Strategy Eur/Usd mini, how to reduce the maximum % drawdown?

• 12/19/2018 at 1:28 AM #87409
  robertogozzi

  I made an MTF version out of latest Vonasi’s version, by:

  • replacing empty line 5 with timeframe(Daily,UpdateOnClose)
  • replacing empty line 48 with timeframe(default)
  • appending Nicolas’ Trailing Stoip code
  • launching it form a 2-minute TF

  //Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 timeframe(Daily,UpdateOnClose) //Daily a = 2 //2 t = 2 //2 m = 1.8 //1.8 n=1 Atr = AverageTrueRange[14](close) //14 Atrs = 0.1 //0.1 x = average[A,3]((High+Low+close)/3) //3 b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket and close > s1e THEN SELL AT market//s1e limit if close > positionprice then//positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket and close < b1e THEN EXITSHORT AT market//b1e limit if close < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 45 //45 trailing will start @trailinstart points profit trailingstep = 15 //15 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  //Eur/Usd mini - 1D Capital Eur 500,00   DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 timeframe(Daily,UpdateOnClose) //Daily a = 2 //2 t = 2 //2 m = 1.8 //1.8   n=1 Atr = AverageTrueRange[14](close) //14 Atrs = 0.1 //0.1 x = average[A,3]((High+Low+close)/3) //3   b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low   // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF   // Condizioni per uscire da posizioni long If LongOnMarket and close > s1e THEN SELL AT market//s1e limit if close > positionprice then//positionprice then sell at market endif ENDIF   // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF   // Condizioni per uscire da posizioni short IF ShortOnMarket and close < b1e THEN EXITSHORT AT market//b1e limit if close < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 45 //45 trailing will start @trailinstart points profit trailingstep = 15 //15 trailing step to move the "stoploss"   //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF   //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  as from attached screenshot.

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  robertogozzi

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  12/19/2018 at 8:46 AM #87415
  coscar

  **** Google translator*******
  Thank you all for your contribution.
  In theory, the strategy should appeal to all markets with appropriate optimization, in fact I would like to create a diversified portfolio on this strategy.
  Roberto hrazie for your MTF code but are looking for a strategy that can betray in real and I think the MTF is not yet supported in real mode, or something has changed? Currently I use PRT of IG which has some limitation.

  

  coscar

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  12/19/2018 at 8:57 AM #87417
  Vonasi

  You are correct that MTF is still only in beta testing but we should all be using this opportunity to live forward test MTF strategies so that we are ready and confident in them when it finally gets put live. Also it helps PRT/IG find any bugs which can only benefit us too.

  Regarding your topic title and trying to reduce draw down. I personally think the draw down is already pretty low on your strategy and it will be difficult to improve on it without adding new conditions which will then just lead to less trades and less profit and increased chance of curve fitting. I usually have in my mind that every time that I add a condition that has a variable then I am multiplying the curve fitting probability by two. My theory is that if we keep it simple and it works then it is more likely to work going forward than a complicated strategy is.

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  Vonasi

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  12/19/2018 at 9:03 AM #87418
  coscar

  Thanks Vonasi
  in fact, my goal is to find a simple strategy that is stable.

  

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  12/19/2018 at 11:04 AM #87424
  robertogozzi

  Drawdown can be further reduced by applying the same strategy above to Heikin-Ashi candlesticks (still Nicolas’ trailing stop code uses regular japanese candlesticks).

  I tested it on regular EurUsd, rather than the mini one because I found out it is not just a simple math issue (it’s, or it should be, just a division by ten), because on the mini contract I’ve been reported more than 300 trades, almost all losing money. While there’s no difference when applied to DAX €25 and DAX €5, it’s the same behaviour, only multiplied/divided by 5!

  //Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 0 timeframe(Daily,UpdateOnClose) //Daily // HA definition if BarIndex > 1 then xClose = (open+close+low+high)/4 xOpen = (xOpen[1]+xClose[1])/2 haHigh = Max(xOpen, xClose) haLow = Min(xOpen, xClose) xHigh = Max(High,haHigh) xLow = Min(Low,haLow) else xClose = (open+close+low+high)/4 xOpen = (Open[1]+Close[1])/2 haHigh = Max(xOpen, xClose) haLow = Min(xOpen, xClose) xHigh = Max(High,haHigh) xLow = Min(Low,haLow) endif a = 2 //2 t = 2 //2 m = 1.8 //1.8 n=1 Atr = AverageTrueRange[14](xClose) //14 Atrs = 0.1 //0.1 x = average[A,0]((xHigh+xLow+xclose)/3) //4 b1e = ((t*x)-xhigh)+(ATR*ATRs) s1e = ((t*x)-xLow)-(ATR*ATRs) Hbop = (t*x)-(t*xLow)+xHigh Lbop = (t*x)-(t*xHigh)+xLow // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND xclose <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket and xclose > s1e THEN SELL AT market//s1e limit if xclose > positionprice then//positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND xclose >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket and xclose < b1e THEN EXITSHORT AT market//b1e limit if xclose < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 35 //35 trailing will start @trailinstart points profit trailingstep = 15 //15 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  //Eur/Usd mini - 1D Capital Eur 500,00 DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS    = 0 timeframe(Daily,UpdateOnClose) //Daily // HA definition if BarIndex > 1 then xClose  = (open+close+low+high)/4 xOpen   = (xOpen[1]+xClose[1])/2 haHigh  = Max(xOpen, xClose) haLow   = Min(xOpen, xClose) xHigh   = Max(High,haHigh) xLow    = Min(Low,haLow) else xClose  = (open+close+low+high)/4 xOpen   = (Open[1]+Close[1])/2 haHigh  = Max(xOpen, xClose) haLow   = Min(xOpen, xClose) xHigh   = Max(High,haHigh) xLow    = Min(Low,haLow) endif   a = 2 //2 t = 2 //2 m = 1.8 //1.8 n=1 Atr = AverageTrueRange[14](xClose) //14 Atrs = 0.1 //0.1 x = average[A,0]((xHigh+xLow+xclose)/3) //4 b1e = ((t*x)-xhigh)+(ATR*ATRs) s1e = ((t*x)-xLow)-(ATR*ATRs) Hbop = (t*x)-(t*xLow)+xHigh Lbop = (t*x)-(t*xHigh)+xLow // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND xclose <= lbop THEN BUY n CONTRACTS AT market//b1e limit //SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket and xclose > s1e THEN SELL AT market//s1e limit if xclose > positionprice then//positionprice then sell at market endif ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND xclose >= hbop THEN SELLSHORT n CONTRACTS AT market//s1e limit //EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket and xclose < b1e THEN EXITSHORT AT market//b1e limit if xclose < positionprice then exitshort at market endif ENDIF set stop loss (m*ATR) // timeframe(default) //2 min //************************************************************************ //trailing stop function trailingstart = 35   //35 trailing will start @trailinstart points profit trailingstep  = 15   //15 trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

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  robertogozzi

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  12/19/2018 at 3:54 PM #87465
  coscar

  Ok grazie Roberto, lo proverò ma ho notato dal tuo screenshots che per alcuni mesi non scambia.

   

  

  coscar

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  12/19/2018 at 4:14 PM #87473
  Vonasi

  coscar – English only please in the English speaking forum – even if you are both Italian!

  

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  12/19/2018 at 4:21 PM #87476
  coscar

  Sorry Vonasi, it’s the fault of the automatic translator.
  “Ok, thanks Roberto, I’ll try it but I noticed from your screenshots that for a few months it does not exchange.”

  

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  12/19/2018 at 7:03 PM #87479
  coscar

  Hello Vonasi and Roberto I still ask you a kindness, you could test the attached code since 1995. Thank you

  BOP Reinv + Martingala

  //@Coscar Break Out Point on Eur/Usd mini - 1D Capital Ini Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 //*********************************************************************************************************** CapitalIni = 10000 // Capitale iniziale cifra intera NrContratti = 1 // numero di contratti iniziali MargineBroker = 378 // Margine richiesto dal broker per 1 contratto Eur/Usd Mini Martingala = 1 // "1" per ON , "0" per OFF del sistema Martinagala Multi = 1 //Martingala Moltiplicatore in caso di vincita - "1" per OFF Reinvestimento = 1 // "1" per ON , "0" per OFF reinvestimento Capiatale e profitto Perc = 20 // Percentuale del capiatale destinato al reinvestimento (consiglio max 30%) Protec = 100 // "0" per OFF, Contratti massimi consentiti al sistema -Ricordarsi di inserire questo valore in fase di Trading Automatico in PRT Avg = 2 // Moving Average Period Two Day Atrs = 0.16 // Multiplier coefficient Atr m = 1.8 // Multiplier coefficient Stop Loss //*********************************************************************************************** ONCE OrderSize = NrContratti ONCE ExitIndex = -2 Capital= CapitalIni + strategyprofit IF Reinvestimento = 1 THEN NR = ((Capital * Perc/100)/MargineBroker)*1000 n = (ROUND(NR)/1000) Else n = 1 endif IF Protec>0 and n>Protec THEN n=Protec endif Atr = AverageTrueRange[14](close) x = average[Avg,3]((High+Low+close)/3) b1e = ((2*x)-high)+(ATR*ATRs) s1e = ((2*x)-Low)-(ATR*ATRs) Hbop = (2*x)-(2*Low)+High Lbop = (2*x)-(2*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close<lbop THEN BUY OrderSize CONTRACTS AT b1e limit SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket THEN SELL AT s1e limit if close > positionprice then sell at market endif ExitIndex = BarIndex ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop THEN SELLSHORT OrderSize CONTRACTS AT s1e limit EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket THEN EXITSHORT AT b1e limit if close < positionprice then exitshort at market endif ExitIndex = BarIndex ENDIF set stop loss (m*ATR) //Martingala************************ IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF PositionPerf(1) < 0 THEN OrderSize = OrderSize + (Martingala*0) ELSIF PositionPerf(1) > 0 THEN OrderSize = 1 * n * Multi ENDIF ENDIF IF Capital<-500 then Quit ENDIF GRAPH OrderSize

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  //@Coscar Break Out Point on Eur/Usd mini - 1D  Capital Ini Eur 500,00 DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000   //*********************************************************************************************************** CapitalIni = 10000      // Capitale iniziale cifra intera NrContratti = 1       // numero di contratti iniziali MargineBroker = 378  // Margine richiesto dal broker per 1 contratto Eur/Usd Mini Martingala = 1       // "1" per ON , "0" per OFF del sistema Martinagala Multi = 1           //Martingala Moltiplicatore in caso di vincita - "1" per OFF Reinvestimento = 1   // "1" per ON , "0" per OFF reinvestimento Capiatale e profitto Perc = 20           // Percentuale del capiatale destinato al reinvestimento (consiglio max 30%) Protec = 100           // "0" per OFF, Contratti massimi consentiti al sistema -Ricordarsi di inserire questo valore in fase di Trading Automatico in PRT Avg = 2              // Moving Average Period Two Day Atrs = 0.16          // Multiplier coefficient Atr m = 1.8              // Multiplier coefficient Stop Loss   //*********************************************************************************************** ONCE OrderSize = NrContratti ONCE ExitIndex = -2   Capital= CapitalIni + strategyprofit IF Reinvestimento = 1 THEN NR = ((Capital * Perc/100)/MargineBroker)*1000 n = (ROUND(NR)/1000) Else n = 1 endif   IF Protec>0 and n>Protec THEN n=Protec endif   Atr = AverageTrueRange[14](close) x = average[Avg,3]((High+Low+close)/3) b1e = ((2*x)-high)+(ATR*ATRs) s1e = ((2*x)-Low)-(ATR*ATRs) Hbop = (2*x)-(2*Low)+High Lbop = (2*x)-(2*High)+Low // Condizioni per entrare su posizioni long IF NOT LongOnMarket AND close<lbop THEN BUY OrderSize CONTRACTS AT b1e limit SELL AT s1e limit ENDIF // Condizioni per uscire da posizioni long If LongOnMarket THEN SELL AT s1e limit if close > positionprice then sell at market endif ExitIndex = BarIndex ENDIF // Condizioni per entrare su posizioni short IF NOT ShortOnMarket AND close>hbop THEN SELLSHORT OrderSize CONTRACTS AT s1e limit EXITSHORT AT b1e limit ENDIF // Condizioni per uscire da posizioni short IF ShortOnMarket THEN EXITSHORT AT b1e limit if close < positionprice then exitshort at market endif ExitIndex = BarIndex ENDIF set stop loss (m*ATR)   //Martingala************************ IF Barindex = ExitIndex + 1 THEN ExitIndex = 0 IF PositionPerf(1) < 0 THEN OrderSize =  OrderSize + (Martingala*0) ELSIF PositionPerf(1) > 0 THEN OrderSize = 1 * n * Multi ENDIF ENDIF IF Capital<-500 then Quit ENDIF GRAPH OrderSize

   

  

  coscar

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  12/19/2018 at 7:50 PM #87483
  Vonasi

  It is not possible to test it from 1995 as you need tick by tick data which is only available from mid 2010.

  

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  12/19/2018 at 8:05 PM #87485
  coscar

  OK thanks, you could check the robustness of this code, I would like to start it in real time. Thanks for your availability

  

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  12/19/2018 at 8:57 PM #87487
  Vonasi

  I have not had a chance to test your code yet but the only way to truly test robustness is to live forward test a strategy in demo. Personally I would not put any real money on any strategy until I have seen months of forward testing in a variety of market conditions and preferably lots and lots of trades. It is boring and you need a lot of patience but losing money is easy enough so why be in such a hurry to do it?

  I see that you have added some form of martingale and money management. Don’t do this until you have forward tested the strategy with level stakes – it just makes you imagine all the money you could be making when in reality you don’t even know if level stakes would make you any. Martingale is very dangerous unless you have a very high win rate strategy or one where the wins are much bigger than the losses and even then it can all suddenly get very expensive in just a few losing trades. If you have Warren Buffets bank balance behind you then use martingale – if not then don’t.

  All just my humble opinion but then people have all sorts of opinions on how to best lose money at this game!

  

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  07/07/2019 at 5:02 PM #102093
  TempusFugit

  I did a multitimeframe version of this fine system that seems to perform quite well in backtest, I haven´t tried it yet in real or demo

   

   

  

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  07/07/2019 at 7:02 PM #102096
  robertogozzi

  Next autumn v11 is likely to be made available to IG customers, thus making 1M bars available for backtesting.

  

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  07/07/2019 at 11:38 PM #102107
  Vonasi

  Here is the code from the version posted by TempusFugit. My main concern if I had coded it myself would be the exit conditions based on days of week and time and bars since trades opened which seem to smell horribly of data mining.

  The true test is to remove most of them and see how it fairs. With just the exit if it is 2100 hours and the rest of them are removed then the equity curve is a little less inspiring. Image attached.

  If we let them back in one by one then the equity curve starts to look nice again which is really telling us that they are just data mining conditions. IMHO.

  // COSCAR Eur/Usd mini - 1H En PRTCode //Version Tempus Fugit DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 //VARIABLES PositionSize = 1 ENTRYHOURS = HOUR=1 nwma = 2 //Periodos de la Media de Willians sobre "la mediana" t = 2//Multiplicador de la media y otros valores NATR = 14//Periodos del ATR m = 1.8//2.7 //Multiplicador del ATR para el stop Atrs = 0.16//Multiplicador del ATR para el precio límite de salida Timeframe(Daily,Updateonclose) Atr = AverageTrueRange[NATR](close) x = average[nwma,3]((High+Low+close)/3) b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low LONGSIGNAL = CLOSE<LBOP SHORTSIGNAL = CLOSE>HBOP Timeframe(Default) LONGENTRY = LONGSIGNAL LONGENTRY = LONGENTRY AND ENTRYHOURS LONGENTRY = LONGENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES SHORTENTRY = SHORTSIGNAL SHORTENTRY = SHORTENTRY AND ENTRYHOURS SHORTENTRY = SHORTENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES IF LONGENTRY THEN BUY PositionSize CONTRACTS AT B1E LIMIT SELL AT s1e limit ELSIF SHORTENTRY THEN SELLSHORT PositionSize CONTRACTS AT S1E LIMIT EXITSHORT AT b1e limit ENDIF If LongOnMarket THEN SELL AT s1e limit ELSIF ShortOnMarket THEN EXITSHORT AT b1e limit endif WINEXIT = ONMARKET WINEXIT = WINEXIT AND POSITIONPERF>0 WINEXIT = WINEXIT AND (HOUR=21 OR (BARINDEX-TRADEINDEX>70)) LOSSEXIT = ONMARKET LOSSEXIT = LOSSEXIT AND POSITIONPERF<0 LOSSEXIT = LOSSEXIT AND BARINDEX-TRADEINDEX>80 LOSSEXIT = LOSSEXIT AND HOUR>=21 LOSSEXIT = LOSSEXIT AND (DAYOFWEEK=3 OR DAYOFWEEK=5) IF WINEXIT OR LOSSEXIT THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF set stop loss (m*ATR)

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  // COSCAR Eur/Usd mini - 1H En PRTCode //Version Tempus Fugit   DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000   //VARIABLES PositionSize = 1 ENTRYHOURS   = HOUR=1 nwma         = 2 //Periodos de la Media de Willians sobre "la mediana" t            = 2//Multiplicador de la media y otros valores NATR         = 14//Periodos del ATR m            = 1.8//2.7 //Multiplicador del ATR para el stop Atrs         = 0.16//Multiplicador del ATR para el precio límite de salida   Timeframe(Daily,Updateonclose) Atr = AverageTrueRange[NATR](close) x = average[nwma,3]((High+Low+close)/3)   b1e = ((t*x)-high)+(ATR*ATRs) s1e = ((t*x)-Low)-(ATR*ATRs) Hbop = (t*x)-(t*Low)+High Lbop = (t*x)-(t*High)+Low   LONGSIGNAL = CLOSE<LBOP SHORTSIGNAL = CLOSE>HBOP   Timeframe(Default) LONGENTRY = LONGSIGNAL LONGENTRY = LONGENTRY AND ENTRYHOURS LONGENTRY = LONGENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES   SHORTENTRY = SHORTSIGNAL SHORTENTRY = SHORTENTRY AND ENTRYHOURS SHORTENTRY = SHORTENTRY AND DAYOFWEEK<4//SIN JUEVES Y VIERNES   IF LONGENTRY THEN BUY PositionSize CONTRACTS AT B1E LIMIT SELL AT s1e limit ELSIF SHORTENTRY THEN SELLSHORT PositionSize CONTRACTS AT S1E LIMIT EXITSHORT AT b1e limit ENDIF   If LongOnMarket  THEN SELL AT s1e limit ELSIF ShortOnMarket  THEN EXITSHORT AT b1e limit endif   WINEXIT = ONMARKET WINEXIT = WINEXIT AND POSITIONPERF>0 WINEXIT = WINEXIT AND (HOUR=21 OR (BARINDEX-TRADEINDEX>70))   LOSSEXIT = ONMARKET LOSSEXIT = LOSSEXIT AND POSITIONPERF<0 LOSSEXIT = LOSSEXIT AND BARINDEX-TRADEINDEX>80 LOSSEXIT = LOSSEXIT AND HOUR>=21 LOSSEXIT = LOSSEXIT AND (DAYOFWEEK=3 OR DAYOFWEEK=5)   IF WINEXIT OR LOSSEXIT THEN SELL AT MARKET EXITSHORT AT MARKET ENDIF   set stop loss (m*ATR)

   

  

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