Strategy XXDJI-M5-EngulfingGap
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Hi everyone,
Here is a new strategy on Wall Street/DJI 5 min TF based on the engulfing bar with range at least 1 ATR. Incorporated 2 Bollinger Band as trend filter.
DLS code is added to avoid high spread period and for skipping trade during major market open to avoid less reliable engulfing bar. Time Zone used is UTC+08:00, please change the time zone in PRT to obtain same result.
Variables atrperiod, bolltrendperiod and bolltrendperiod2 are used for optimization. Other variables are just taking moderate value, not being fully optimized.
Looking forward for your suggestion and ideas of improvement.
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USDLSHighSpread2Start = 060000 - USDLSHighSpread2End = 070000 - USDLSIGAlmostClose = 054500 - USDLSIGOpen = 070000 - USDLSASXOpen = 080000 - AUDLSTSEOpen = 080000SSEOpen = 091500HKEOpen = 093000FWBOpen = 150000 - UKDLSLSEOpen = 160000 - UKDLSNYSEOpen = 223000 - USDLS//Skip high spreadtimeok = NOT(time >=HighSpread1Start AND time <=HighSpread1End) AND NOT(time >=HighSpread2Start AND time <=HighSpread2End)//Skip 15 mins when IG almost closetimeok = timeok AND NOT (time >=IGAlmostClose AND time <= IGAlmostClose + Rest15Minutes)//Skip when IG just open the markettimeok = timeok AND NOT (time >=IGOpen AND time <=IGOpen + Rest0Minutes)//Skip when ASX (first market) just open the markettimeok = timeok AND NOT (time >=ASXOpen AND time <=ASXOpen + Rest0Minutes)//Skip when TSE (first major) just open the markettimeok = timeok AND NOT (time >=TSEOpen AND time <=TSEOpen + Rest0Minutes)//Skip when SSE just open the markettimeok = timeok AND NOT (time >=SSEOpen AND time <=SSEOpen + Rest0Minutes)//Skip when HKE just open the markettimeok = timeok AND NOT (time >=HKEOpen AND time <=HKEOpen + Rest0Minutes)//Skip when FWB just open the markettimeok = timeok AND NOT (time >=FWBOpen AND time <=FWBOpen + Rest0Minutes)//Skip when LSE just open the markettimeok = timeok AND NOT (time >=LSEOpen AND time <=LSEOpen + Rest0Minutes)//Skip when NYSEjust open the markettimeok = timeok AND NOT (time >=NYSEOpen AND time <=NYSEOpen + Rest0Minutes)once bolltrendBull = 1once bolltrendBear = 1//bolltrendperiod = 50//strend = 2bolltrendMA = average[bolltrendperiod, bolltrendMAType](close)//50,1STDDEVtrend = STD[bolltrendperiod]bolltrendUP = bolltrendMA + strend * STDDEVtrendbolltrendDOWN = bolltrendMA - strend * STDDEVtrendIF bolltrendUP = bolltrendDOWN THENbolltrendPercent = 50ELSEbolltrendPercent = 100 * (close - bolltrendDOWN) / (bolltrendUP - bolltrendDOWN)ENDIF//bolltrendperiod = 50//strend = 2bolltrendMA2 = average[bolltrendperiod2, bolltrendMAType2](close)//50,1STDDEVtrend2 = STD[bolltrendperiod2]bolltrendUP2 = bolltrendMA2 + strend2 * STDDEVtrend2bolltrendDOWN2 = bolltrendMA2 - strend2 * STDDEVtrend2IF bolltrendUP2 = bolltrendDOWN2 THENbolltrendPercent2 = 50ELSEbolltrendPercent2 = 100 * (close - bolltrendDOWN2) / (bolltrendUP2 - bolltrendDOWN2)ENDIFbolltrendBull = bolltrendPercent > bollBullLevel OR bolltrendPercent2 > bollBullLevelbolltrendBear = bolltrendPercent < bollBearLevel OR bolltrendPercent2 < bollBearLevel//====== Enter market - start =====timeframe(5 minutes, updateonclose)atr14 = AverageTrueRange[atrperiod](close)C1 = bolltrendBull AND close[1] < open[1] AND close > open AND close > open[1] AND close - open > longbarmultiplier * atr14 + longbarC2 = bolltrendBear AND close[1] > open[1] AND close < open AND close < open[1] AND open - close > shortbarmultipler * atr14 + shortbartimeframe(default)samebarsignal = 0IF C1 THEN //when a pullback occurs...IF timeok AND Not OnMarket AND samebarsignal = 0 THENBUY 1 CONTRACT AT MARKETSET STOP pLOSS SL //50TP = RR * SLSET TARGET pPROFIT TP //300ENDIFsamebarsignal = 1ENDIF// SHORT sideIF C2 THEN //when a pullback occurs...IF timeok AND Not OnMarket AND samebarsignal = 0 THENSELLSHORT 1 CONTRACT AT MARKETSET STOP pLOSS SL //50TP = RR * SLSET TARGET pPROFIT TP //300ENDIFsamebarsignal = 1ENDIF//====== Enter market - end =====//====== Exit market - start =====IF NOT ONMARKET THENENDIF//====== Exit market - end =====//====== Trailing Stop mechanism - start =====trailingstart = (stepfactor1 * SL ) / pointsizetrailingstep = (stepfactor2 * SL ) / pointsize//resetting variables when no trades are on marketif not onmarket thenpriceexit = 0endif//case LONG orderif longonmarket then//first move (breakeven)IF priceexit=0 AND close-tradeprice(1) >= trailingstart*pointsize THENpriceexit = tradeprice(1) + trailingstep*pointsizeENDIF//next movesIF priceexit>0 THENP2 = close-priceexit >= trailingstart*pointsizeIF P2 THENpriceexit = priceexit + trailingstep*pointsizeENDIFENDIFendif//case SHORT orderif shortonmarket then//first move (breakeven)IF priceexit=0 AND tradeprice(1)-close >= trailingstart*pointsize THENpriceexit = tradeprice(1) - trailingstep*pointsizeENDIF//next movesIF priceexit>0 THENP2 = priceexit-close >= trailingstart*pointsizeIF P2 THENpriceexit = priceexit - trailingstep*pointsizeENDIFENDIFendif//exit on trailing stop price levelsif onmarket and priceexit>0 thenEXITSHORT AT priceexit STOPSELL AT priceexit STOPendif//====== Trailing Stop mechanism - end =====3 users thanked author for this post.
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