Simple Moving Average Crossover Strategy

• 03/30/2022 at 7:31 PM #190799
  phoentzs

  Price distance can be set at 2 points with SP500 with a clear conscience.

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/30/2022 at 7:48 PM #190800
  MauroPro

  There are different versions of Roberto’s Trp. I used the version on page 4 (rif: 165976): https://www.prorealcode.com/topic/breakeeven-trailing-profit/page/4/

  Roberto, is there a better one for this TS?

   

  

  MauroPro

  Participant

  Topics: 53

  Replies: 450

  Been thanked: 89 times
  03/30/2022 at 9:29 PM #190811
  phoentzs

  Is there a reason why you define TP and SL outside of the if block? Is this better from the encoding or just a coding style?

   

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/30/2022 at 9:56 PM #190812
  nonetheless

  looks interesting, thanks for sharing.

  I tried reworking it on 1m bars but it’s fairly dead before 2018, so here’s a quick treatment on a 5 year backtest. Attached are results for yours and Mauro’s for that same period and you can see that they’re curve-fit to 200k

  SP 5m T4 Multi v4.1 is with Roberto’s trail, but I didn’t change any of the values from Mauro’s version, so that could be worth playing with.

  More room for improvement, I’m sure

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  03/30/2022 at 9:57 PM #190817
  nonetheless

  itfs

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  03/30/2022 at 9:58 PM #190820
  MauroPro

  It’s just a coding style, I think the code remains cleaner.

  

  MauroPro

  Participant

  Topics: 53

  Replies: 450

  Been thanked: 89 times
  03/30/2022 at 10:12 PM #190821
  nonetheless

  here’s the code for mine, so you can see the changes

  //30.03.2022 200000k //US500 M5 Spread 0.6 //UK Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false possize = 5 //Tradetime //UK time h1 = 143000 h2 = 220000 //Euro time //h1 = 153000 //h2 = 230000 //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 timeframe(8 hour) ma = average[a1,t1](typicalprice) cb1 = ma > ma[1] mb = average[a2,t2](typicalprice) cs1 = mb < mb[1] timeframe(15 minutes) MA1 = average[x1,t3](typicalprice) MA2 = average[x2,t3](typicalprice) MA4 = average[x5,t5](typicalprice) MA5 = average[x6,t5](typicalprice) cb2 = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] cs2 = MA4 < MA5 //and MA5 < MA5[1] timeframe(default)//M5 MAL1 = average[a7,t7](typicalprice) MAL2 = average[a8,t7](typicalprice) //15 cb3 = MAL1 crosses over MAL2 cs3 = MAL1 crosses under MAL2 long = cb1 and cb2 and cb3 //and RangelongD20 short = cs1 and cs2 and cs3 //and RangeshortD20 // position management IF Tradetime THEN If long then //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif If longonmarket and cs1 then sell at market endif If shortonmarket and cb1 then exitshort at market endif ////////////////////////////////////////

  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

  //30.03.2022  200000k //US500 M5 Spread 0.6 //UK Time   defparam preloadbars = 10000 defparam CUMULATEORDERS = false     possize = 5   //Tradetime //UK time h1 = 143000 h2 = 220000   //Euro time //h1 = 153000 //h2 = 230000       //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   timeframe(8 hour) ma = average[a1,t1](typicalprice) cb1 = ma > ma[1] mb = average[a2,t2](typicalprice) cs1 =  mb < mb[1]     timeframe(15 minutes) MA1 = average[x1,t3](typicalprice) MA2 = average[x2,t3](typicalprice)   MA4 = average[x5,t5](typicalprice) MA5 = average[x6,t5](typicalprice)   cb2  = MA1 > MA2 //and MA2 > MA3 //and MA2 > MA2[1] cs2 = MA4 < MA5 //and MA5 < MA5[1]         timeframe(default)//M5 MAL1 = average[a7,t7](typicalprice) MAL2 = average[a8,t7](typicalprice) //15 cb3  = MAL1 crosses over MAL2 cs3 = MAL1 crosses under MAL2     long   =   cb1 and cb2 and cb3     //and RangelongD20 short  =   cs1 and cs2 and cs3  //and RangeshortD20       // position management IF Tradetime THEN If long then                           //not onmarket and BUY possize CONTRACT AT market SET STOP %LOSS hl SET TARGET %PROFIT gl EndIf   If short then sellshort possize CONTRACT AT market SET STOP %LOSS hs SET TARGET %PROFIT gs EndIf endif     If longonmarket and cs1 then sell at market endif   If shortonmarket and cb1 then exitshort at market endif     ////////////////////////////////////////

   

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  03/30/2022 at 10:18 PM #190822
  phoentzs

  Thank you for your work. I’ll compare in peace. But it is interesting to see that a suitable system is created with simple indicators without much magic. I think the “problem” with the Roberto Trail is that it uses points instead of percent. I suspect. And that before 2018 the S&P500 was worth half what it is today. Of course, the fluctuations were much smaller than today. 

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/30/2022 at 10:28 PM #190823
  nonetheless

  phoentzs wrote:

  the Roberto Trail is that it uses points instead of percent

  this version has a % option:

  //RGTS2 ONCE RGTS2 = 1 if RGTS2 then ONCE UseCLOSE = 0 //1=use CLOSE, 0=use High/Low srcH = close //defaults to CLOSE srcL = close //defaults to CLOSE IF UseCLOSE = 0 THEN srcH = high srcL = low ENDIF ONCE UsePerCentage = 1 //0=use Pips (default), 1=use Percentages ONCE UseEquity = 0 //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity) MyEquity = 0 DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCent = pc //0.25 = 0.25% to start triggering Trailing Stop (when UsePerCentage=1) StartPerCentShort = pcs StepPerCent = spc //50 = 50% (of the 0.25% above) as a Trailing Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) // TrailStart = 30 //30 Start trailing profits from this point (when UsePerCentage=0) MinStart = 10 //10 Minimum value for TrailStart (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative) IF UsePerCentage THEN TrailStart = (close / PipSize) * StartPerCent / 100 //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 IF UseEquity THEN //alternative calculations using EQUITY TrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100) //MyEquity is the variable (feel free to use a different name) retaining your current equity ENDIF ENDIF // BasePerCent = bpc //0.08 - 0.2 Profit percentage to keep when setting BerakEven // StepSize = ss //5 - 15 Pip chunks to increase Percentage IF UsePerCentage THEN StepSize = TrailStart * StepPerCent / 100 ENDIF // PerCentInc = pci //0.06 - 0.14 PerCent increment after each StepSize chunk RoundTO = rnd //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = IG * pipsize //IG minimum distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value //PositionCount = 0 SellPrice = 0 SellPriceX = 0 ExitPrice = 9999999 ExitPriceX = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1 = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1 = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent) //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (srcH - PositionPrice) / 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 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 srcL < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - srcL) / pipsize //convert price to pips IF x2 >= TrailStartShort THEN // go ahead only if N+ pips Diff2 = abs(TrailStartShort - 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 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 //------------------------------------------------------------------------------ // manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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 ENDIF

  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

  //RGTS2 ONCE RGTS2 = 1 if RGTS2 then   ONCE UseCLOSE = 0                        //1=use CLOSE,  0=use High/Low srcH = close                                      //defaults to CLOSE srcL = close                                      //defaults to CLOSE IF UseCLOSE = 0 THEN srcH = high srcL = low ENDIF ONCE UsePerCentage = 1                            //0=use Pips  (default), 1=use Percentages ONCE UseEquity     = 0                            //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity) MyEquity = 0 DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)  //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCent  = pc //0.25  = 0.25%  to start triggering Trailing Stop       (when UsePerCentage=1) StartPerCentShort  = pcs StepPerCent   = spc //50  = 50%    (of the 0.25% above) as a Trailing Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) // TrailStart    = 30          //30     Start trailing profits from this point  (when UsePerCentage=0) MinStart      = 10          //10     Minimum value for TrailStart            (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative) IF UsePerCentage THEN TrailStart = (close / PipSize) * StartPerCent / 100    //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 IF UseEquity THEN                                             //alternative calculations using EQUITY TrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100)  //MyEquity is the variable (feel free to use a different name) retaining your current equity ENDIF ENDIF // BasePerCent   = bpc //0.08 - 0.2  Profit percentage to keep when setting BerakEven // StepSize      = ss //5 - 15     Pip chunks to increase Percentage IF UsePerCentage THEN StepSize   = TrailStart * StepPerCent / 100 ENDIF // PerCentInc    = pci //0.06 - 0.14  PerCent increment after each StepSize chunk RoundTO       = rnd        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour PriceDistance = IG * pipsize //IG minimum distance from current price y1            = 0           //reset to 0 y2            = 0           //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value //PositionCount = 0 SellPrice     = 0 SellPriceX    = 0 ExitPrice     = 9999999 ExitPriceX    = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1         = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent)      //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice  = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1         = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent)      //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice  = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN                              //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (srcH - PositionPrice) / 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 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 srcL < (PositionPrice - (y2 * pipsize)) THEN                             //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - srcL) / pipsize                                     //convert price to pips IF x2 >= TrailStartShort THEN                                                //      go ahead only if N+ pips Diff2         = abs(TrailStartShort - 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 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 //------------------------------------------------------------------------------ //                    manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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 ENDIF

   

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  03/30/2022 at 11:33 PM #190824
  phoentzs

  Which do you prefer? This one (Robertos) or your own, which I also use? Both of which are by Roberto in terms of construction. 

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/31/2022 at 12:07 AM #190825
  nonetheless

  I mostly use this one (above) – has a few more options and usually gives better results. I added a separate TrailStartShort as it often helps to have different values there.

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  03/31/2022 at 12:19 AM #190826
  phoentzs

  I have found that separate trailing for long and short is important. But the steps must also be separate. Short trades usually have to be secured faster than long trades.

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/31/2022 at 9:43 AM #190839
  deletedaccount051022

  Thanks for sharing nonetheless

  Agree with you that % is better than fixed.  Given the change in index value over the last 2 years I tend to optimise over a more recent data set to have something more relevant going forwards.

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 97 times
  03/31/2022 at 12:53 PM #190855
  phoentzs

  I once again looked at my original version and installed lightweight filter …
  In the H4 time frame I installed a new noTrade-filter that should prevent the strategy enters a covered or oversold market. In addition, I added an entrance timer who should find out if there is a better price after the Ma-Cross.
  All small changes, but … more Profit, Smaller Drawdown.

  //31.03.2022 200000k //US500 M5 Spread 0.6 //German Time defparam preloadbars = 10000 defparam CUMULATEORDERS = false possize = 5 timeframe(4hour, updateonclose) myRSI = RSI[rs](close) noTradeL = myRSI > rso noTradeS = myRSI < rsu 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[t1] and longA and not noTradeL //and RangelongD20 short = RangeshortD5 and shortB[t2] and shortA and not noTradeS //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 //////////////////////////////////////////////////////////////

  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

  //31.03.2022  200000k //US500 M5 Spread 0.6 //German Time   defparam preloadbars = 10000 defparam CUMULATEORDERS = false     possize = 5   timeframe(4hour, updateonclose) myRSI = RSI[rs](close) noTradeL = myRSI > rso noTradeS = myRSI < rsu   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[t1] and longA and not noTradeL    //and RangelongD20 short  =   RangeshortD5 and shortB[t2] and shortA and not noTradeS  //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 //////////////////////////////////////////////////////////////

  1 user thanked author for this post.

  

  phoentzs

  Participant

  Topics: 84

  Replies: 919

  Been thanked: 172 times
  03/31/2022 at 2:04 PM #190862
  nonetheless

  I expect you’ve decided that you don’t really care what happened before your test period, but just in case you’re curious:

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
• Author
  Posts