set big line values automatically

• 12/02/2017 at 2:19 AM #54507
  Paul

  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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

  // 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

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/02/2017 at 10:32 AM #54516
  AutoStrategist

  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.

  1 2 3 4 5 6 7 8 9

  CurrentPrice = close AboveLevell0 = CurrentPrice mod 10 StartLevel = CurrentPrice - AboveLevell0   Level10Up = StartLevel + 10 Level20Up = StartLevel + 20 // etc.   Levell0Down = StartLevel - 10 Level20Down = StartLevel- 20 // etc.

   

  1 user thanked author for this post.

  Paul

  

  AutoStrategist

  Participant

  Topics: 6

  Replies: 125

  Been thanked: 71 times
  12/03/2017 at 1:33 AM #54579
  Paul

  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"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116

  //------------------------------------------------------------------------- // 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"

   

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/03/2017 at 10:11 AM #54585
  AutoStrategist

  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.

  

  AutoStrategist

  Participant

  Topics: 6

  Replies: 125

  Been thanked: 71 times
  12/03/2017 at 2:54 PM #54597
  Paul

  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.

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/04/2017 at 9:11 AM #54633
  Nicolas

  You could try to make the “CurrentPrice”, the last Close and see what happens:

  CurrentPrice = round(close)

  1	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.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4739 times
  12/05/2017 at 2:04 AM #54730
  Paul

  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

  1	l0= close crosses over Level00Up or close crosses over Level00Down

  Thanks for the tips!

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/05/2017 at 2:28 AM #54731
  Paul

  Here’s the complete strategy.

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  12/05/2017 at 7:53 AM #54735
  Nicolas

  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/

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4739 times
  12/05/2017 at 9:21 PM #54822
  noisette

  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

  Participant

  Topics: 6

  Replies: 61

  Been thanked: 17 times
  12/05/2017 at 10:03 PM #54826
  Nicolas

  @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

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4739 times
  12/05/2017 at 10:25 PM #54831
  noisette

  @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.

  

  noisette

  Participant

  Topics: 6

  Replies: 61

  Been thanked: 17 times
  12/06/2017 at 9:12 AM #54850
  Nicolas

  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

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20828

  Been thanked: 4739 times
  12/07/2017 at 8:31 AM #54940
  noisette

  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. 

   

   

   

   

   

  1 user thanked author for this post.

  Nicolas

  

  noisette

  Participant

  Topics: 6

  Replies: 61

  Been thanked: 17 times
  08/28/2019 at 3:27 PM #105751
  Paul

  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)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430

  //------------------------------------------------------------------------- // 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)

   

  1 user thanked author for this post.

  Nicolas

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
• Author
  Posts