Swing Hi-Lo DAX weekly mtf

• 09/12/2018 at 12:12 AM #80213
  robertogozzi

  This a simple (basic) strategy to exploit any swing HIGH & LOW occurring in the weekly TF.

  This strategy may stay ONMARKET even more than 1 year!  Owing (or due ?) to high TP & SL there’s no advantage in backtesting it in tick-by-tick mode.

  I suggest using the 2 or 4-hour TF as default to launch the strategy.

  Experimenting is left to anyone to improve it.

  Swing Hi-Lo DAX Weekly mtf

  TIMEFRAME (weekly, updateonclose) // Swing High - Low ONCE LookBack = 50 //50 bars to make sure SWINGs have enough empty space to their left ONCE MaxBars = 2 //2 bars to keep holding SWING valid ONCE MaxHigh = 0 ONCE MinLow = 0 // Swing HIGH Hi = high[1] = highest[LookBack](high) Hi = Hi AND low[1] = highest[3](low) Hi = Hi AND close < open // Swing LOW Lo = high[1] = lowest[3](high) Lo = Lo AND low[1] = lowest[LookBack](low) Lo = Lo AND close >= open // IF Hi OR Lo THEN MaxHigh = highest[3](high) MinLow = lowest[3](low) ENDIF x = summation[MaxBars](Hi) y = summation[MaxBars](Lo) //////////////////////////////////////////////////////////////////////// TIMEFRAME (default) //2 or 4-hour TF suggested ONCE nLots = 1 ONCE Multiplier = 4.0 //4.0 DaysForbidden = OpenDayOfWeek < 1 OR OpenDayOfWeek > 5 TimeForbidden = OpenTime < 090000 OR OpenTime > 190000 // LONG trades a = y AND close < MaxHigh AND close > MinLow IF a AND Not OnMarket AND Not DaysForbidden AND Not TimeForbidden THEN SL = (close - MinLow) / pipsize TP = SL * Multiplier BUY nLots CONTRACT AT MARKET ENDIF // SHORT trades b = x AND close > MinLow AND close < MaxHigh IF b AND Not Onmarket AND Not DaysForbidden AND Not TimeForbidden THEN SL = (MaxHigh - close) / pipsize TP = SL * Multiplier SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT TP SET STOP pLOSS SL

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  TIMEFRAME (weekly, updateonclose) //                      Swing High - Low ONCE LookBack = 50                              //50   bars to make sure SWINGs have enough empty space to their left ONCE MaxBars  = 2                               //2    bars to keep holding SWING valid ONCE MaxHigh  = 0 ONCE MinLow   = 0 //    Swing HIGH Hi =        high[1] = highest[LookBack](high) Hi = Hi AND low[1]  = highest[3](low) Hi = Hi AND close < open //    Swing LOW Lo =        high[1] = lowest[3](high) Lo = Lo AND low[1]  = lowest[LookBack](low) Lo = Lo AND close >= open // IF Hi OR Lo THEN    MaxHigh = highest[3](high)    MinLow  = lowest[3](low) ENDIF x = summation[MaxBars](Hi) y = summation[MaxBars](Lo) //////////////////////////////////////////////////////////////////////// TIMEFRAME (default)                             //2 or 4-hour TF suggested ONCE nLots              = 1 ONCE Multiplier         = 4.0                   //4.0 DaysForbidden           = OpenDayOfWeek < 1 OR OpenDayOfWeek > 5 TimeForbidden           = OpenTime < 090000 OR OpenTime > 190000 //                           LONG  trades a = y AND close < MaxHigh AND close > MinLow IF a AND Not OnMarket AND Not DaysForbidden AND Not TimeForbidden THEN    SL = (close - MinLow) / pipsize    TP = SL * Multiplier    BUY nLots CONTRACT AT MARKET ENDIF //                           SHORT trades b = x AND close > MinLow AND close < MaxHigh IF b AND Not Onmarket AND Not DaysForbidden AND Not TimeForbidden THEN    SL = (MaxHigh - close) / pipsize    TP = SL * Multiplier    SELLSHORT nLots CONTRACT AT MARKET ENDIF SET TARGET pPROFIT TP SET STOP   pLOSS   SL

   

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  Berra, Nicolas

  

  robertogozzi

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