1] <= high[2]) c6 = (close[1] >= low[2])   c2HLong = close >= trend2H   // Work Out the Highs if high[4] > high[3] then ath = high[4] else ath = high[3] endif if high[2] > ath then ath = high[2] else ath = ath endif if high[1] > ath then ath = high[1] else ath = ath endif   c7 = (close > ath)   buycondition = c1 AND c2 AND c3 AND c4 AND c5 AND c6 and c7 and c2hlong //and c10 //and c9     IF buycondition then//and not daysForbiddenEntry THEN buy lotsize CONTRACT AT MARKET set stop ploss 270 ENDIF   //====================================================================================//   // Conditions to enter short positions ARDOWN = AroonDown[14] ARUP = AroonUp[14] c1 = (ardown CROSSES OVER arup)   timeframe (2H) trend2H = supertrend[7.4,17] c2HShort = close <= trend2H   timeframe (default)   IF c1 and c2HShort then //and not daysForbiddenEntry then //and c2 and c3 and c4  THEN SELLSHORT lotsize CONTRACT AT MARKET SET STOP pLOSS 225 ENDIF   //====================================================================================//   //trailing stop function trailingstart = 70 //trailing will start @trailinstart points profit trailingstep = 60 //trailing step to move the "stoploss"   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*4 THEN newSL = tradeprice(1)+trailingstep*4 ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*4 THEN newSL = newSL+trailingstep*4 ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*4 THEN newSL = tradeprice(1)-trailingstep*4 ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*4 THEN newSL = newSL-trailingstep*4 ENDIF   ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************   GRAPH newSL as "trailing"

   

  

  Vicari0us

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