PaulParticipant
Master
Hi,
I’am trying a strategy based on the close which crosses a big lines.
This is for the dax, but how can you calculate these big line numbers automatically and quickly, so the strategy is use-full for other markets without too much hassle? I thought about using the interval values, but it becomes messy quick. Is there a better way?
Thanks in advance.
// lines for dax
//sv=13100 //start value
//ivm=100 //interval value medium lines
//ivb=1000 //interval value big lines
l1= close crosses over 13100 or close crosses over 12100 or close crosses over 11100 or close crosses over 10100 or close crosses over 9100
l2= close crosses over 13200 or close crosses over 12200 or close crosses over 11200 or close crosses over 10200 or close crosses over 9200
l3= close crosses over 13300 or close crosses over 12300 or close crosses over 11300 or close crosses over 10300 or close crosses over 9300
l4= close crosses over 13400 or close crosses over 12400 or close crosses over 11400 or close crosses over 10400 or close crosses over 9400
l5= close crosses over 13500 or close crosses over 12500 or close crosses over 11500 or close crosses over 10500 or close crosses over 9500
l6= close crosses over 13600 or close crosses over 12600 or close crosses over 11600 or close crosses over 10600 or close crosses over 9600
l7= close crosses over 13700 or close crosses over 12700 or close crosses over 11700 or close crosses over 10700 or close crosses over 9700
l8= close crosses over 13800 or close crosses over 12800 or close crosses over 11800 or close crosses over 10800 or close crosses over 9800
l9= close crosses over 13900 or close crosses over 12900 or close crosses over 11900 or close crosses over 10900 or close crosses over 9900
l10=close crosses over 14000 or close crosses over 13000 or close crosses over 12000 or close crosses over 11100 or close crosses over 10000
s1= close crosses under 13100 or close crosses under 12100 or close crosses under 11100 or close crosses under 10100 or close crosses under 9100
s2= close crosses under 13200 or close crosses under 12200 or close crosses under 11200 or close crosses under 10200 or close crosses under 9200
s3= close crosses under 13300 or close crosses under 12300 or close crosses under 11300 or close crosses under 10300 or close crosses under 9300
s4= close crosses under 13400 or close crosses under 12400 or close crosses under 11400 or close crosses under 10400 or close crosses under 9400
s5= close crosses under 13500 or close crosses under 12500 or close crosses under 11500 or close crosses under 10500 or close crosses under 9500
s6= close crosses under 13600 or close crosses under 12600 or close crosses under 11600 or close crosses under 10600 or close crosses under 9600
s7= close crosses under 13700 or close crosses under 12700 or close crosses under 11700 or close crosses under 10700 or close crosses under 9700
s8= close crosses under 13800 or close crosses under 12800 or close crosses under 11800 or close crosses under 10800 or close crosses under 9800
s9= close crosses under 13900 or close crosses under 12900 or close crosses under 11900 or close crosses under 10900 or close crosses under 9900
s10=close crosses under 14000 or close crosses under 13000 or close crosses under 12000 or close crosses under 11000 or close crosses under 10000
Hi Paul, The levels can be created using the mod operator, see the code example below. You might want to add some loops to store the level values.
CurrentPrice = close
AboveLevell0 = CurrentPrice mod 10
StartLevel = CurrentPrice - AboveLevell0
Level10Up = StartLevel + 10
Level20Up = StartLevel + 20 // etc.
Levell0Down = StartLevel - 10
Level20Down = StartLevel- 20 // etc.
PaulParticipant
Master
Here’s the adjusted code. The results do not match the pic. Can you see something obvious wrong ?
//-------------------------------------------------------------------------
// Main code : Big Line Strategy
//-------------------------------------------------------------------------
// common rules
DEFPARAM CUMULATEORDERS = false
DEFPARAM PRELOADBARS = 10000
// time rules
ONCE entertime = 090000
ONCE lasttime = 180000
ONCE closetime = 240000 // greater then 23.59 means it continues position overnight
ONCE closetimefriday=180000
tt1 = time >= entertime
tt2 = time <= lasttime
tradetime = tt1 and tt2
// positionsize and stops
positionsize=1
sl=1 // % stoploss
ts=1.5 // % trailing stop
pt=2.5 // % profit target
// setup number of trades intraday
if IntradayBarIndex = 0 then
longtradecounter = 0
Shorttradecounter = 0
endif
// trade criteria
lc = tradetime and countoflongshares < 1 and longtradecounter < 1
sc = tradetime and countofshortshares < 1 and shorttradecounter < 1
// lines for dax
CurrentPrice = round(dclose(1))
mp = 100
AboveLevell0 = CurrentPrice mod mp
StartLevel = CurrentPrice - AboveLevell0
Level10Up = StartLevel + (1*mp)
Level20Up = StartLevel + (2*mp)
Level30Up = StartLevel + (3*mp)
Level40Up = StartLevel + (4*mp)
Level50Up = StartLevel + (5*mp)
Level60Up = StartLevel + (6*mp)
Level70Up = StartLevel + (7*mp)
Level80Up = StartLevel + (8*mp)
Level90Up = StartLevel + (9*mp)
Levell0Down = StartLevel - (1*mp)
Level20Down = StartLevel - (2*mp)
Level30Down = StartLevel - (3*mp)
Level40Down = StartLevel - (4*mp)
Level50Down = StartLevel - (5*mp)
Level60Down = StartLevel - (6*mp)
Level70Down = StartLevel - (7*mp)
Level80Down = StartLevel - (8*mp)
Level90Down = StartLevel - (9*mp)
l0= close crosses over StartLevel
l1= close crosses over Level10Up
l2= close crosses over Level20Up
l3= close crosses over Level30Up
l4= close crosses over Level40Up
l5= close crosses over Level50Up
l6= close crosses over Level60Up
l7= close crosses over Level70Up
l8= close crosses over Level80Up
l9= close crosses over Level90Up
s0=close crosses under StartLevel
s1= close crosses under Levell0Down
s2= close crosses under Level20Down
s3= close crosses under Level30Down
s4= close crosses under Level40Down
s5= close crosses under Level50Down
s6= close crosses under Level60Down
s7= close crosses under Level70Down
s8= close crosses under Level80Down
s9= close crosses under Level90Down
// extra long and short criteria
elc=high < MIN(dhigh(1),dhigh(2))
esc=low > MAX(dlow(1),dlow(2))
// long entry
If lc and elc and (l0 or l1 or l2 or l3 or l4 or l5 or l6 or l7 or l8 or l9) then
buy positionsize contract at market
longtradecounter=longtradecounter + 1
endif
// short entry
if sc and esc and (s0 or s1 or s2 or s3 or s4 or s5 or s6 or s7 or s8 or s9) then
sellshort positionsize contract at market
shorttradecounter=shorttradecounter + 1
endif
// exit all
If onmarket and time >= closetime then
sell at market
exitshort at market
endif
// exit friday at set closetime
if onmarket and (CurrentDayOfWeek=5 and time>=closetimefriday) then
sell at market
exitshort at market
endif
// build-in exit
SET STOP %LOSS sl %TRAILING ts
SET TARGET %PROFIT pt
//GRAPH 0 coloured(300,0,0) AS "zeroline"
//GRAPH (positionperf*100)coloured(0,0,0,255) AS "PositionPerformance"
Hi Paul, the difference is that the fixed lines are created once and the dynamic way of doing it is creating the levels on each 5 minute bar. By creating the levels once a day e.g. if time = 080000 (any time before your start time) you will get the same result as per the previous version, actually better due to the Dhigh() and Dlow() checks you added.
PaulParticipant
Master
Thanks for your response!
To check if lines were correct I created a indicator. So lines are dynamic, based on a yesterday’s high.
The index is never out of the *dynamic range*, so I thought it should be the same as fixed lines, but it isn’t.
I will try new approach.
You could try to make the “CurrentPrice”, the last Close and see what happens:
CurrentPrice = round(close)
Since the code is read only once per bar, the round levels should be always calculated with the Close of the current 5 minutes bar.
PaulParticipant
Master
I tried your idea Nicolas. It didn’t work. Because when lines zigzag around a big line, the lines could move 1 bar. I think as a result the condition crossed was not met. Also tried the idea from AutoStrategist. But somehow it made the strategy 100x slower. But I found the cause. Somehow I overlooked I specified before only 1 part of the criteria for a big line. But a line needs 2 criteria.
l0= close crosses over Level00Up or close crosses over Level00Down
Thanks for the tips!
PaulParticipant
Master
Here’s the complete strategy.
Thank you Paul! Should be in the Library too! Do you want to post it there?
FYI I posted a new indicator to spot these round levels recently: https://www.prorealcode.com/prorealtime-indicators/sweet-spots-numbers/
Very strange: When I’m not connected, I see that there are attachment in some of thes posts but when I’m logged, I can’t see attachments.
And that is not the case in other disscusions.
Am I the only one who have thi problem?
@Noisette
Are you talking about this topic only? Or in any other topic of the forums? Because there are no attachments at all in this specific thread.
When not connected, you are browsing cached pages which may be “old” (one hour or so..), so that’s possible that you might spot some differences if you are logged or not.
@Nicolas: I saw this problem only in some threads.
I’m sure that there were attachments in some of the posts above. For example about 1 hour ago, in #53731 there were a picture and an itf file to download that disappeared when I logged in.
And now no attachment (log in or log out)
Thanks.
I understand now why these files have been deleted, while Paul send a new post in the library, he deleted its own old files.. No worry the strategy will be available in the code library today after a short review.
EDIT: the strategy is now available in the library: big line strategy for DAX
Ok. That’s clear Nicolas.
So thank you Paul for your code. In my opinion Dax and Nasdaq Should be the most suitable for this strategy.
I’ll try some modifications and tests and wiĺl share if it improve performance.
PaulParticipant
Master
Checking out this old system. Updated a bit. Try use factor 50 or 100. It needs an extra filter, but current run is nice. On DAX30, TF 5min
//-------------------------------------------------------------------------
// Main code : Big Line Strategy
//-------------------------------------------------------------------------
// common rules
defparam cumulateorders = false
defparam preloadbars = 10000
once extracriteria = 2 // [0]off or [1]strict or [2]most strict for higher timeframes
once enablesl = 1 // stoploss
once enablept = 1 // profit target
once enablets = 1 // trailing stop
once enablebe = 1 // breakeven stop
once timeexit = 1 // test i.e. without ts but with be
//activate graph(onprice); maximum 5 lines active !
once displaysl = 0 // stop loss [1 line]
once displaypt = 0 // profit target [1 line]
once displayts = 0 // trailing stop [3 lines]
once displaybe = 0 // breakeven stop [1 line]
once displaydim = 0 // days in market [1 line]
once displaypp = 0 // position performance [1 line]
once holiday = 1
once factor = 100 //i.e. action at 50 lines or 100 lines
positionsize = 1
sl = 1 // % stoploss
pt = 1.25 // % profit target
// trailingstop exit activates when positionperformance (pp)
ts1=0.35 // is greater then this percentage then use trailingstop ts1
switch=0.45 // is greater then this percentage then use trailingstop ts2
ts2=0.25
switch2=0.60 // is greater then this percentage then use trailingstop ts3
ts3=0.20
// breakeven exit
besg = 0.30 // % break even stop gain
besl = 0.05 // % break even stop level
// used for sl/pt/ (not used for ts); not to be optimized!
// forex use 0.01; securities use 1, index use 100
// profittargets and stoploss have to match the lines with displaysl/tp/ts set to 1
underlaying=100
// reset at start
if intradaybarindex=0 then
longtradecounter=0
shorttradecounter=0
tradecounter=0
ecshort=1
eclong=1
tradeday= 1
endif
// holiday
if holiday then
// prevent trading first week in a new year
if year=2015 and month=1 and day<=4 then
tradeday = 0
elsif year=2016 and month=1 and day<=3 then
tradeday = 0
elsif year=2017 and month=1 and day<=8 then
tradeday = 0
elsif year=2018 and month=1 and day<=7 then
tradeday = 0
elsif year=2019 and month=1 and day<=6 then
tradeday = 0
// prevent trading yearly common holiday's
elsif month=12 and day=24 then // before christmas day
tradeday = 0
elsif month=12 and day=25 then // christmas day
tradeday = 0
elsif month=12 and day=26 then // after christmas day
tradeday = 0
elsif month=12 and day=31 then // old years eve
tradeday = 0
// prevent trading on a public holiday in germany; market can be open
elsif year=2019 and month=4 and day=19 then // holiday in germany; good friday
tradeday = 0
elsif year=2018 and month=3 and day=30 then // holiday in germany; good friday
tradeday = 0
elsif year=2017 and month=4 and day=14 then // holiday in germany; good friday
tradeday = 0
elsif year=2019 and month=4 and day=22 then // holiday in germany; easter monday
tradeday = 0
elsif year=2018 and month=4 and day=2 then // holiday in germany; easter monday
tradeday = 0
elsif year=2017 and month=4 and day=17 then // holiday in germany; easter monday
tradeday = 0
elsif month=5 and day=1 then // holiday in germany; labour day
tradeday = 0
elsif year=2019 and month=5 and day=30 then // holiday in germany; ascension day
tradeday = 0
elsif year=2018 and month=5 and day=10 then // holiday in germany; ascension day
tradeday = 0
elsif year=2017 and month=5 and day=25 then // holiday in germany; ascension day
tradeday = 0
elsif year=2019 and month=6 and day=10 then // holiday in germany; whit monday
tradeday = 0
elsif year=2018 and month=6 and day=21 then // holiday in germany; whit monday
tradeday = 0
elsif year=2017 and month=6 and day=5 then // holiday in germany; whit monday
tradeday = 0
elsif month=10 and day=3 then // holiday in germany; unity day
tradeday = 0
else
tradeday = 1
endif
endif
// day & time
ONCE entertime = 090000
ONCE lasttime = 180000
once closetime = 240000 // greater then 23.59 means it continues position overnight
once fridayclosetime = 180000
tradetime = (time>=entertime and time<lasttime) and tradeday
// [pc] position criteria (also set a limit to the number of trades a day) (or set high for no impact)
pclong = countoflongshares < 1 and longtradecounter < 1 and tradecounter < 1
pcshort = countofshortshares < 1 and shorttradecounter < 1 and tradecounter < 1
//[mc] main criteria
CurrentPrice = round(dclose(1))
MPmod = 100
Factor = Factor
AboveLevel0 = CurrentPrice mod MPmod
StartLevel = CurrentPrice - AboveLevel0
Level00Up = Startlevel
Level10Up = StartLevel + (1*Factor)
Level20Up = StartLevel + (2*Factor)
Level30Up = StartLevel + (3*Factor)
Level40Up = StartLevel + (4*Factor)
Level50Up = StartLevel + (5*Factor)
Level60Up = StartLevel + (6*Factor)
Level70Up = StartLevel + (7*Factor)
Level80Up = StartLevel + (8*Factor)
Level90Up = StartLevel + (9*Factor)
Level00Down = Startlevel
Levell0Down = StartLevel - (1*Factor)
Level20Down = StartLevel - (2*Factor)
Level30Down = StartLevel - (3*Factor)
Level40Down = StartLevel - (4*Factor)
Level50Down = StartLevel - (5*Factor)
Level60Down = StartLevel - (6*Factor)
Level70Down = StartLevel - (7*Factor)
Level80Down = StartLevel - (8*Factor)
Level90Down = StartLevel - (9*Factor)
l0= close crosses over Level00Up or close crosses over Level00Down
l1= close crosses over Level10Up or close crosses over Levell0Down
l2= close crosses over Level20Up or close crosses over Level20Down
l3= close crosses over Level30Up or close crosses over Level30Down
l4= close crosses over Level40Up or close crosses over Level40Down
l5= close crosses over Level50Up or close crosses over Level50Down
l6= close crosses over Level60Up or close crosses over Level60Down
l7= close crosses over Level70Up or close crosses over Level70Down
l8= close crosses over Level80Up or close crosses over Level80Down
l9= close crosses over Level90Up or close crosses over Level90Down
s0= close crosses under Level00Down or close crosses under Level00Up
s1= close crosses under Levell0Down or close crosses under Level10Up
s2= close crosses under Level20Down or close crosses under Level20Up
s3= close crosses under Level30Down or close crosses under Level30Up
s4= close crosses under Level40Down or close crosses under Level40Up
s5= close crosses under Level50Down or close crosses under Level50Up
s6= close crosses under Level60Down or close crosses under Level60Up
s7= close crosses under Level70Down or close crosses under Level70Up
s8= close crosses under Level80Down or close crosses under Level80Up
s9= close crosses under Level90Down or close crosses under Level90Up
mclong=(l0 or l1 or l2 or l3 or l4 or l5 or l6 or l7 or l8 or l9)
mcshort=(s0 or s1 or s2 or s3 or s4 or s5 or s6 or s7 or s8 or s9)
// [ec] extra criteria
if extracriteria then
eclong = high < dhigh(1)
ecshort = low > dlow(1)
elsif extracriteria=2 then
min1 = min(dhigh(0),dhigh(1))
min2 = min(dhigh(1),dhigh(2))
max1 = max(dlow(0),dlow(1))
max2 = max(dlow(1),dlow(2))
eclong = high < min(min1,min2)
ecshort =low > max(max1,max2)
endif
// long entry
if tradetime then
If pclong and mclong and eclong then
buy positionsize contract at market
longtradecounter=longtradecounter + 1
tradecounter=tradecounter+1
endif
// short entry
if pcshort and mcshort and ecshort then
sellshort positionsize contract at market
shorttradecounter=shorttradecounter + 1
tradecounter=tradecounter+1
endif
endif
//
pp=(positionperf*100)
// trailing stop
if enablets then
trailingstop1 = (tradeprice(1)/100)*ts1
trailingstop2 = (tradeprice(1)/100)*ts2
trailingstop3 = (tradeprice(1)/100)*ts3
if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
maxprice1=0
minprice1=close
priceexit1=0
maxprice2=0
minprice2=close
priceexit2=0
maxprice3=0
minprice3=close
priceexit3=0
a1=0
a2=0
a3=0
pp=0
endif
if onmarket then
if pp>=ts1 then
a1=1
endif
if pp>=switch then
a2=1
endif
if pp>=switch2 then
a3=1
endif
endif
// setup long
if longonmarket then
maxprice1=max(maxprice1,close)
maxprice2=max(maxprice2,high)
maxprice3=max(maxprice3,high)
if a1 then
if maxprice1-tradeprice(1)>=(trailingstop1)*pointsize then
priceexit1=maxprice1-(trailingstop1/(underlaying/100))*pointsize
endif
endif
if a2 then
if maxprice2-tradeprice(1)>=(trailingstop2)*pointsize then
priceexit2=maxprice2-(trailingstop2/(underlaying/100))*pointsize
endif
endif
if a3 then
if maxprice3-tradeprice(1)>=(trailingstop3)*pointsize then
priceexit3=maxprice3-(trailingstop3/(underlaying/100))*pointsize
endif
endif
endif
// setup short
if shortonmarket then
minprice1=min(minprice1,close)
minprice2=min(minprice2,low)
minprice3=min(minprice3,low)
if a1 then
if tradeprice(1)-minprice1>=(trailingstop1)*pointsize then
priceexit1=minprice1+(trailingstop1/(underlaying/100))*pointsize
endif
endif
if a2 then
if tradeprice(1)-minprice2>=(trailingstop2)*pointsize then
priceexit2=minprice2+(trailingstop2/(underlaying/100))*pointsize
endif
endif
if a3 then
if tradeprice(1)-minprice3>=(trailingstop3)*pointsize then
priceexit3=minprice3+(trailingstop3/(underlaying/100))*pointsize
endif
endif
endif
// exit long
if longonmarket and priceexit1>0 then
sell at priceexit1 stop
endif
if longonmarket and priceexit2>0 then
sell at priceexit2 stop
endif
if longonmarket and priceexit3>0 then
sell at priceexit3 stop
endif
// exit short
if shortonmarket and priceexit1>0 then
exitshort at priceexit1 stop
endif
if shortonmarket and priceexit2>0 then
exitshort at priceexit2 stop
endif
if shortonmarket and priceexit3>0 then
exitshort at priceexit3 stop
endif
if displayts then
//graphonprice priceexit1 coloured(0,0,255,255) as "trailingstop1"
//graphonprice priceexit2 coloured(0,0,255,255) as "trailingstop2"
//graphonprice priceexit3 coloured(0,0,255,255) as "trailingstop3"
endif
endif
// break even stop
if enablebe then
if not onmarket then
newsl=0
endif
if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
newsl=0
endif
if longonmarket then
if close-tradeprice(1)>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then
newsl=tradeprice(1)+(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize
endif
endif
if shortonmarket then
if tradeprice(1)-close>=(((tradeprice(1)/100)*besg)/(underlaying/100))*pointsize then
newsl=tradeprice(1)-(((tradeprice(1)/100)*besl)/(underlaying/100))*pointsize
endif
endif
if longonmarket and newsl>0 then
sell at newsl stop
endif
if shortonmarket and newsl>0 then
exitshort at newsl stop
endif
if displaybe then
//graphonprice newsl coloured(244,102,27,255) as "breakevenstop"
endif
endif
// set stoploss
if enablesl then
if not onmarket then
sloss=0
elsif longonmarket then
sloss=tradeprice(1)-((tradeprice(1)*sl)/underlaying)*pointsize
elsif shortonmarket then
sloss=tradeprice(1)+((tradeprice(1)*sl)/underlaying)*pointsize
endif
set stop %loss sl
if displaysl then
//graphonprice sloss coloured(255,0,0,255) as "stoploss"
sloss=sloss
endif
endif
// to display profittarget
if enablept then
if not onmarket then
ptarget=0
elsif longonmarket then
ptarget=tradeprice(1)+((tradeprice(1)*pt)/underlaying)*pointsize
elsif shortonmarket then
ptarget=tradeprice(1)-((tradeprice(1)*pt)/underlaying)*pointsize
endif
set target %profit pt
if displaypt then
//graphonprice ptarget coloured(121,141,35,255) as "profittarget"
ptarget=ptarget
endif
endif
// exit at closetime
if onmarket then
if time >= closetime or (currentdayofweek=5 and time>=fridayclosetime) then
sell at open stop
exitshort at open stop
endif
endif
//timeexit
if timeexit then
if (hour=14 and minute=00) and pp>0 then
sell at market
exitshort at market
elsif hour=23 then
sell at market
exitshort at market
endif
endif
if onmarket then
if currentdayofweek=5 and time=fridayclosetime then
sell at market
exitshort at market
endif
endif
// display days in market
if displaydim then
if not onmarket then
dim=0
endif
if (onmarket and not onmarket[1]) or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then
dim=1
endif
if not (dayofweek=1 and hour = 1) then
if onmarket then
if openday <> openday[1] then
dim = dim + 1
endif
endif
endif
//graph dim coloured(121,141,35,255) as "days in market"
endif
if displaypp then
//graph pp coloured(0,0,0,255) as "positionperformance"
endif
//for trading all graph & graphonprice have to be comment out
//for backtesting and to have a visual idea of exits or pp
//uncomment and set displaysl and/or displaypt and/or displayts to 1
//maximum of 5 can be used to display lines (graph & graphonprice combined)
