Hello Community,
with ProQuant shutdown I wanted to try atleast one of my strategies on a new platform. Sadly my skills are not good enough for programming it myself. Maybe someone can take a look at it and help me out?
Thanks a lot
Revosh
Please describe the strategy the best you can, and I will translate the code you provided.
Hello Nicolas,
thank you for your response. I use the strategy on the daily GBPUSD. Its based on three indicators as you can see in the code. Its a rahter “slow” strategy with entrys only every 1-2 months. I backtested it for 6 months on ProQuant with good results. I just realised there is no SL in the code I gave you. If I remember correctly it had a fixed SL with a 7 % SLI (stop loss impact).
ProQuant had a simple system which entered a position when the entry rules where met. It was based on the long entry rules and simply mirrored it in the opposit for short entrys.
I hope this is enough information for you. If not or you need anything specific, feel free to aks again.
Thank you very much!
Here is the translated code:
wpr = Williams[6](close)
imacd = MACDline[3,16,4](close)
imacdSignal = MACDSignal[3,16,4](close)
stdDev = std[21]
vol=volume
//Rules/triggers
longEntryRule = wpr > -43
longEntryRule2 = imacd crosses over imacdsignal
longEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev)
shortEntryRule = wpr < -57
shortEntryRule2 = imacd crosses under imacdsignal
shortEntryRule3 = stddev>stddev[1] and stddev[1]<stddev[2]//ChangesDirectionUpwards(stdDev)
longExitRule = vol>vol[1] and vol[1]<vol[2]//ChangesDirectionUpwards(volume)
shortExitRule = vol<vol[1] and vol[1]>vol[2]//ChangesDirectionUpwards(volume)
//Signals
if longEntryRule and longEntryRule2 and longEntryRule3 then
buy at market
endif
if shortEntryRule and shortEntryRule2 and shortEntryRule3 then
sellshort at market
endif
if longExitRule then
sell at market
endif
if shortExitRule then
exitshort at market
endif
set stop %loss 7
