SISTEMA DELLE TRE CANDELE CONSECUTIVE

• 05/28/2019 at 11:16 AM #99582
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  buongiorno a tutti

  se possibile avere un sistema automatico che apra e chiuda posizioni dopo 3 candele consecutive dello stesso colore, cioè:

  long dopo 3 candele rosse consecutive con minimi crescenti e  stop loss, da definire, sotto il minimo dell’ultima candela

  short dopo 3 candele verdi consecutive con massimi crescenti e stop loss, da definire, sopra il massimo dell’ultima candela.

  il TF lo si sceglie come si vuole.

  Grazie per la vostra gentile collaborazione

   

  

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  05/28/2019 at 11:43 AM #99585
  robertogozzi

  Quelle rosse con MINIMI CRESCENTI  o decrescenti?

   

  

  robertogozzi

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  05/28/2019 at 11:49 AM #99586
  robertogozzi

  Per la chiusura attende che si verifichino le condizioni opposte, se entra dopo 3 candele ROSSE esce quando ve ne saranno 3 VERDI e viceversa?

  

  robertogozzi

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  05/28/2019 at 12:29 PM #99587
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  chiedo scusa

  con 3 minimi decrescenti

  

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  05/28/2019 at 12:34 PM #99588
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  no, per la chiusura del trade pensavo a un trailing stop che ho trovato in bibblioteca

  da ottimizzare assieme allo stop loss

  Grazie

  set stop ploss X //trailing stop trailingstop = Y //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

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  set stop ploss X //trailing stop trailingstop = Y //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  

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  05/28/2019 at 3:26 PM #99607
  robertogozzi

  Eccola:

  ONCE CandleNum = 3 Bullish = summation[CandleNum](close > open) = CandleNum Bearish = summation[CandleNum](close < open) = CandleNum HigherHIGHs = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs = (summation[CandleNum - 1](low < low[1]) = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(10,(close - low) / pipsize) Tp = Sl * 3 ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(10,(high - close) / pipsize) Tp = Sl * 1.5 ENDIF SET STOP pLOSS Sl SET TARGET pPROFIT Tp

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  ONCE CandleNum = 3 Bullish        = summation[CandleNum](close > open) = CandleNum Bearish        = summation[CandleNum](close < open) = CandleNum HigherHIGHs    = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs      = (summation[CandleNum - 1](low < low[1])   = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN    BUY 1 CONTRACT AT MARKET    Sl = max(10,(close - low) / pipsize)    Tp = Sl * 3 ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN    SELLSHORT 1 CONTRACT AT MARKET    Sl = max(10,(high - close) / pipsize)    Tp = Sl * 1.5 ENDIF SET STOP   pLOSS   Sl SET TARGET pPROFIT Tp

  Alle righe 8 e 13 ho messo la funzione MAX con un numero di pips minimi (tu metti la cifra che vuoi), perché può capitare che CLOSE possa essere uguale a LOW o HIGH, nel qual caso lo SL sarebbe = 0, come pure il TP, quindi entrerebbe a mercato SENZA più uscire, oppure uscendo in MARGIN CALL.

  In fondo bast che aggiungi il codice del trailing stop ed è fatta. Il TP puoi anche toglierlo, se vuoi.

   

  

  robertogozzi

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  05/30/2019 at 11:12 PM #99734
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  salve Roberto

  cortesemente puoi provarlo anche tu perchè mi sembra che qualcovsa non vada.

  Ho testato il sistema non a TF temporali, ma a quantita’ di TICKS, con candele da 50, 100, 200, ecc.

  e la posizione resta aperta per diverse candele successive sino a quando non scatta lo stop loss.

  Grazie

  ONCE CandleNum = 3 Bullish = summation[CandleNum](close > open) = CandleNum Bearish = summation[CandleNum](close < open) = CandleNum HigherHIGHs = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs = (summation[CandleNum - 1](low < low[1]) = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(X,(close - low) / pipsize) ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(X,(high - close) / pipsize) ENDIF SET STOP pLOSS Sl //trailing stop trailingstop = Y //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP 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

  ONCE CandleNum = 3 Bullish        = summation[CandleNum](close > open) = CandleNum Bearish        = summation[CandleNum](close < open) = CandleNum HigherHIGHs    = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs      = (summation[CandleNum - 1](low < low[1])   = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(X,(close - low) / pipsize)   ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(X,(high - close) / pipsize)   ENDIF SET STOP   pLOSS   Sl   //trailing stop trailingstop = Y //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  

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  05/30/2019 at 11:23 PM #99735
  robertogozzi

  Certo, non hai messo nessun Target Profit!

  

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  07/16/2019 at 9:37 AM #102649
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  cand cons TP SL TLS

  ONCE CandleNum = C Bullish = summation[CandleNum](close > open) = CandleNum Bearish = summation[CandleNum](close < open) = CandleNum HigherHIGHs = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs = (summation[CandleNum - 1](low < low[1]) = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(S,(close - low) / pipsize) Tp = Sl * M ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(S,(high - close) / pipsize) Tp = Sl * M ENDIF SET STOP pLOSS Sl SET TARGET pPROFIT Tp //trailing stop trailingstop = T //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP 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

  ONCE CandleNum = C Bullish        = summation[CandleNum](close > open) = CandleNum Bearish        = summation[CandleNum](close < open) = CandleNum HigherHIGHs    = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs      = (summation[CandleNum - 1](low < low[1])   = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(S,(close - low) / pipsize) Tp = Sl * M ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(S,(high - close) / pipsize) Tp = Sl * M ENDIF SET STOP   pLOSS   Sl SET TARGET pPROFIT Tp //trailing stop trailingstop = T //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

  ciao Roberto

  il TS finale, secondo me

  da ottimizzare le variabili

  C  da 1  a 5  passo 1

  S  da 5 a 200  passo 5

  M  da 1  a  5  passo 1

  T  da 1 a 10 passo 1,  oppure da 5 a 50 passo 5, oppure da 10 a 100 passo 10, ecc.

  Mi dai un tuo parere?

  Grazie

   

  

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  07/16/2019 at 10:55 AM #102657
  robertogozzi

  Devi dirmi indicarmi te i valori per te ottimali, purtroppo non ho il tempo per fare prove di ottimizzazione.

  

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  07/22/2019 at 10:18 AM #103095
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  buongiorno, ciao Roberto

  una domanda da neofita:

  dopo l’ottimizzazione si attiva subito il TS?
  oppure si deve aspettare la chiusura della posizione ancora aperta nella simulazione?
  mi spiego meglio:
  ottimizzate le variabili del TS inserisco i valori e se non ci sono posizioni aperte attivo il TS, ma se c’è una posizione aperta devo attendere che si chiuda?
  Secondo me, se attivo con posizione aperta, viene compromesso il risultato finale, perchè non conforme con lo storico parziale esaminato, da inizio a fine periodo preso in esame.

  Forse bisogna inserire una riga o piu’ di codice, affinche’ il TS si attivi in automatico dopo la chiusura del trade precedente?
  Grazie

   

  

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  07/22/2019 at 11:44 AM #103098
  robertogozzi

  Se per attivare intendi esguire la strategia non in backtest, ma realmente (su conto demo o reale) puoi eseguirla quando vuoi, basta che la esegui con ProOrder in autotrading. Le due cose possono coesistere, anzi, puoi tenere anche più strategie aperte contemporaneamente in backtest.

  Ad ogni modo interrompare il backtest non falsa niente, quando vuoi lo fai ripartire ed ottieni gli stessi risultati (salvo nel frattempo siano scomparse entrate vecchie ed apparse quelle nuove). Ogni backtest può sempre essere falsato, perché tra dieci giorni, come ho detto, alcune delle prime operazioni possono essere scomparse ed altre nuove apparse.

  Lo scopo del backtest è darti l’idea della bontà, o meno, della strategia, non sostituire esattamente quello che accade nella realtà.

   

  

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  08/18/2019 at 7:34 PM #105022
  Alessandro

  Mini dax 1 minuto

  ONCE CandleNum = 4 Bullish = summation[CandleNum](close > open) = CandleNum Bearish = summation[CandleNum](close < open) = CandleNum HigherHIGHs = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs = (summation[CandleNum - 1](low < low[1]) = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(20,(close - low) / pipsize) Tp = Sl * 3 ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(20,(high - close) / pipsize) Tp = Sl * 3 ENDIF SET STOP pLOSS Sl SET TARGET pPROFIT Tp //trailing stop trailingstop = 10 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP 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

  ONCE CandleNum = 4 Bullish        = summation[CandleNum](close > open) = CandleNum Bearish        = summation[CandleNum](close < open) = CandleNum HigherHIGHs    = (summation[CandleNum - 1](high > high[1]) = (CandleNum - 1)) LowerLOWs      = (summation[CandleNum - 1](low < low[1])   = (CandleNum - 1)) IF Bearish AND LowerLOWs AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET Sl = max(20,(close - low) / pipsize) Tp = Sl * 3 ENDIF IF Bullish AND HigherHIGHs AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET Sl = max(20,(high - close) / pipsize) Tp = Sl * 3 ENDIF SET STOP   pLOSS   Sl SET TARGET pPROFIT Tp //trailing stop trailingstop = 10 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif

   

  Innanziutto grazie peril codice.Ho provato a inserire le variabili usando un timeframe a 1 minuto ma analizzando il grafico ho notato e non ho capito alcune cose

  Nello screen 1 c’è una mancata entrata short con discesa di 45 pips e una mancata entrata long di circa 80 pips e addirittura una entrata short durante la fase rialzista.

  Nello screen 2 un’entrata short in ritardo e un’entrata short nella fase rialzista.

  Nello screen 3 una mancata entrata long mancata entrata short e un’entrata long nella fase ribassista.

  Qualcuno mi può gentilmente aiutare a correggere questo codice ? mi interessa molto

  Grazie

  

  Alessandro

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  08/18/2019 at 11:36 PM #105037
  robertogozzi

  Per verificare le operazioni serve la data e l’ora della candela d’entrata.

  

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  08/19/2019 at 7:18 AM #105040
  Alessandro

  Questo è il rimo screenshoot con gli orari

  

  Alessandro

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