Supertrend on MTF
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Hi Roberto,
Thank you for taking the time … again 🙂
I see 2 issues
- I have several green days with over 100 in profit (which I guess should not happen?)
- Some trades were executed for no reason
See attached screenshots
I find the profit strategy a bit confusing so I tried to simplify my system and changed a EMA 200 on a 10min timeframe into a EMA 2000 on a 1min (they are really similar).
So I think it will be less complicated to use my strategy in one timeframe (and easier to backtest / check as well).
I amended your code with the one below but I still have weird entry/exit points so I think something is wrong.
I feel we are almost there but there is something wrong with the profit strategy…
Can you spot anything wrong?
Enjoy your evening
Jo
DEFPARAM CumulateOrders = False // indicator1 = ExponentialAverage[20](close) indicator2 = ExponentialAverage[2000](close) c1 = (indicator1 > indicator2) c2 = (indicator1 < indicator2) ONCE MyGOAL = 100 //100 currency units (be them Euros, US dollars or alse IF OnMarket AND ((PositionPerf * PositionPrice * PipValue) >= MyGOAL) THEN SELL AT Market EXITSHORT AT Market ENDIF // Formula floatingprofit floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pipsize Timeframe (default) // ONCETradeON = 1 IF IntradayBarIndex = 0 THEN TradeON = 1 MyProfit = (STRATEGYPROFIT+floatingprofit) Pips = 0 ENDIF // Here below I replaced STRETAGYPROFIT by MyProfit. I don't know if I should change STRATEGYPROFIT[1]? Pips = Pips + ((MyProfit - STRATEGYPROFIT[1]) / PipValue) IF Pips >= 100 THEN TradeON = 0 ENDIF // Conditions to enter long IF NOT LongOnMarket AND c1 AND TradeON THEN BUY 1 CONTRACT AT MARKET ENDIF // Conditions to exit a buy position If LongOnMarket AND c2 THEN SELL AT MARKET ENDIF // Conditions to enter short IF NOT ShortOnMarket AND c2 AND TradeON THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF // Conditions to exit a sell position IF ShortOnMarket AND c1 THEN EXITSHORT AT MARKET ENDIFHi Roberto,
Thanks a lot for your reply.
Instrument is Crude Oil (CL)
Timeframe is 1 minuteBacktest was done on 200k units (22/11/21 – 03/06/22)
Regarding the green days > 100 in profit, please see attached screenshot of the detail report, a lot of bars are above the 100 mark.
For example: 23/11, 30/11, 01/03, 06/03, 09/03, 25/04Regarding the wrong entry/exit for a trade, here are a few:
02/06/22 Entry at 16:09 (See Graph 020622)
It happens way too late.
Exit is good (exit a the close of the candle once we reach 100).
However, it takes another trade a few minutes later.
Why?08/04/2022 at 20:40
11/04/2022 at 2:28 (See attached Graph 11042022)Also, many times it executed a trade at the very beginning of the day (without EMA crossing)
A few dates:
23/04/2022
13/04/2022
31/05/2022 (See Graph 310522),
02/06/22Or is it because the calculation of the indicator (EMA200 on 30minutes) is not well displayed on my chart?
Here is the code I added:TIMEFRAME(30 minutes)
ind=ExponentialAverage[100](close)
return ind
Thank you Roberto for your quick reply and work, I appreciate it.
Here I am in 100TICKS, SMA38 and ZLEMA4000
The entries are perfect, really at the crossing!
However, I still have 2 issues
1. It will open a trade at the first candle of each new day (even if there is no crossing).
If the faster MA is above the slow one (no crossing) it will open a buy order, if the faster MA is below the slow one (no crossing), it will open a sell order.
How can we avoid that?2. Most of the days it will indeed stop at 100 but not all of them.
For example, on March 21, it opens at the crossing (great), closes 100 pts later (great) but also opens a new trade (no crossing), and then it does it again later
See attached graph 21032022See also on April 11, first it opens on the first candle of the day, then it places an order at the first crossing (to close the first buy position). The sell position is opened and then it closes it 100 pips late (which is good) but again opens a new trade again (no crossing, just opens a new one when closing the good one) It should have just stopped for the day.
This makes bigger earning days but also big losing days because it keeps trading while it should have stopped (because in profit earlier)
Do you see what’s wrong?
Almost there 🙂
Thank you!!!!!
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Summary
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3 years, 8 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 05/27/2022 |
| Status: | Active |
| Attachments: | 11 files |
