Simple Moving Average Crossover Strategy
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Oh Yes There is a very good reason :’D , i did a mistake by replacing a lot of lines by what @nonetheless have gave me. Thanks for the notice.
Also i did remove the MM code.
If i correct that, the code will be : ( no spread, MM off, 2000 capital)// opt: 01/03/2022 //======================================================================= DEFPARAM CUMULATEORDERS = FALSE DEFPARAM preloadbars = 10000 //Money Management positionsize=1 //Tradetime //adjustment for American Daylight Savings time ADLS =1 if ADLS then DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=h1-10000 and time <h2-10000 elsif not DLS then Tradetime = time >=h1 and time <h2 endif endif if not ADLS then Tradetime = time >=h1 and time <h2 endif //Long Entry Filter Timeframe(4 hours) FMA1 = average[p,t](typicalprice) //FMA2 = average[p1,t](typicalprice) cb1 = FMA1 > FMA1[1] //cs1 = FMA1 < FMA2 Timeframe(15 minutes) M15 = average[p2,t2](typicalprice) cb2 = (close>m15) //cs2 = close<average[p2,t2](typicalprice) Timeframe(Default) //Long Entry Criteria MA1=average[p3,t3](typicalprice) MA2=average[p4,t3](typicalprice) cb3 = MA1 crosses over MA2 //cs3 = MA1 crosses under MA2 //Stochastic RSI | indicator lengthRSI = lr //RSI period lengthStoch = ls //Stochastic period smoothK = sk //Smooth signal of stochastic RSI smoothD = sd //Smooth signal of smoothed stochastic RSI myRSI = RSI[lengthRSI](close) MinRSI = lowest[lengthStoch](myrsi) MaxRSI = highest[lengthStoch](myrsi) StochRSI = (myRSI-MinRSI) / (MaxRSI-MinRSI) K = average[smoothK](stochrsi)*100 D = average[smoothD](K) cb4 = K>D // Conditions to enter long positions If Tradetime and cb1 and cb2 and cb3 and cb4 Then Buy PositionSize CONTRACTS AT MARKET ENDIF SET STOP %LOSS sl SET TARGET %PROFIT tp // Break even and trailing stop RTS IF Not OnMarket THEN // when NOT OnMarket reset values to default values ts = (tradeprice*pc)/100 // % trailing start TrailStart = ts //30 Start trailing profits from this point BasePerCent = base // 0.200 20.0% Profit percentage to keep when setting BerakEven StepSize = ss //10 Pip chunks to increase Percentage PerCentInc = pci // 0.100 10.0% PerCent increment after each StepSize chunk BarNumber = bn //10 Add further % so that trades don't keep running too long BarPerCent = bpc // 0.100 10% Add this additional percentage every BarNumber bars RoundTO = 0 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 4 * pipsize //IG minimun distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value TradeBar = BarIndex ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN // go ahead only if N+ pips Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF //---------------------------------------------------------------------------- //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF (longonmarket and barindex-tradeindex(1)>= b1 and positionperf>0) or (longonmarket and barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf>0) or (shortonmarket and barindex-tradeindex(1)>= 4000 and positionperf<0) then exitshort at market endif endif //---------------------------------------------------------------------------- RSIexit = 1 // in profit if RSIexit then myrsi2=rsi[r](close) if myrsi2<rl and barindex-tradeindex>1 and longonmarket and positionperf>0 then sell at market endif if myrsi2>70 and barindex-tradeindex>1 and shortonmarket and positionperf>0 then exitshort at market endif endif //---------------------------------------------------------------------------- DSD = 1 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 120000 or time >= 170000) then // 070000, 100000 openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = rok // 30 once tradeMin = tm // 1000 IF (time >= 120500) AND (time <= 120500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF once bollperiod = bp // 20 once bollMAType = 1 once s = 2 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF once trendPeriod = trp //80 once trendPeriodResume = tpr // 10 once trendGap = 4 once trendResumeGap = 4 if not onmarket then fullySupported = 0 fullyResisted = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF //Market resisted in wrong direction IF longonmarket AND fullyResisted = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisted = 1 ENDIF //Market pull back but continue to be resisted IF longonmarket AND fullyResisted = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF //Started real wrong direction once strongTrend = st // 60 once strongPeriod = sp // 4 once strongTrendGap = stg // 2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF endifI have some systems with only 55% win rate, but very high risk/reward, others with over 90% wins but risk/reward around .3 or so. Then I have one with the best of both worlds … but very few trades, maybe one per month. There’s always going to be a trade-off between these factors and I think the difference is largely psychological. Either can turn a profit in the long term, it depends on what you’re comfortable with.
A broker I had years ago liked to say, “No one ever went bankrupt by booking small gains” … and I guess that message stuck as I tend towards high win rate, even if the wins are small. This often means a low breakeven level and high SL that others may find makes them anxious. Personally it doesn’t bother me to carry a trade the wrong way for 1.6 or 1.8% knowing that 90% of the time it will turn around and close for a profit.
Attached is the first few weeks OOS for v4.1L, positionsize = 1
(nicely demonstrates one good thing about long-only systems: what you lose on the way down you will probably get back on the way up)
thanked this postHere is my humble contribution to an MA Cross system. I use SP500 here because most of my systems are based on it (many systems, little margin, little spread, portfolio building).
I solved it completely conventionally, with simple SMAs. The all-important trend seems to be the weekly trend. M15/SMA480 = D1/SMA5Here is the system, long/short combined. Maybe there is still room for improvement?
You always have a golden touch. Maybe you can take a look?
//30.03.2022 200000k //US500 M5 Spread 0.6 //German Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false possize = 5 timeframe(15minute, updateonclose) RangeMAD5 = average[480,0](close) //Wochentrend Daily MA5 RangelongD5 = close > RangeMAD5 RangeshortD5 = close < RangeMAD5 RangeMAD20 = average[1920,0](close) //"Monatstrend" Daily MA20 RangelongD20 = RangeMAD5 > RangeMAD20 RangeshortD20 = RangeMAD5 < RangeMAD20 MA1 = average[x1,0](close) MA2 = average[x2,0](close) //MA3 = average[x3,0](close) MA4 = average[x5,1](close) MA5 = average[x6,1](close) longA = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] shortA = MA4 < MA5 //and MA5 < MA5[1] MAL1 = average[5,0](close) MAL2 = average[15,0](close) //15 longB = MAL1 crosses over MAL2 shortB = MAL1 crosses under MAL2 timeframe(default)//M5 long = RangelongD5 and longB and longA //and RangelongD20 short = RangeshortD5 and shortB and shortA //and RangeshortD20 Exit1 = RangeshortD5 Exit2 = RangelongD5 // trading window ONCE BuyTime = 110000 ONCE SellTime = 213000 ONCE BuyTime2 = 150000 ONCE SellTime2 = 213000 // position management IF Time >= buyTime AND Time <= SellTime THEN If long then //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf endif IF Time >= buyTime2 AND Time <= SellTime2 THEN If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif If longonmarket and Exit1 then sell at market endif If shortonmarket and Exit2 then exitshort at market endif if time = 223000 then //223000 //sell at market exitshort at market endif if time = 225500 and dayofweek=5 then //225500 sell at market exitshort at market endif //////////////////////////////////////// // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong = startl // % trailingpercentshort = start // % once acceleratorlong = stepl // typically tst*0.1 once acceleratorshort= step // typically tss*0.1 ts2sensitivity = 2 // [1] close [2] high/low [3] low/high [4] typicalprice //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong then newsl = positionprice+trailingsteplong + 0.2 endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong then newsl = newsl+trailingsteplong endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort then newsl = positionprice-trailingstepshort endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort then newsl = newsl-trailingstepshort endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif //////////////////////////////////////////////////////////////This is the same version (rewritten)of Phoentzs [ T4 -Multi -SP500 -M5-V3] , with Roberto’trailing. The performance up to 200k is slighthly better, up to 100k is better (see image).
//TS MULTI SP500 v4 - CFD 1 euro - Spread 0.6 defparam CUMULATEORDERS = false positionSize = 5 //--------------------------------------------------------------------------------------- timeFrame(15 minute, updateOnClose) //15 minutes avgWeekly = average[480,0](close) //weekTrend Daily c1L = close > avgWeekly c1S = close < avgWeekly avg1 = average[15,0](close) avg2 = average[55,0](close) avg3 = average[14,1](close) avg4 = average[20,1](close) c2L = avg1 > avg2 //trend c2S = avg3 < avg4 avg5 = average[5,0](close) avg6 = average[15,0](close) c3L = avg5 crosses over avg6 //trigger c3S = avg5 crosses under avg6 //--------------------------------------------------------------------------------------- timeFrame(default) //5 minutes = DEFAULT cLong = c1L and c2L and c3L cShort = c1S and c2S and c3S cLongExit = c1S cShortExit = c1L //-------------------------------------------------------------------------------------- ONCE buyTime = 110000 ONCE sellTime = 213000 ONCE buyTimeShort = 150000 ONCE sellTimeShort = 213000 //-------------------------------------------------------------------------------------- if time >= buyTime and time <= sellTime then //LONG if cLong then buy positionSize contract at market endif endif if longOnMarket and cLongExit then sell at market endif //---------------------------- if time >= buyTimeShort and time <= sellTimeShort then //SHORT if cShort then sellshort positionSize contract at market endif endif if shortOnMarket and cShortExit then exitShort at market endif //---------------------------------------------------------------------------------------- if longOnMarket then //SL & TP set stop %loss 1.7 elsif shortOnMarket then set stop %loss 0.5 endif if longOnMarket then set target %profit 1 elsif shortOnMarket then set target %profit 1 endif //------------------------------------------------------------------------------------ if time = 223000 then //time Exit //sell at market exitshort at market endif if time = 225500 and dayofweek=5 then sell at market exitshort at market endif //-------------------------------------------------------------------------------------------- DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //TrP IF Not OnMarket OR DirectionSwitch THEN TrailStart = 40 // Start trailing profits PointToKeep = 0.2 // 20% Profit percentage to keep when setting BreakEven StepSize = 5 // Point to increase Percentage PerCentInc = 0.2 // 20% PerCent increment after each StepSize Chunk RoundTO = -0.6 //-0.5 rounds always to Lower integer, 0 defaults PRT behaviour PriceDistance = 6* pipsize //minimun distance from current price maxProfitL = 0 maxProfitS = 0 ProfitPerCent = PointToKeep //reset to desired default value SellPriceX = 0 SellPrice = 0 ExitPriceX = 9999999 ExitPrice = 9999999 ELSE IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN newSlL = PositionPrice + ((close - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),newSlL) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (maxProfitL * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN newSlS = PositionPrice - ((PositionPrice - close) * ProfitPerCent) ExitPriceX = min(min(ExitPriceX,ExitPrice),newSlS) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (maxProfitS * pipsize)) ENDIF ENDIF ENDIF //--------------------------------------------------------------------------------------------------------------------------------------------------- IF LongOnMarket AND close > (PositionPrice + (maxProfitL * pipsize)) THEN //LONG positions // compute the value of the Percentage of profits, if any, to lock in for LONG trades profitL = (close - PositionPrice) / pipsize //convert price to pips IF profitL >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - profitL) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = PointToKeep + (PointToKeep * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% maxProfitL = max(profitL * ProfitPerCent, maxProfitL) ENDIF ELSIF ShortOnMarket AND close < (PositionPrice - (maxProfitS * pipsize)) THEN //SHORT positions profitS = (PositionPrice - close) / pipsize IF profitS >= TrailStart THEN Diff2 = abs(TrailStart - profitS) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = PointToKeep + (PointToKeep * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) maxProfitS = max(profitS * ProfitPerCent, maxProfitL) ENDIF ENDIF //-------------------------------------------------------------------------------------------------------------------------------------------------------------- IF maxProfitL THEN //LONG positions - Place pending STOP order when maxProftiL > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (maxProfitL * pipsize)) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF maxProfitS THEN ExitPrice = min(ExitPrice,PositionPrice - (maxProfitS * pipsize)) //SHORT positions IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF //------------------------------------------------------------------------------------------------------------------------Purasangre and thanked this post
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| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/26/2022 |
| Status: | Active |
| Attachments: | 39 files |
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