SP500 | 3H

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  • #113776 quote
    alexinvestgroup
    Participant
    New
    // Spread 0,4 Points
    
    // 3 hours
    
    // Talos Trading
    
    // Definition of code parameters
    DEFPARAM CumulateOrders = False // Cumulating positions deactivated
    // The system will cancel all pending orders and close all positions at 0:00. No new ones will be allowed until after the "FLATBEFORE" time.
    DEFPARAM FLATBEFORE = 153000
    // Cancel all pending orders and close all positions at the "FLATAFTER" time
    DEFPARAM FLATAFTER = 220000
    // Prevents the system from creating new orders to enter the market or increase position size before the specified time
    noEntryBeforeTime = 153000
    timeEnterBefore = time >= noEntryBeforeTime
    // Prevents the system from placing new orders to enter the market or increase position size after the specified time
    noEntryAfterTime = 215500
    timeEnterAfter = time < noEntryAfterTime
    // Prevents the system from placing new orders on specified days of the week
    daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0
    // Conditions to enter long positions
    indicator = RSI[14](Open)
    c1 = (indicator CROSSES OVER 24.5)
    c2 = (indicator CROSSES OVER 24)
    c3 = (indicator CROSSES OVER 23)
    c4 = (indicator CROSSES OVER 22)
    c5 = (indicator CROSSES OVER 21)
    c6 = (indicator CROSSES OVER 21.5)
    c7 = (indicator CROSSES OVER 23.5)
    c8 = (indicator CROSSES OVER 22.5)
    c9 = (indicator CROSSES OVER 29)
    c10 = (indicator CROSSES OVER 28)
    c11 = (indicator CROSSES OVER 27)
    c12 = (indicator CROSSES OVER 26.5)
    c13 = (indicator CROSSES OVER 26)
    c14 = (indicator CROSSES OVER 25.5)
    c15 = (indicator CROSSES OVER 20.5)
    c16 = (indicator CROSSES OVER 20)
    IF (c1 OR c2 OR c3 OR c4 OR c5 OR c6 OR c7 OR c8 OR c9 OR c10 OR c11 OR c12 OR c13 OR c14 OR c15 OR c16) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
    BUY 15 CONTRACT AT MARKET
    ENDIF
    // Conditions to exit long positions
    indicator17 = RSI[14](close)
    c17 = (indicator17 CROSSES UNDER 55)
    indicator18 = Stochastic[14,3](close)
    c18 = (indicator18 >= 90)
    IF c17 OR c18 THEN
    SELL AT MARKET
    ENDIF
    // Conditions to enter short positions
    c22 = (indicator >= 82.5)
    c23 = (indicator >= 83.5)
    IF (c22 OR c23 OR c25) AND timeEnterBefore AND timeEnterAfter AND not daysForbiddenEntry THEN
    SELLSHORT 15 CONTRACT AT MARKET
    ENDIF
    // Conditions to exit short positions
    indicator24 = Stochastic[14,3](close)
    c24 = (indicator24 <= 20)
    indicator25 = Stochastic[14,3](close)
    c25 = (indicator25 >= 45)
    IF c24 AND c25 THEN
    EXITSHORT AT MARKET
    ENDIF
    // Stops and targets
    SET STOP pTRAILING 4
    SET TARGET pPROFIT 10
    algo-1574884577lpc84.jpg algo-1574884577lpc84.jpg algo2.jpg algo2.jpg
    #113818 quote
    Nicolas
    Keymaster
    Master

    Hi, thanks for sharing that code, but could you give more details about it? How are the results?

    #113912 quote
    alexinvestgroup
    Participant
    New

    Hi Nicolas, thanks a lot for a magical site.

     

    I have attached the result.

     

    Please let me know if you need some more info.

    algo.jpg algo.jpg
    #113917 quote
    Nicolas
    Keymaster
    Master

    In fact, i’m not sure about the “SET STOP pTRAILING 4″, the behavior in backtests and real time might differ a lot. You should use one of the trailing stop code available in the website. 0.4 spread point, are you sure?

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SP500 | 3H


ProOrder: Automated Strategies & Backtesting

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This topic contains 3 replies,
has 2 voices, and was last updated by Nicolas
6 years, 3 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/28/2019
Status: Active
Attachments: 1 files
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