Strategy Volume Price Level

• 03/14/2019 at 2:01 AM #93576
  Meta Signals Pro

  Hi Coders,

  I am opening a thread to test a strategy based on this indicator I made.

  https://www.prorealcode.com/prorealtime-indicators/volume-by-price-levels-v2-extended/

   

  Its goal is to identify strength and weakness in the distribution of volume per price :

  • Max (strong level of volume per price => resistance or support depending on the position of the price)
  • MinSup (week segment of price above the Max)
  • MinInf (week segment of price under the Max)

   

  There are 2 strategy ideas behind this indicator:

  1. if the price crosses over (respectively under) the strong volume level (“Max”), the price will tend to test a week point in the distribution of volume per price, respectively either superior (“MinSup”) or inferior (“MinInf”).

  2. A second idea would be to use a section of StartHighest/EndLowest (respectively StartLowest/EndHighest) to set entry point if the price crosses over MinInf (respectively MinSup) and use Fibonacci to have a trailing stop.

  I wrote this code but it nos doing what I want; apparently it is not sequencing the highesthigh and lowestlow ;

  Has anybody a clue to what should be modified or done?

  Thanks for your help,

  Chris

  DEFPARAM PRELOADBARS = 10000 defparam cumulateorders = false equity = 1000 + strategyprofit z= round(equity/close) //MaxDrawDownPercentage = 10 //MaxDrawdown = Equity * (MaxDrawDownPercentage/100) // // //IF OnMarket and ((PositionPrice - low)*CountOfPosition) > MaxDrawDown THEN //Quit //ENDIF once positionSize = z //--------------------- //StartHighest=0 //StartLowest=1 //EndHighest=1 //EndLowest=0 NbOfDiv=12 ScaleFactor=1 //--------------------- LastLowestbot = 100000 LastHighestTop = 0 LastLowestBotIndex = 0 LastHighestTopIndex = 0 NewLowestBotIndex = 0 NewHighestTopIndex = 0 //// Identification des pivots Top et Bot(tom) PivotBot = close[2]>close[1] and close[1]<close PivotTop = close[2]<close[1] and close[1]>close //// Identification pivot bot if PivotBot and close[1] < LastLowestBot then NewLowestBot = close[1] NewLowestBotIndex = barindex[1] LastHighestTop = NewHighestTop LastHighestTopIndex = NewHighestTopIndex //// calcul des différents segments et définition de MinInf Max MinSup EndBar = NewLowestBotIndex StartBar = LastHighestTopIndex StartBar = max(1,StartBar) Endbar = max(1,Endbar) volsum = summation [StartBar](volume)-summation [EndBar](volume) hh=LastHighestTop ll=NewLowestBot div = (hh-ll)/NbOfDiv // thickness of the horizontal bar i=0 ///Fibo fullrange = abs(hh-ll) fibo100 = hh fibo0 = ll fibo236 = ll+(fullrange*0.236) fibo382 = ll+(fullrange*0.382) fibo500 = ll+fullrange/2 fibo618 = ll+(fullrange*0.618) fibo764 = ll+(fullrange*0.764) //StartbarIndex = LastHighestTopIndex //EndbarIndex = NewLowestBotIndex ////// creation of the variables identifying MinInf, MinSup and Max lrangeminInf = 0 hrangeminInf = 0 lrangeminSup = 0 hrangeminSup = 0 lrangemax = 0 hrangemax = 0 MaxVol = 0 NumBarVol = 0 //NumBarMaxVol = 0 NumBarMinVolSup = 0 NumBarMinVolInf = 0 while i<NbOfDiv do lrange=ll+div*i hrange=lrange+div volbull=0 volbear=0 NumBarVol = i+1 for q = Endbar to StartBar do if close[q]>=lrange and close[q]<=hrange then if close[q]>open[q] then volbull=volbull+volume[q] else volbear=volbear+volume[q] endif endif next //bullbar = round((volbull*StartBar)/volsum)*scalefactor //bearbar = round((volbear*StartBar)/volsum)*scalefactor volbar = round(((volbear+volbull)*StartBar)/volsum)*scalefactor if i=0 then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVoL lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol lrangeminInf = lrange hrangeminInf = hrange MinVolInf = VolBar NumBarMinVolInf = NumBarVol endif if volbar > MaxVol then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVol if MinVolSup < MinVolInf then lrangeminInf = lrangeminSup hrangeminInf = hrangeminSup MinVolInf = MinVolSup NumBarMinVolInf = NumBarMinVolSup endif lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol elsif volbar < MaxVol then if volbar < MinVolSup then lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol endif else lrangeminInf = lrangeminInf hrangeminInf = hrangeminInf MinVolInf = MinVolInf NumBarMinVolInf = NumBarMinVolInf endif i=i+1 wend endif //la strégie s'applique = franchissement de MinInf en direction de MAX avec TLS Fibo //tant qu'on a pas trouvé une nouveau plus haut la stratégie fonctionne avec les MinSup/Max/MinInf on reste sur cette stratégie // identification d'un nouveau point pivot haut est trouvé if PivotTop and close[1] > LastHighestTop then NewHighestTop = close[1] NewHighestTopIndex = barindex[1] LastLowestBot = NewLowestBot LastLowestBotIndex = NewLowestBotIndex //// calcul des différents segments et définition de MinInf Max MinSup EndBar = NewHighestTopIndex StartBar = LastLowestBotIndex StartBar = max(1,StartBar) Endbar = max(1,Endbar) volsum = summation [StartBar](volume)-summation [EndBar](volume) hh=NewHighestTop ll=LastLowestBot div = (hh-ll)/NbOfDiv // thickness of the horizontal bar i=0 ////// Fibo fullrange = abs(hh-ll) fibo100 = ll fibo0 = hh fibo236 = hh-(fullrange*0.236) fibo382 = hh-(fullrange*0.382) fibo500 = hh-fullrange/2 fibo618 = hh-(fullrange*0.618) fibo764 = hh-(fullrange*0.764) //StartbarIndex = LastLowestBotIndex //EndbarIndex = NewHighestTopIndex ////// creation of the variables identifying MinInf, MinSup and Max // lrangeminInf = 0 hrangeminInf = 0 lrangeminSup = 0 hrangeminSup = 0 lrangemax = 0 hrangemax = 0 MaxVol = 0 NumBarVol = 0 //NumBarMaxVol = 0 NumBarMinVolSup = 0 NumBarMinVolInf = 0 while i<NbOfDiv do lrange=ll+div*i hrange=lrange+div volbull=0 volbear=0 NumBarVol = i+1 for q = Endbar to StartBar do if close[q]>=lrange and close[q]<=hrange then if close[q]>open[q] then volbull=volbull+volume[q] else volbear=volbear+volume[q] endif endif next ////bullbar = round((volbull*StartBar)/volsum)*scalefactor ////bearbar = round((volbear*StartBar)/volsum)*scalefactor volbar = round(((volbear+volbull)*StartBar)/volsum)*scalefactor if i=0 then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVoL lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol lrangeminInf = lrange hrangeminInf = hrange MinVolInf = VolBar NumBarMinVolInf = NumBarVol endif if volbar > MaxVol then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVol if MinVolSup < MinVolInf then lrangeminInf = lrangeminSup hrangeminInf = hrangeminSup MinVolInf = MinVolSup NumBarMinVolInf = NumBarMinVolSup endif lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol elsif volbar < MaxVol then if volbar < MinVolSup then lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol endif else lrangeminInf = lrangeminInf hrangeminInf = hrangeminInf MinVolInf = MinVolInf NumBarMinVolInf = NumBarMinVolInf endif i=i+1 wend endif //la strégie s'applique = franchissement de MinInf en direction de MAX avec TLS Fibo // //// Fibo // //StartFibo = max(1,StartbarIndex) //EndFibo = max(1,EndbarIndex) // //isSwingDown = StartFibo < EndFibo // //if isSwingDown then //fullrange = abs(hh-ll) //fibo100 = hh //fibo0 = ll //fibo236 = ll+(fullrange*0.236) //fibo382 = ll+(fullrange*0.382) //fibo500 = ll+fullrange/2 //fibo618 = ll+(fullrange*0.618) //fibo764 = ll+(fullrange*0.764) // // //else //fullrange = abs(hh-ll) //fibo100 = ll //fibo0 = hh //fibo236 = hh-(fullrange*0.236) //fibo382 = hh-(fullrange*0.382) //fibo500 = hh-fullrange/2 //fibo618 = hh-(fullrange*0.618) //fibo764 = hh-(fullrange*0.764) // // //endif //////////////////////////////////////////////////// // Strategie#1 // Start : lowest // End : highest //Signal long / short : croisement support majeur // Signal buy / sell : MinSup et MinInf //////////////////////////////////////////////////// //If StartLowest and EndHighest then //endif if not ONMARKET and close crosses over hrangeminInf or close crosses over lrangeminInf then Buy positionSize CONTRACTS AT Market TrailStop = fibo0 - div endif if LONGONMARKET then if high > fibo0 and high < fibo236 then TrailStop = fibo0 endif if high > fibo236 and high < fibo382 then TrailStop = fibo236 endif if high > fibo382 and high < fibo500 then TrailStop = fibo382 endif if high > fibo500 and high < fibo618 then TrailStop = fibo500 endif if high >= lrangeMax and high <=hrangeMax then TrailStop = fibo500 endif if high > fibo618 and high < fibo764 then TrailStop = fibo618 endif if high > fibo764 and high < fibo100 then TrailStop = fibo618 endif if high > fibo100 then SELL AT MARKET endif SELL at TrailStop stop endif if not ONMARKET and close crosses under hrangeminSup then SELLSHORT PositionSize CONTRACTS AT Market TrailStop = fibo100 + div endif if SHORTONMARKET then if low > fibo0 and high < fibo236 then TrailStop = fibo0 endif if low > fibo236 and high < fibo382 then TrailStop = fibo236 endif if low > fibo382 and high < fibo500 then TrailStop = fibo382 endif if low > fibo500 and high < fibo618 then TrailStop = fibo500 endif if low >= lrangeMax and high <=hrangeMax then TrailStop = fibo500 endif if low > fibo618 and high < fibo764 then TrailStop = fibo618 endif if low > fibo764 and high < fibo100 then TrailStop = fibo618 endif if low > fibo100 then EXITSHORT AT MARKET endif EXITSHORT at TrailStop stop endif //endif // debug ----------- //graph hH as "fibHigh" //graph lL //graph t236 //graph Close //graph ma20 graph hrangeMax graph hrangeminSup graph hrangeminInf graph TrailStop graph NewHighestTop graph hh graph ll graph fibo100 + div graph fibo236 graph fibo382 graph (low < fibo236)*10 graph NewLowestBot graph StartBar graph Endbar graph barindex graph NewLowestBotIndex //graph StartDateStrat //graph positionperf // ------------------

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  DEFPARAM PRELOADBARS = 10000 defparam cumulateorders = false   equity = 1000 + strategyprofit z= round(equity/close) //MaxDrawDownPercentage = 10 //MaxDrawdown = Equity * (MaxDrawDownPercentage/100) // // //IF OnMarket and ((PositionPrice - low)*CountOfPosition) > MaxDrawDown THEN //Quit //ENDIF   once positionSize = z     //--------------------- //StartHighest=0 //StartLowest=1 //EndHighest=1 //EndLowest=0   NbOfDiv=12 ScaleFactor=1       //--------------------- LastLowestbot = 100000 LastHighestTop = 0 LastLowestBotIndex = 0 LastHighestTopIndex = 0 NewLowestBotIndex = 0 NewHighestTopIndex = 0   //// Identification des pivots Top et Bot(tom)   PivotBot = close[2]>close[1] and close[1]<close PivotTop = close[2]<close[1] and close[1]>close   //// Identification pivot bot   if PivotBot and close[1] < LastLowestBot then NewLowestBot = close[1] NewLowestBotIndex = barindex[1] LastHighestTop = NewHighestTop LastHighestTopIndex = NewHighestTopIndex     //// calcul des différents segments et définition de MinInf Max MinSup EndBar = NewLowestBotIndex StartBar = LastHighestTopIndex StartBar = max(1,StartBar) Endbar = max(1,Endbar) volsum = summation [StartBar](volume)-summation [EndBar](volume)   hh=LastHighestTop ll=NewLowestBot div = (hh-ll)/NbOfDiv      // thickness of the horizontal bar i=0     ///Fibo   fullrange = abs(hh-ll) fibo100   = hh fibo0     = ll fibo236   = ll+(fullrange*0.236) fibo382   = ll+(fullrange*0.382) fibo500    = ll+fullrange/2 fibo618   = ll+(fullrange*0.618) fibo764   = ll+(fullrange*0.764)     //StartbarIndex = LastHighestTopIndex //EndbarIndex = NewLowestBotIndex   ////// creation of the variables identifying MinInf, MinSup and Max   lrangeminInf = 0 hrangeminInf = 0 lrangeminSup = 0 hrangeminSup = 0 lrangemax = 0 hrangemax = 0 MaxVol = 0 NumBarVol = 0 //NumBarMaxVol = 0 NumBarMinVolSup = 0 NumBarMinVolInf = 0   while i<NbOfDiv do lrange=ll+div*i hrange=lrange+div volbull=0 volbear=0 NumBarVol = i+1   for q = Endbar to StartBar do if close[q]>=lrange and close[q]<=hrange then   if close[q]>open[q] then volbull=volbull+volume[q] else volbear=volbear+volume[q] endif endif next //bullbar = round((volbull*StartBar)/volsum)*scalefactor //bearbar = round((volbear*StartBar)/volsum)*scalefactor volbar = round(((volbear+volbull)*StartBar)/volsum)*scalefactor     if i=0 then   lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVoL   lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol   lrangeminInf = lrange hrangeminInf = hrange MinVolInf = VolBar NumBarMinVolInf = NumBarVol   endif     if volbar > MaxVol then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVol   if MinVolSup < MinVolInf then lrangeminInf = lrangeminSup hrangeminInf = hrangeminSup MinVolInf = MinVolSup NumBarMinVolInf = NumBarMinVolSup endif   lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol   elsif volbar < MaxVol then if volbar < MinVolSup then lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol endif   else lrangeminInf = lrangeminInf hrangeminInf = hrangeminInf MinVolInf = MinVolInf NumBarMinVolInf = NumBarMinVolInf   endif     i=i+1 wend       endif     //la strégie s'applique = franchissement de MinInf en direction de MAX avec TLS Fibo     //tant qu'on a pas trouvé une nouveau plus haut la stratégie fonctionne avec les MinSup/Max/MinInf on reste sur cette stratégie   // identification d'un nouveau point pivot haut est trouvé   if PivotTop and close[1] > LastHighestTop then   NewHighestTop = close[1] NewHighestTopIndex = barindex[1] LastLowestBot = NewLowestBot LastLowestBotIndex = NewLowestBotIndex   //// calcul des différents segments et définition de MinInf Max MinSup   EndBar = NewHighestTopIndex StartBar = LastLowestBotIndex   StartBar = max(1,StartBar) Endbar = max(1,Endbar) volsum = summation [StartBar](volume)-summation [EndBar](volume)   hh=NewHighestTop ll=LastLowestBot div = (hh-ll)/NbOfDiv      // thickness of the horizontal bar i=0     ////// Fibo   fullrange = abs(hh-ll) fibo100   = ll fibo0     = hh fibo236   = hh-(fullrange*0.236) fibo382   = hh-(fullrange*0.382) fibo500    = hh-fullrange/2 fibo618   = hh-(fullrange*0.618) fibo764   = hh-(fullrange*0.764)       //StartbarIndex = LastLowestBotIndex //EndbarIndex = NewHighestTopIndex     ////// creation of the variables identifying MinInf, MinSup and Max // lrangeminInf = 0 hrangeminInf = 0 lrangeminSup = 0 hrangeminSup = 0 lrangemax = 0 hrangemax = 0 MaxVol = 0 NumBarVol = 0 //NumBarMaxVol = 0 NumBarMinVolSup = 0 NumBarMinVolInf = 0   while i<NbOfDiv do lrange=ll+div*i hrange=lrange+div volbull=0 volbear=0 NumBarVol = i+1   for q = Endbar to StartBar do if close[q]>=lrange and close[q]<=hrange then if close[q]>open[q] then volbull=volbull+volume[q] else volbear=volbear+volume[q] endif endif next ////bullbar = round((volbull*StartBar)/volsum)*scalefactor ////bearbar = round((volbear*StartBar)/volsum)*scalefactor volbar = round(((volbear+volbull)*StartBar)/volsum)*scalefactor     if i=0 then     lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVoL   lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol   lrangeminInf = lrange hrangeminInf = hrange MinVolInf = VolBar NumBarMinVolInf = NumBarVol   endif     if volbar > MaxVol then lrangemax = lrange hrangemax = hrange MaxVol = volbar //NumBarMaxVol = NumBarVol   if MinVolSup < MinVolInf then lrangeminInf = lrangeminSup hrangeminInf = hrangeminSup MinVolInf = MinVolSup NumBarMinVolInf = NumBarMinVolSup endif   lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol   elsif volbar < MaxVol then if volbar < MinVolSup then lrangeminSup = lrange hrangeminSup = hrange MinVolSup = VolBar NumBarMinVolSup = NumBarVol endif   else lrangeminInf = lrangeminInf hrangeminInf = hrangeminInf MinVolInf = MinVolInf NumBarMinVolInf = NumBarMinVolInf   endif     i=i+1 wend   endif   //la strégie s'applique = franchissement de MinInf en direction de MAX avec TLS Fibo   //       //// Fibo // //StartFibo = max(1,StartbarIndex) //EndFibo = max(1,EndbarIndex) // //isSwingDown = StartFibo < EndFibo // //if isSwingDown then //fullrange = abs(hh-ll) //fibo100   = hh //fibo0     = ll //fibo236   = ll+(fullrange*0.236) //fibo382   = ll+(fullrange*0.382) //fibo500    = ll+fullrange/2 //fibo618   = ll+(fullrange*0.618) //fibo764   = ll+(fullrange*0.764) // // //else //fullrange = abs(hh-ll) //fibo100   = ll //fibo0     = hh //fibo236   = hh-(fullrange*0.236) //fibo382   = hh-(fullrange*0.382) //fibo500    = hh-fullrange/2 //fibo618   = hh-(fullrange*0.618) //fibo764   = hh-(fullrange*0.764) // // //endif         //////////////////////////////////////////////////// // Strategie#1 // Start : lowest // End : highest //Signal long / short : croisement support majeur // Signal buy / sell : MinSup et MinInf ////////////////////////////////////////////////////   //If StartLowest and EndHighest then   //endif       if not ONMARKET and close crosses over hrangeminInf or close crosses over lrangeminInf then Buy positionSize CONTRACTS AT Market TrailStop = fibo0 - div endif   if LONGONMARKET then   if high > fibo0 and high < fibo236  then TrailStop = fibo0 endif   if high > fibo236  and high < fibo382 then TrailStop = fibo236 endif   if high > fibo382 and   high < fibo500 then TrailStop = fibo382 endif   if high > fibo500 and   high < fibo618 then TrailStop = fibo500 endif   if high >= lrangeMax and high <=hrangeMax then TrailStop = fibo500 endif   if high > fibo618 and high < fibo764  then TrailStop = fibo618 endif   if high > fibo764 and high < fibo100  then TrailStop = fibo618 endif   if high > fibo100 then SELL AT MARKET endif   SELL at TrailStop stop     endif         if not ONMARKET and close crosses under hrangeminSup then SELLSHORT PositionSize CONTRACTS AT Market TrailStop = fibo100 + div   endif   if SHORTONMARKET  then if low > fibo0 and high < fibo236  then TrailStop = fibo0 endif   if low > fibo236  and high < fibo382 then TrailStop = fibo236 endif   if low > fibo382 and   high < fibo500 then TrailStop = fibo382 endif   if low > fibo500 and   high < fibo618 then TrailStop = fibo500 endif   if low >= lrangeMax and high <=hrangeMax then TrailStop = fibo500 endif   if low > fibo618 and high < fibo764  then TrailStop = fibo618 endif   if low > fibo764 and high < fibo100  then TrailStop = fibo618 endif   if low > fibo100 then EXITSHORT AT MARKET endif       EXITSHORT at TrailStop stop     endif       //endif       // debug ----------- //graph hH as "fibHigh" //graph lL //graph t236 //graph Close //graph ma20 graph hrangeMax graph hrangeminSup graph hrangeminInf graph TrailStop graph NewHighestTop graph hh graph ll graph fibo100 + div graph fibo236 graph fibo382 graph (low < fibo236)*10 graph NewLowestBot graph StartBar graph Endbar graph barindex graph NewLowestBotIndex   //graph StartDateStrat //graph positionperf // ------------------

   

   

  

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  03/14/2019 at 9:53 AM #93592
  Vonasi

  At a glance it appears that you zero everything in lines 29 to 34 on every run through the code so you have no last values to compare to. Maybe you need to use ONCE?

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  Vonasi

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