Simple Moving Average Crossover Strategy

• 04/01/2022 at 3:40 PM #190990
  phoentzs

  I leave the sale on the Marketplace to the Swedes… 😉 Well, a little more than 1 trade a day, short ends every day and long on Friday at the latest. There are actually no long-term trades.

  

  phoentzs

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  04/01/2022 at 4:14 PM #190991
  monkeys nuts

  Good idea – think I’ll wait to pay for the Nordic version of this code posted here too  :)!

  

  monkeys nuts

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  04/03/2022 at 11:46 AM #191099
  MauroPro

  I have modified my previous version (v4) in order to reduce the DD. In this version (v5) the longterm average (480 weekly) has been replaced with two weighted averages and has been added a filter to avoid operations in a market with low volatility (image below : 100k)

  v5

  //TS MULTIAVERAGE SP500 v5 - CFD 1 euro - Spread 0.6 defparam CUMULATEORDERS = false positionSize = 5 //--------------------------------------------------------------------------------------- timeFrame(15 minute, updateOnClose) //TF 15 minutes c1L = close > average[500,2](close) c1S = close < average[450,2](close) avg1 = average[15,0](close) avg2 = average[55,0](close) avg3 = average[14,1](close) avg4 = average[20,1](close) c2L = avg1 > avg2 c2S = avg3 < avg4 avgTrigger = average[5,0](close) c3L = avgTrigger crosses over avg1 c3S = avgTrigger crosses under avg1 //--------------------------------------------------------------------------------------- timeFrame(default) //TF 5 minutes = DEFAULT //------------------------------------------------ period = 110 //low volatility filter (MauroPro) minLevel = 10 *pointsize amplitudeRange = highest[period](high)-lowest[period](low) cMinRange = amplitudeRange > minLevel //------------------------------------------------- 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 POSITION: TECHNICAL ENTRY if cLong and cMinRange then buy positionSize contract at market endif endif if longOnMarket and cLongExit then //LONG POSITION: TECHNICAL EXIT sell positionSize contract at market endif //---------------------------- if time >= buyTimeShort and time <= sellTimeShort then //SHORT POSITION: TECHNICAL ENTRY if cShort and cMinRange then sellshort positionSize contract at market endif endif if shortOnMarket and cShortExit then //SHORT POSITION: TECHNICAL EXIT exitShort positionSize contract at market endif //---------------------------------------------------------------------------------------- if longOnMarket then //SL & TP Exit 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 Exit (Gozzi 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 = -0.5 //-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 //------------------------------------------------------------------------------------------------------------------------

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  //TS MULTIAVERAGE SP500 v5 - CFD 1 euro - Spread 0.6 defparam CUMULATEORDERS = false positionSize = 5 //--------------------------------------------------------------------------------------- timeFrame(15 minute, updateOnClose)      //TF 15 minutes c1L  = close > average[500,2](close) c1S  = close < average[450,2](close)   avg1 = average[15,0](close) avg2 = average[55,0](close) avg3 = average[14,1](close) avg4 = average[20,1](close) c2L  = avg1 > avg2 c2S = avg3 < avg4   avgTrigger = average[5,0](close) c3L  = avgTrigger crosses over avg1 c3S = avgTrigger crosses under avg1 //--------------------------------------------------------------------------------------- timeFrame(default)                       //TF 5 minutes = DEFAULT //------------------------------------------------ period = 110               //low volatility filter (MauroPro) minLevel = 10 *pointsize amplitudeRange = highest[period](high)-lowest[period](low) cMinRange = amplitudeRange > minLevel //------------------------------------------------- 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 POSITION: TECHNICAL ENTRY if cLong and cMinRange then buy positionSize contract at market endif endif if longOnMarket and cLongExit then                                     //LONG POSITION: TECHNICAL EXIT sell positionSize contract at market endif //---------------------------- if time >= buyTimeShort and time <= sellTimeShort then                //SHORT POSITION: TECHNICAL ENTRY if cShort and cMinRange then sellshort positionSize contract at market endif endif if shortOnMarket and cShortExit then                                  //SHORT POSITION: TECHNICAL EXIT exitShort positionSize contract at market endif //---------------------------------------------------------------------------------------- if longOnMarket then                                      //SL & TP Exit 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 Exit (Gozzi 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       = -0.5       //-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 //------------------------------------------------------------------------------------------------------------------------

   

   

   

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  JohnScher, killerplatuze

  

  MauroPro

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  04/03/2022 at 11:50 AM #191100
  MauroPro

  100k backtest

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  killerplatuze, Midlanddave

  

  MauroPro

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  04/03/2022 at 5:38 PM #191110
  phoentzs

  @MauroPro

  Thank you. This is also a good option. I can see that this strategy structure seems to offer a lot of possibilities. The main filter is a bit slower, is that better? I’m not at the computer right now… could you please post the long/short split?

  

  phoentzs

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  04/04/2022 at 9:16 AM #191136
  MauroPro

  Here are the separate long and short parts of the TS.

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  phoentzs

  

  MauroPro

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  04/04/2022 at 9:56 AM #191140
  MauroPro

  Hi Phoentzs, the test was done with 4 contracts and not 5 as the original (I had  put four to better split the operations and I forgot to change the positionSize).

  I also have noticed that the system remains short for a very little time.

   

  

  MauroPro

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  04/04/2022 at 10:27 AM #191143
  phoentzs

  I had the feeling with my tests too. I think it’s because a fast trailing is responsible in the short. And not to forget, every evening shorts will be closed. I found that the index recovered overnight very often and then an open short position is not good.

  

  phoentzs

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  01/17/2023 at 9:01 AM #207535
  CRISRJ

  Hello,

  Sorry I ‘m new, and I try to back test this bot NAS -5- MA Cross-V3, and after the 15th of February 2022 none position, the Bot stop until today. Maybe somebody have a answer or maybe somebody can help me. In advance thank you.

  Regards

   

  Chris

  

  CRISRJ

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  01/17/2023 at 8:36 PM #207584
  GraHal

  It would be worth you trying one of the other Systems off the List – View All Attachments – at the top left of this page … see if you get the same limitations re dates etc?

  

  GraHal

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  01/17/2023 at 9:57 PM #207586
  phoentzs

  Oh, which one? 😉

  

  phoentzs

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  01/17/2023 at 10:14 PM #207587
  GraHal

  The one CRISRJ refers to is Attachment 5, so I’m suggestig he tries, maybe Attachment 15?

   

  

  GraHal

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  01/18/2023 at 2:25 PM #207622
  CRISRJ

  Dear GraHal,

  In first thanks a lot for your quick reply.

  To be honest I try all the systems but this bot is very good and he never took position (now more of one year) and I don’t understand why, I try to check the code and with my level I see nothing is the reason why I ask for the experts.

   

  Regards

  Cris

  

  CRISRJ

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  01/18/2023 at 4:44 PM #207635
  phoentzs

  Have you tried another bot? If yes, which one? The bot’s filters are designed for two things. Set the trend once and then keep the bot out of trouble and sideways phases. Maybe it’s because? There haven’t been many longer trends this year. But I can’t imagine that there was no trade at all. Maybe trading time? The bots are set to German time. Could you please post the relevant code?

  

  phoentzs

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  01/18/2023 at 5:03 PM #207640
  GraHal

  Here’s the code …

  CRISRJ is correct … no trades at all after 16 Feb 22!

  //================================================ // Code: NAS 5m MACross v3 // Version 3 // Index: NASDAQ // TF: 5 min // Spread: 1 // Date: 27/01/2022 // Notes: added Tradetime // changed SL, TP and Trailstart to percentage // 3 MTF levels, 4h, 15m, 5m // added max no. bars for any trade (EZT) // //================================================ DEFPARAM CUMULATEORDERS = FALSE DEFPARAM preloadbars = 10000 //MONEY MANAGEMENT II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 0.5 ENDIF if MM then MinSize = 0.5 // IG minimum position size allowed MaxSize = 2000 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 486 //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF //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 >=133000 and time <200000 elsif not DLS then Tradetime = time >=143000 and time <210000 endif endif if not ADLS then Tradetime = time >=143000 and time <210000 endif //Long Entry Filter Timeframe(4 hours) FMA1 = average[p,t](typicalprice) FMA2 = average[p1,t](typicalprice) cb1 = FMA1 > FMA2 //cs1 = FMA1 < FMA2 Timeframe(15 minutes) cb2 = close>average[p2,t2](typicalprice) //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 // Conditions to enter long positions If Tradetime and cb1 and cb2 and cb3 Then Buy PositionSize CONTRACTS AT MARKET ENDIF // Conditions to exit long positions //if longonmarket and positionperf>0 and cs3 then //sell at market //endif // Conditions to enter short positions //If close <= Lowest[Sbars](OPEN) then //Buy PositionSize CONTRACTS AT MARKET //ENDIF // Stops and targets //slvalue=close[1]/153*1.6 //graph slvalue // //tpvalue=close[1]/88*1.6 //graph tpvalue SET STOP %LOSS sl SET TARGET %PROFIT tp // Break even and trailing stop // https://www.prorealcode.com/topic/breakeeven-trailing-profit/ 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 = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 5 * 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

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  //================================================ //   Code:    NAS 5m MACross v3 //   Version  3 //   Index:   NASDAQ //   TF:      5 min //   Spread:  1 //   Date:    27/01/2022 //   Notes:   added Tradetime //            changed SL, TP and Trailstart to percentage //            3 MTF levels, 4h, 15m, 5m //            added max no. bars for any trade (EZT) // //================================================   DEFPARAM CUMULATEORDERS = FALSE DEFPARAM preloadbars = 10000 //MONEY MANAGEMENT II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 0.5 ENDIF if MM then MinSize = 0.5 // IG minimum position size allowed MaxSize = 2000 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 486 //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF   //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 >=133000 and time <200000 elsif not DLS then Tradetime = time >=143000 and time <210000 endif endif   if not ADLS then Tradetime = time >=143000 and time <210000 endif   //Long Entry Filter Timeframe(4 hours) FMA1 = average[p,t](typicalprice) FMA2 = average[p1,t](typicalprice) cb1 = FMA1 > FMA2 //cs1 = FMA1 < FMA2   Timeframe(15 minutes) cb2 = close>average[p2,t2](typicalprice) //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   // Conditions to enter long positions If Tradetime and cb1 and cb2 and cb3 Then Buy PositionSize CONTRACTS AT MARKET ENDIF   // Conditions to exit long positions //if longonmarket and positionperf>0 and cs3 then //sell at market //endif   // Conditions to enter short positions //If close <= Lowest[Sbars](OPEN) then //Buy PositionSize CONTRACTS AT MARKET //ENDIF   // Stops and targets //slvalue=close[1]/153*1.6 //graph slvalue // //tpvalue=close[1]/88*1.6 //graph tpvalue   SET STOP %LOSS sl SET TARGET %PROFIT tp   //  Break even and trailing stop //  https://www.prorealcode.com/topic/breakeeven-trailing-profit/ 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       = -0.5        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour PriceDistance = 5 * 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

   

  

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