Strategy with CCI (adjustable TF depending on the trading asset)
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It is clear that it is difficult to have a trading code that could take place for a long time exactly as intended by its designers. On the other hand, this code could well be profitable on certain financial instruments (Crypto, Forex, Shares or Indices) while checking it beforehand on backtest at different timeframes. Example: BTC / USD at TimeFrame = 20min and 2 minutes; EUR / USD at TimeFrame = 100 ticks or 15 30 45 min or 1 hour; DAX, etc. NB: There is the possibility of being able to improve it by the professionals that you are and to share …
DEFPARAM CumulateOrders=False //CCI strategy with limit threshold for input or output signal Once Quantite = 1 //(1*PipValue) Once Interval = 55 Once SeuilCCI = 170 //(OK at: 100,150,'170',180) indicoteNegatif = CCI[Interval](Close) < -SeuilCCI indicotePositif = CCI[Interval](Close) > SeuilCCI indicator1 = CCI[Interval](Close) indicator2 = Highest[7](CCI[Interval](Close[1])) indicator3 = Highest[6](CCI[Interval](Close[3])) c1 = (indicator3 < indicator2) AND (indicator2 < indicator1) c2 = (indicator3 > indicator2) AND (indicator2 > indicator1) REM BUY IF indicoteNegatif AND c1 THEN BUY Quantite SHARES AT MARKET ELSIF LongOnMarket AND indicotePositif THEN EXITSHORT AT MARKET ENDIF REM SELL IF indicotePositif AND c2 THEN SELLSHORT Quantite SHARES AT MARKET ELSIF Not LongOnMarket AND indicoteNegatif THEN EXITSHORT AT MARKET ENDIFThanks…
robertogozzi and Paul thanked this postI modified it by using MTF (1h TF for the setup & entry + 5m TF for the trailing stop):
DEFPARAM CumulateOrders=False //CCI strategy with limit threshold for input or output signal timeframe(1h,UpdateOnClose) // Once Quantite = 1 //(1*PipValue) Once Interval = 55 Once SeuilCCI = 170 //(OK at: 100,150,'170',180) indicoteNegatif = CCI[Interval](Close) < -SeuilCCI indicotePositif = CCI[Interval](Close) > SeuilCCI indicator1 = CCI[Interval](Close) indicator2 = Highest[7](CCI[Interval](Close[1])) indicator3 = Highest[6](CCI[Interval](Close[3])) c1 = (indicator3 < indicator2) AND (indicator2 < indicator1) c2 = (indicator3 > indicator2) AND (indicator2 > indicator1) REM BUY IF indicoteNegatif AND c1 THEN BUY Quantite SHARES AT MARKET ELSIF LongOnMarket AND indicotePositif THEN EXITSHORT AT MARKET ENDIF REM SELL IF indicotePositif AND c2 THEN SELLSHORT Quantite SHARES AT MARKET ELSIF Not LongOnMarket AND indicoteNegatif THEN EXITSHORT AT MARKET ENDIF // Timeframe(default) // // Nicolas' trailing stop code, slightly modified to: // // - acount for minimum distance required by the broker for pending orders // - start trailing not only from the first bar, but from any later bar // IF (BarIndex - TradeIndex) >= 0 THEN //start from the first bar or a later one trailingstart = 20 //20 trailing will start @trailinstart points profit trailingstep = 10 //10 trailing step to move the "stoploss" distance = 10 //10 pips distance from caurrent price (if required by the broker) //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 IF LongOnMarket THEN IF (close + distance) > newSL THEN SELL AT newSL STOP ELSIF (close - distance) < newSL THEN SELL AT newSL LIMIT ELSE SELL AT Market ENDIF ELSIF ShortOnmarket THEN IF (close + distance) < newSL THEN EXITSHORT AT newSL STOP ELSIF (close - distance) > newSL THEN EXITSHORT AT newSL LIMIT ELSE EXITSHORT AT Market ENDIF ENDIF ENDIF ENDIF //*********************************************************************************macdopa thanked this postThank you very much RobertoGozzi
The code worked well with the gains and loss limitation.
NB: The CCI Threshold and TimeFrame parameters should be adjusted for each financial asset.
Here are the best results obtained with the optimal values of the 2 adjustable parameters:
– For BTC/USD ==>
CCI threshold = 170
TimeFrame (1 minutes, UpdateOnClose)– For EUR/USD ==>
CCI threshold = 140
TimeFrame (3 minutes, UpdateOnClose)– For GBP/USD ==>
CCI threshold = 170
TimeFrame (10 minutes, UpdateOnClose)– For USD/CHF ==>
CCI threshold = 100 and 120
TimeFrame (3 minutes, UpdateOnClose)Even more, it would be necessary to define the values of Stop and follower, as for example:
trailingstart = 150 // 20 trailing will start @trailinstart points profit
trailingstep = 15 // 10 trailing step to move the “stoploss”
distance = 15 // 10 pips distance from caurrent price (if required by the broker)Thanks…
robertogozzi, GraHal, Midlanddave, murre87 and cgassfr67 thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/27/2021 |
| Status: | Active |
| Attachments: | 3 files |
