Setting highest of several bars

• 04/12/2020 at 5:02 AM #125747
  Jabezz

  One of the example systems in the PRT manual uses simple 2 bar breakout by setting the high and low of the first two bars of a trading day. How would I change that to using the first 4 bars from the given start time? Any help would be greatly appreciated as my programming skills are still very basic!

  The relevant part of the code from their manual is as follows (itf is attached):

  2 bar breakout

  DEFPARAM PreLoadBars = 0 // The position is closed at 9:45 p.m., local market time (France). DEFPARAM FlatAfter = 234500 // No new position is taken after the candlestick that closes 5:15 p.m. LimitEntryTime = 201500 // The market analysis strats at the 15-minute candlestick which closes at 9:30 a.m. StartTime = 133000 // Some holidays such as the 24th and 31st of December are excluded IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day =31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables which can be adapted based on your preferences PositionSize = 1 AmplitudeMax = 58 AmplitudeMin = 11 OrderDistance = 4 MinPercent = 30 // We initialize this variable once at the beginning of the trading system. ONCE StartTradingDay = -1 // The variables which can change during the day are initialized // at the beginning of each new trading day. IF (Time <= StartTime AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyLevel = 0 SellLevel = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartTime AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the index of the first bar of the trading day IndexStartDay = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitEntryTime THEN // For each trading day, the highest and lowest price of the instrument // are recorded every 15 minutes since StartTime // until the buy and sell levels can be defined IF BuyLevel = 0 OR SellLevel = 0 THEN UpperLevel = Highest[IntradayBarIndex - IndexStartDay + 1](High) LowerLevel = Lowest [IntradayBarIndex - IndexStartDay + 1](Low) // Calculation of the difference between the highest // and lowest price of the instrument since StartTime DayDistance = UpperLevel - LowerLevel // Calculation of the minimum distance between the upper level and lower level // to consider a breakout of the upper or lower level to be significant MinDistance = DayDistance * MinPercent / 100 // Calculation of the buy and sell levels for the day if the conditions are met IF DayDistance <= AmplitudeMax THEN IF SellLevel = 0 AND (Close - LowerLevel) >= MinDistance THEN SellLevel = LowerLevel + OrderDistance ENDIF IF BuyLevel = 0 AND (UpperLevel - Close) >= MinDistance THEN BuyLevel = UpperLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of buy and sell short orders for the day if the conditions are met IF SellLevel > 0 AND BuyLevel > 0 AND (BuyLevel - SellLevel) >= AmplitudeMin THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyLevel STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellLevel STOP ENDIF ENDIF ENDIF ENDIF

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  DEFPARAM PreLoadBars = 0 // The position is closed at 9:45 p.m., local market time (France). DEFPARAM FlatAfter = 234500 // No new position is taken after the candlestick that closes 5:15 p.m. LimitEntryTime = 201500 // The market analysis strats at the 15-minute candlestick which closes at 9:30 a.m. StartTime = 133000 // Some holidays such as the 24th and 31st of December are excluded IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day =31)) THEN TradingDay = 0 ELSE TradingDay = 1 ENDIF // Variables which can be adapted based on your preferences PositionSize = 1 AmplitudeMax = 58 AmplitudeMin = 11 OrderDistance = 4 MinPercent = 30 // We initialize this variable once at the beginning of the trading system. ONCE StartTradingDay = -1 // The variables which can change during the day are initialized // at the beginning of each new trading day. IF (Time <= StartTime AND StartTradingDay <> 0) OR IntradayBarIndex = 0 THEN BuyLevel = 0 SellLevel = 0 BuyPosition = 0 SellPosition = 0 StartTradingDay = 0 ELSIF Time >= StartTime AND StartTradingDay = 0 AND TradingDay = 1 THEN // We store the index of the first bar of the trading day IndexStartDay = IntradayBarIndex StartTradingDay = 1 ELSIF StartTradingDay = 1 AND Time <= LimitEntryTime THEN // For each trading day, the highest and lowest price of the instrument // are recorded every 15 minutes since StartTime // until the buy and sell levels can be defined IF BuyLevel = 0 OR SellLevel = 0 THEN UpperLevel = Highest[IntradayBarIndex - IndexStartDay + 1](High) LowerLevel = Lowest [IntradayBarIndex - IndexStartDay + 1](Low) // Calculation of the difference between the highest // and lowest price of the instrument since StartTime DayDistance = UpperLevel - LowerLevel // Calculation of the minimum distance between the upper level and lower level // to consider a breakout of the upper or lower level to be significant MinDistance = DayDistance * MinPercent / 100 // Calculation of the buy and sell levels for the day if the conditions are met IF DayDistance <= AmplitudeMax THEN IF SellLevel = 0 AND (Close - LowerLevel) >= MinDistance THEN SellLevel = LowerLevel + OrderDistance ENDIF IF BuyLevel = 0 AND (UpperLevel - Close) >= MinDistance THEN BuyLevel = UpperLevel - OrderDistance ENDIF ENDIF ENDIF // Creation of buy and sell short orders for the day if the conditions are met IF SellLevel > 0 AND BuyLevel > 0 AND (BuyLevel - SellLevel) >= AmplitudeMin THEN IF BuyPosition = 0 THEN IF LongOnMarket THEN BuyPosition = 1 ELSE BUY PositionSize CONTRACT AT BuyLevel STOP ENDIF ENDIF IF SellPosition = 0 THEN IF ShortOnMarket THEN SellPosition = 1 ELSE SELLSHORT PositionSize CONTRACT AT SellLevel STOP ENDIF ENDIF ENDIF ENDIF

   

  

  Jabezz

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  04/12/2020 at 8:58 AM #125752
  robertogozzi

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